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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 declined 1.53% and the Russell 2000 declined 4.60%. Factor returns were directionally congruent between the two indices. Factor return magnitudes were mostly greater within the Russell 1000.

Volatility’s 7.09% decline in the large cap universe was the biggest move for the week. This indicates lower Volatility stocks were a key driver. The spread between top-ranked and bottom-raked Volatility was -5.93% among small caps.

Medium-term momentum was the second-biggest mover in both indices. The spread was 4.35% in the Russell 1000 and 3.80% in the Russell 2000.

Higher capitalization and more attractively valued stocks also outperformed 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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