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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 gained 6.60% and the Russell 2000 gained 6.49%. It was the first positive week for the Russell 1000 since the week ending April 1st and the first time in five weeks for the Russell 2000. Factor returns were largely overshadowed by the strong index moves.

Volatility returns were greatest within each index. Investor sentiment grew for riskier stocks, supporting the broader indices. Among small caps, stocks with the highest volatility outperformed those with the lowest by 4.42%. Volatility was positive in the Russell 2000 for the first time in nine weeks.

Short-term momentum experienced a reversal as recent outperformers lost favor. Value and Size were each positive with greater returns seen in the small cap universe.

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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