Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 and Russell 2000 each gained 1.74% last week. Factor returns experience a reversal from previous weekly trends.

High Volatility stocks outperformed after five weeks of underperformance. The factor’s return within the Russell 1000 was the largest of all returns.

Factor returns were greater in large caps compared to small caps in each factor except Medium-term momentum where the spread was 1.64% within the small cap space and 0.03% among large caps.

Short-term momentum also experienced a reversal. Negative spreads of 2.90% (Small cap) and 3.94% occurred after five weeks of positive returns.

Value underperformed relative to growth, another five-week reversal. Size was negative but was less of an influence compared to other factors.

In this series, we highlight several factors’ returns along with the broad index. These are factors – or stock characteristics – we monitor closely. Factor returns equal the difference in the average return of the highest ranked 10% (decile 1) of stocks minus the lowest ranked 10% (decile 10) within each metric. Returns are based on stocks that pass our screen for liquidity, price, and analyst coverage; therefore, some index constitutes are excluded (except for index return). Ranks are sector neutral and equal weight. Stocks are ranked one week before the return period date, with returns calculated for the following week.

Read factor explanations here.