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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 and Russell 2000 declined for the third consecutive week. The former returned -3.34% and the latter -4.70%. Factor returns were within normal ranges.

Volatility was the biggest mover. Stocks exhibiting lower Volatility were in favor during the market’s decline. The stocks with the highest Volatility rankings underperformed those with the lowest by 2.98% in the large cap space and -3.34% among small caps.

Stocks that outperformed the most over the previous six months continued that trend last week. The spread between stocks with the highest Medium-term momentum and the least was 2.62% in the Russell 1000 and 2.20% in the Russell 2000.

Capitalization was positive in each index. Value was mixed with more attractively valued stocks underperforming in the small cap 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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