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Weekly Factor Returns

A look at what factors influenced the market last week

Despite the heightened volatility last week, the Russell 1000 declined only 0.47% and the Russell 2000 declined 1.29%.

Recent trends continued for Value and Volatility. Momentum and Size returns were divergent between the large and small indices.

Returns were largest for Value in both indices. The return differential between the most attractively valued and the least attractive was 3.75% in the Russell 1000 and 2.12% in the Russell 2000.

Volatility was negative, meaning stocks exhibiting lower price volatility outperformed those with higher volatility rankings.

Medium-term momentum experienced the widest return dispersion between the two indices. The highest momentum stocks outperformed the lowest momentum stocks by 2.29% in the Russell 1000 but underperformed by 2.02% in the Russell 2000. Similar trends occurred with Short-term momentum and Size, with less magnitude.

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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