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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 and Russell 2000 each gained close to 4.0% last week, following three weeks of losses. The large cap index returned 3.88% and the small cap index returned 4.07%. Three factors experienced returns larger than one standard deviation from their historical weekly averages.

Volatility was a significant contributor to market returns. Stocks with the highest Volatility outperformed those with the least Volatility by 5.41% in the Russell 1000 and by 5.51% in the Russell 2000. Volatility returns in each index were greater than 1.5 standard deviations from their averages.

Value and Medium-term momentum (MTM) – typically uncorrelated factors – had similar returns last week. Within the large cap space, the spread between the highest and lowest ranked MTM stocks was -2.91%. Value returned -2.58%. Stocks with higher Value rankings underperformed those with lower Value rankings, on average.

Among small caps, MTM experienced a -4.07% return and Value returned -4.03%. The negative Value spread was the largest move compared to its own history. The factor’s return was greater than two standard deviations below its 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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