Weekly Factor Returns

A look at what factors influenced the market last week

Large and small indices were sharply lower last week. The Russell 1000 declined 5.86% while the Russell 2000 declined 7.43%. Factor returns were within normal weekly ranges.

Volatility returns were greatest in both universes. The lowest volatility stocks outperformed those with the highest volatility by 2.74% within the Russell 2000 and 2.25% in the Russell 1000. Volatility’s returns were not extreme as they each fell within one standard deviation of the historical weekly average.

Medium-term momentum among small caps was the second-largest mover. The factor returned 2.16%. The positive return spread between outperformers and underperformers over the previous six months continued last week. The factor’s return was in the 84th percentile compared to its historical weekly average.

Short-term momentum and Value each declined over 1.0% in the large cap space. Each factor’s returns were within normal ranges.

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.