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Weekly Factor Returns

A look at what factors influenced the market last week

The large cap Russell 1000 gained 1.65%, while the Russell 2000 declined 0.38%. Factor return profiles were the opposite of the prior week.

Factor returns were greater among small caps. Short-term momentum within the Russell 2000 was 4.11%, the largest move among all factors. Medium-term momentum was second, which had a 3.53% return in the small cap index.

The largest companies within the Russell 2000 outperformed the smallest by 3.25%. Value was also positive.

Volatility among small caps had a negative 2.72% return, meaning lower volatility stocks outperformed, on average. This is sharp reversal from the previous week.

Factor returns were directionally similar in the Russell 1000, with Medium-term momentum experiencing the greatest spread. Value was not a material influencer.

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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