Weekly Factor Returns

A look at what factors influenced the market last week


Large and small equity indices rose last week with each increasing over 5.0%. Factor returns were directionally similar. For each factor, the return spreads were more pronounced within the Russell 1000.


Volatility was the biggest mover among the factors. Low volatility outperformed high volatility by 9.02% in the Russell 1000 and 8.26% in the Russell 2000. Short- and Medium-term momentum experienced large reversals with spreads of -8.70% and -7.54% in the large cap space and -8.25% an -6.67% within small caps.


Within each index, companies that had higher market capitalizations and ranked higher on Value tended to underperform those with the opposite characteristics.


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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