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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 declined 1.90% and the Russell 2000 rose 0.54% in the four days of trading last week. Momentum returns were similar between the indices. Size, Value, and Volatility were less congruent.

Smaller stocks outperforming larger stocks was a major driver in the Russell 1000. Size returned -2.42% in the large cap index. Medium-term momentum was the only other factor among large caps with an absolute return over 1.00%.

Lower volatility beat higher volatility by 2.26% in the Russell 2000. Medium-term and Short-term momentum were each positive within the small cap space with higher returns relative to the Russell 1000. Value was also positive in the Russell 2000.

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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