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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 and 2000 each declined after four weeks of gains. The small cap index fell 2.90% compared to the larger company index which fell 1.42%. Factor returns were congruent across the indices.

Medium-term momentum (MTM) and Volatility had the largest moves. The spread between the highest and lowest MTM stocks was 7.73% in the small cap universe and 7.24% among large caps. Both MTM spreads were over 2.5 standard deviations from the weekly averages.

Volatility declined sharply for the first time in five weeks. The highest Volatility stocks underperformed the lowest ranked by 7.71% and 8.43% in the small and large indices, respectively.

Stocks ranked highly on Value also performed better on average than those with low Value characteristics.

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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