Weekly Factor Returns
A look at what influenced the market last week
Large and small equity indices declined for the second straight week. The Russell 1000 lost 2.90%, more than double the small cap Russell 2000 (-1.03%). Factor influences varied between the indices.
In the large index, a reversal in Short-term momentum (-1.89%) was a key driver, while Medium-term momentum was positive. Smaller Size and higher Value were also contributing factors. Volatility was negligible among large caps.
Within the Russell 2000, higher Volatility was the largest influence. Value was negative (-0.97%), making it the most divergent factor between large and small stocks. The smallest companies outperformed the largest, on average. Short-term momentum was negative, but less so relative to large caps. Medium-term momentum was practically flat.
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.