Weekly Factor Returns
A look at what factors influenced the market last week
The Russell 1000 (-0.06%) and Russell 2000 (-0.23%) indices each declined slightly. Factor returns were more pronounced. Medium-term momentum, followed by Value, were the two most positive factors in the large cap space. Higher Volatility stocks declined among Russell 1000 constituents. In the Russell 2000, higher Volatility stocks had the highest returns, whereas Size and Short-term momentum declined the most.
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.