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Weekly Factor Returns

A look at what factors influenced the market last week

Index returns were positive for the week ended August 5th, 2022 but were overshadowed by the magnitude of factor returns. The Russell 1000 gained 0.67% and the Russell 2000 gained 1.96%. Factor spreads were more extreme in the Russell 2000.

Within the Russell 2000, four out of the five key factors experienced a return greater than two-standard deviations. Value was the most extreme. Among the small cap universe, the most attractively valued companies underperformed the least attractive by 9.76%. Last week’s Value return measures 4.9 standard deviations below the weekly average. Growth characteristics were in favor.

Volatility was another driving factor last week. The spread between the most volatile and least volatile stocks was 9.17% in the Russell 2000 and 8.96% in the Russell 1000. Each return was just below a three-standard deviation move.

Smaller, negative Medium-term momentum stocks also outperformed those with the opposite attributes, on average.

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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