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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 and Russell 2000 ended positive last week despite a large Friday decline. The small cap index outperformed the large cap index. Factor returns were within normal ranges.

Value was a key driver of returns. The spread between the most attractively valued decile of small cap companies and those in the bottom decile was 2.42%. The spread was 1.55% among large caps.

Stocks with the highest Short-term momentum (STM) outperformed those with the least STM by over 1.00% in each index.

Volatility returns were divergent between the large and small indices. The most volatile stocks outperformed the least volatile by 2.31% in the Russell 1000. Volatility was slightly negative in the small cap universe.

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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