Weekly Factor Returns
A look at what factors influenced the market last week
Index returns turned negative again last week. The Russell 1000 declined 1.06% and the Russell 2000 declined 1.40%. Factor returns were congruent between the indices. Factor returns were more pronounced among small caps for Medium-term momentum, Value, and Volatility.
Stocks with better Value characteristics, higher Medium-term Momentum, and lower Volatility outperformed, on average.
Medium-term momentum had the largest factor returns in each index. The highest-ranked stocks outperformed the lowest by 4.76% in the Russell 2000. This was just below the 97th percentile for all weeks dating back to 2000.
Value and Volatility returns were similar in magnitude in each universe. In the Russell 2000, the Value spread was +3.11%, while Volatility declined 3.12%.
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.