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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 2000 declined 1.56% while the Russell 2000 gained 1.42% for the week ending February 11th. Factor returns were also divergent between the large and small indices. Volatility was the only factor that was directionally similar between large and small cap stocks.

The most extreme factor returns occurred within large caps. Volatility was up 3.04% and Size was down 2.95%. Taken together, smaller companies and those exhibiting higher volatility outperformed by the widest margin. Medium-term, and Short-term momentum returns were mixed among large caps and Value declined.

Within the small cap space, Value (+1.50%) and Volatility (+1.39%) experienced the largest returns. The spread between the highest and lowest ranked Medium-term momentum stocks was over 1%. Short-term momentum returns were less influential. Within the Russell 2000, larger stocks outperformed smaller issues, on average.

1 week returns for medium-term momentum, short-term momentum, size, value, and volatility within large and small cap universes

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.


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