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Weekly Factor Returns

A look at what factors influenced the market last week

The large and small Russell indices declined in the week ended July 1st, 2022, following the prior week’s large gains. The Russell 1000 lost 2.30% while the Russell 2000 lost 2.09%. Factor returns were congruent between the indices. Volatility and Medium-term momentum experienced the greatest moves.

The spread between medium-term outperformers and underperformers was 6.59% in the large cap index and 5.56% among small caps. Compared to each’s history, Momentum returns were above the 98th percentile in the Russell 1000 and above the 97th percentile in the Russell 2000.

Volatility declined by 6.75% and 7.13% in the Russell 1000 and Russell 2000, respectively. This means lower volatility stocks outperformed those with higher volatility. Last week’s sharp decline was in the left tail of historical distributions. Each return was at least two standard deviations below its historical weekly average.

Value returns were also positive. The spread between the most attractively valued stocks and the least attractively valued was 2.82% in the large cap space and 3.29% among small caps. Each return was near the 94th percentile, meaning only about 6% of the weeks since the beginning of 2000 had higher returns.

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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