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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 and Russell 2000 indices posted positive returns last week. The larger cap index gained 4.67% while the smaller cap index gained 3.57%. Factor returns were overshadowed by the strong index returns and directionally mixed between the two indices.

Size within the Russell 1000 experienced the greatest move. The largest capitalized stocks outperformed the smallest by 2.10%.

Medium-term momentum, again within large caps, was second in terms of absolute return. The factor spread was -1.30%. Stocks with the greatest six-month outperformance underperformed last week, on average.

Volatility produced the largest spread within the Russell 2000. The stocks with the highest volatility underperformed those with lower volatility by 0.95%.

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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