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Weekly Factor Returns

A look at what factors influenced the market last week

Both large and small indices declined for the second consecutive week. The Russell 1000 fell 3.29% while the Russell 2000 fell 3.94%. Similar to the index returns, factor returns were greater among small caps compared to large caps.

The largest spread was in Volatility within the Russell 2000. There, lower volatility stocks outperformed higher volatility stocks by 2.11%. Investors sought lower volatility small cap stocks while the broader index declined last week.

Momentum (medium- and short-term) and Value each were at or near a 2.00% return in the small cap space. Small cap outperformers tended to exhibit higher momentum and more attractive valuation, on average. Higher capitalized stocks had a smaller influence.

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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