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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 straight week. The large cap index fell 2.70% compared to the smaller cap index decline of only 0.82%. Factor returns were mixed in terms of magnitude and direction, but most were within normal expected ranges.

Short-term momentum (STM) among large caps was the biggest mover on an absolute basis and relative to its own history. The 3.17% spread was 1.3 standard deviations above its weekly average. Medium-term momentum (MTM) was above 2% in both indices.

Capitalization (Size) experienced differing spreads between the large and small indices. The largest 10% of stocks within the Russell 2000 outperformed the smallest 10% by 2.16%. Size was essentially flat in the Russell 1000. Value and Volatility were mixed, with each spread within +/- 1%.

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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