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Weekly Factor Returns

A look at what factors influenced the market last week

Large and small cap stocks declined sharply last week. The Russell 1000 lost 4.79% and the Russell 2000 lost 4.46%. Value was the lone factor with divergent returns between the indices.

Volatility declined, particularly among small caps, as investors sought stocks with lower price volatility during the market decline. The -4.21% spread between stocks with the highest and lowest Volatility in the Russell 2000 was 1.3 standard deviations below the weekly average.

Both Short-term (STM) and Medium-term (MTM) Momentum were positive. Recent winners outperformed recent losers by 3.46%, on average, in the Russell 1000. Last week’s STM return was 1.5 standard deviations above its weekly average.

Value returns were mixed. Stocks with higher Value ranks (cheaper) outperformed the lowest ranked (expensive) by 1.78% in the Russell 2000. The opposite was true in the large cap space. Higher Value stocks slightly underperformed.

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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