Weekly Factor Returns
A look at what factors influenced the market last week
The Russell 1000 declined 3.48% and the Russell 2000 declined 5.06%. Higher Volatility stocks led the decline.
Stocks in the top decile of Volatility underperformed the least volatile decile by 5.20% among large caps and by 4.45% among small caps. Both Volatility spreads were greater than a standard deviation below their averages.
Value was in favor last week, particularly in the Russell 1000. The least expensive stocks outperformed the most expensive by 3.17% and 1.72% among large and small cap stocks, respectively.
Larger companies tended to outperform in each index. The Size factor was more pronounced in the large cap universe. The Short-term momentum (STM) spread in the Russell 2000 was 2.69% but marginally positive in the Russell 1000. Medium-term momentum (MTM) had diverging returns between the indices.
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.