Weekly Factor Returns
Updated: May 3, 2021
A brief overview of market drivers last week
The Russell 2000 beat the Russell 1000 with Medium-term momentum leading the way. Medium-term momentum was the only factor that was positive within both indices. Value was negative in both. Short-term momentum, Size, and Value each declined approximately 1% in the large cap index.
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.