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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 and Russell 2000 indices declined again last week. This was the fourth weekly drop in the last five and seventh in the last nine weeks. Volatility and Value produced the largest returns.

Volatility experienced the greatest spreads on an absolute basis. The highest Volatility stocks underperformed the lowest by 5.39% in the large cap universe and 7.19% among small caps. The negative return for Volatility was greater than two standard deviations below the small cap weekly average.

Value returns were positive in each index. Stocks in the top decile of Value outperformed those in the bottom 10% by 4.85% in the Russell 1000 and by 3.77% in the Russell 2000. The factor’s return among large caps was 2.5 standard deviations above the weekly average.

Stocks with higher Medium-term momentum (MTM) outperformed those with the least MTM, on average, in each index.

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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