Weekly Factor Returns
A look at what factors influenced the market last week
Large and small cap indices were down sharply during the week ended June 6th, 2022. It was the second consecutive week of negative returns. The Russell 1000 declined 5.05% and the Russell 2000 declined 4.37%. Factor returns were mostly congruent. Volatility experienced the largest spreads in each index.
Lower volatility stocks outperformed during the sell-off last week. A negative return for Volatility means high volatility stocks underperformed. The spread between stocks with the least volatility and those with the highest was 4.28% in the Russell 1000 and 3.06% in the Russell 2000.
Medium-term and Short-term momentum returns were positive in each index and greater among large caps. Stocks that outperformed over the previous six months and four weeks continued to outperform last week.
Value was a positive but less significant contributor within each index. Capitalization (Size) was divergent among large and small stocks. mixed. The largest companies outperformed the smallest by 1.60%, an average, in the Russell 1000.
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.