Weekly Factor Returns
A look at what factors influenced the market last week
The Russell 1000 returned 1.26% and the Russell 2000 returned 1.33%. Factor returns were largely similar and within expected ranges.
Volatility spreads were greatest. Stocks with the highest volatility outperformed those with the least by 2.57% among large caps, and by 2.43% among small caps, on average. Both returns were within normal ranges.
Medium-term momentum (MTM), Size, and Value were each similar between the indices and with each other. Stocks that outperformed tended to exhibit lower MTM, have a smaller capitalization, and less attractive Value characteristics.
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.