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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 and Russell 2000 finished positive in the holiday-shortened week. The large cap index rose 1.56% and the small cap index rose 1.07%. Factor returns were within normal ranges.

Value had the largest return and was most consistent between the two indices. More attractively valued stocks outperformed the least attractive by 2.02% in the large cap universe and by 1.35% among small caps.

Short-term momentum (STM) declined 0.79% in the Russell 1000. The largest companies within the small cap Russell 2000 outperformed the smallest by 0.62%. Larger companies underperformed, on average, in the large cap index. Volatility returns were mixed. Medium-term momentum (MTM) spreads were negligible.

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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