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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 and 2000 each rose last week. Factor returns were not extreme despite the increased market volatility.

The Volatility factor within the small cap space experienced the greatest move with a 1.98% return. Short-term momentum returns within the large cap Russell 1000 were negative 1.16%. All other returns across the indices, were less than 1.00% on an absolute basis.

Overall, stocks that outperformed last week tended to exhibit less momentum and value, be slightly larger, and were more volatile.

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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