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Weekly Factor Returns

A look at what factors influenced the market last week

Both the large and small indices were negative last week. The small cap Russell 2000’s 2.04% decline was steeper than the Russell 1000’s 1.40% drop. Value led the way again in both capitalization ranges, returning 2.70% among large caps and 2.35% in the small ca space. Higher Volatility stocks declined for a second straight week too. Momentum – both medium- and short-term – and Size had diverging returns within large and small caps. Each were positive within the Russell 1000 and negative within the Russell 2000.

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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