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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 declined 2.94% and the Russell 2000 declined 1.05%. Factor returns were divergent between the two indices.

Medium-term momentum and Size experienced the greatest performance differences between the Russell 1000 and 2000. The largest companies in the Russell 1000 underperformed the smallest by 3.05%. Size was +0.49% in the Russell 2000. There was a Medium-term momentum reversal in the large cap space, but the factor was mildly positive among small caps.

Value and Volatility also produced opposing returns. Stocks with low Value rankings and higher Volatility tended to outperform those with the opposite characteristics in the Russell 1000. In the Russell 2000, those stocks with better Value and lower Volatility outperformed, on average.

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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