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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 and Russell 2000 continued their declines last week, falling 2.35% and 2.50%, respectively. Factor returns were mostly directionally similar.

Low Volatility stocks were in favor. The lowest volatility stocks outperformed the highest volatility by -4.94% in the small cap universe and -3.86% in the large cap universe.

Value also was an influential factor with positive returns for large and small caps. Short-term momentum returned 4.36% in the Russell 2000, more than double the factor’s return in the Russell 1000.

The largest stocks in each index had differing return profiles. The largest stocks in the Russell 2000 outperformed the smallest by 2.33%. In the large cap Russell 1000, Size returns were mildly negative.

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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