Weekly Factor Returns

A look at what factors influenced the market last week


The Russell 1000 and Russell 2000 had strong gains last week with both indices rising over 4.00%. Factor returns were smaller compared to the broad indices. All factor returns were within normal ranges.


Stocks with high Volatility, negative Short-term momentum, and positive Medium-term momentum outperformed those with the opposite characteristics, on average. Volatility within the Russell 2000 experienced the largest move (+2.76%) among the five key factors.

Value was an insignificant driver of returns. The spread between the most attractively valued and least attractively valued was less then 30 basis point in each index.


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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