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Weekly Factor Returns

A look at what factors influenced the market last week

In a week of subdued index returns, Volatility was up. Three of the other four main factors we monitor were negative in both the large and small universes. Medium-term momentum was the only factor with diverging returns between the indices.

The highest volatility stocks beat the lowest volatility stocks by 2% in the Russell 2000 and 2.6% in the Russell 1000. This coincided with a short- and medium-term momentum reversal in the large cap space. Large & Value also declined. Similar dynamics occurred in the Russell 2000, save for a 0.5% outperformance for higher momentum stocks versus lower momentum.

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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