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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 rose 3.39% and the Russell 2000 rose 4.97%. Small cap factor returns dominated their larger cap counterparts. Volatility and Medium-term momentum (MTM) saw the largest moves in each index, particularly within the Russell 2000.

MTM declined 6.32% among small caps. The move was greater than two standard deviations below the weekly average. This was the second consecutive week with a MTM reversal of at least 5% in the small cap space.

The highest Volatility stocks outperformed the least volatile by 4.73% in the Russell 2000 and 2.02% in the Russell 1000. It was the fourth straight week of positive Volatility spreads in each index. For the small cap universe, stocks with the least attractive Value ranks and showing positive Short-term momentum fared better than those with the opposite characteristics, 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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