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Weekly Factor Returns

A look at what factors influenced the market last week

The week ended March 4th, 2022, saw equity indices decline. The Russell 1000 lost 1.48% and the Russell 2000 lost 1.92%. Factor returns were more pronounced.

Volatility had the largest returns. The spread was -6.99% within the large cap universe and -5.83% among small caps. The negative return meant stocks with lower volatility rankings outperformed.

Medium-term momentum and Value were also big drivers of performance last week. Both factors were around +5.00% among large caps. Within the Russell 2000, the return to Value was 3.93% while the return to Medium-term momentum was 3.28%.

Size was more of an influence in the Russell 1000, where the return spread was 3.68%, compared to the Russell 2000 where Size returned 1.49%.

Short-term momentum was positive in each index, but less of an influence compared to other factors.

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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