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Weekly Factor Returns

Writer's picture: BrianBrian

A look at what factors influenced the market last week


Index returns were negative for the week ending April 22, 2022. The Russell 1000 declined 2.89% and the Russell 2000 declined 3.20%. Factor returns were similar in direction and magnitude across the large and small cap indices.


Volatility had the greatest returns. The least volatile stocks outperformed the most volatile by 6.84% and 6.93% in the Russell 1000 and Russell 2000, respectively.


Medium-term momentum and Value each contributed positively as higher growth stocks continued to fall out of favor. Higher Medium-term momentum outperformed lower momentum by 3.83% in the Russell 1000 and by 5.45% in the Russell 2000. The spread between the highest ranked and lowest ranked Value stocks was 5.51% among large caps and 4.83% among small caps.


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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