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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 and Russell 2000 indices were positive for the first time in four weeks. The large cap Russell 1000 rose 6.57% while the small cap Russell 2000 rose 6.02%. Most factor returns were at least one standard deviation greater than their weekly averages. Medium-term Momentum experienced the largest move in each index.

Medium-term Momentum returned -8.76% in the Russell 1000 and -7.61% in the Russell 2000. Stocks that outperformed the most over the previous six months reversed and underperformed last week. Last week’s Medium-term Momentum return among large caps was more than three standard deviations below the mean. It was a 2.9 standard deviation move in the small cap space.

Value in the Russell 1000 was even more extreme. The factor’s spread was -6.23%, which is 3.5 standard deviations below its weekly average. It was one of the worst weekly returns to Value within the Russell 1000 in our data history. Growth was a key driver last week.

Volatility returns were 4.93% and 4.17% in the Russell 1000 and Russell 2000, respectively. Higher volatility stocks outperformed lower volatility stocks. Both returns were less extreme than Medium-term Momentum and Value but still greater than one standard deviation moves.

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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