Weekly Factor Returns
A look at what factors influenced the market last week
The Russell 1000 and Russell 2000 indices declined last week, mainly due to Friday’s sell-off. The large cap index declined 3.87% while the smaller cap index declined 2.93%. Factors were less extreme with most falling within normal expectations.
Medium-term momentum (MTM) saw the largest spread within the Russell 2000. Stocks exhibiting the highest MTM outperformed those with the least by 3.07%, on average. It was the only factor spread that had a return greater than one standard deviation. MTM had the biggest return among large caps as well.
Volatility was positive, returning 1.87% in the Russell 2000 and 1.41% in the Russell 1000. Value was the only factor that was significantly negative. (Size in the R1K was essentially flat).
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.