Weekly Factor Returns
A look at what factors influenced the market last week
The Russell 1000 declined 3.39% and the Russell 2000 declined 2.53%. Factor returns were not extreme with most falling within expected ranges.
Lower Volatility was in favor. The spread between the top decile (high Volatility) and the bottom decile was -3.53% in the large cap space and -3.13% among small caps.
Short-term momentum (STM) was positive. Stocks with the largest outperformance over the previous four weeks continued to outperform against those with the poorest four-week performance.
Value & Capitalization (Size) were also positive, more so in the Russell 1000. Medium-term momentum (MTM) was mixed with a positive spread among large caps and a negative spread in the Russell 2000.
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.