Weekly Factor Returns
A look at what factors influenced the market last week
In a week with unexciting index returns, there were some extreme factor returns. The Russell 1000 gained 0.89% and the Russell 2000 rose just 0.25%. However, Volatility declined 5.0% in each capitalization universe and Value gained 6.6% within the large cap space and 7.5% among small caps. Size and Short-term momentum returns were not significant, especially compared to Value and Volatility. Medium-term momentum returned 4.2% in the large cap universe and 1.4% within small caps. Good value and low volatility was the winning formula last week.
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.