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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 declined 1.14% and the Russell 2000 declined 0.22% for the week ending June 3, 2022. Factor returns were lower relative to recent history.

In the large cap space, Medium-term momentum and low Volatility experienced the greatest returns. Stocks with the highest medium-term momentum outperformed those with the least medium-term momentum by 1.35%. Stocks with the highest volatility rankings underperformed those with lower volatility by 1.74%.

Trends were similar within the Russell 2000. Value was a key factor in the small cap space too. The most attractively valued companies outperformed those with weaker value rankings by 1.24%, making it the largest factor return among small caps.

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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