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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 was marginally positive (+0.22%) and the Russell 2000 rose 0.68%. Factor returns showed differences in terms of magnitude and direction between the two indices.

Within the large cap space, Value’s -4.0% return was the largest move overall, indicating Growth outperformed, on average. Medium-term momentum’s -3.5% reversal was the second biggest spread. The highest decile of Volatility beat the lowest decile by just under 2.0%.

Value and Medium-term momentum also declined among small caps, but to a lesser degree compared to large caps. Larger stocks outperformed smaller stocks in the Russell 2000, a divergent outcome compared to the Russell 1000. Volatility was negligible in the small cap universe.

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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