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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 declined 2.00% and the Russell 2000 declined 1.81%. It was the second consecutive week of negative returns for the indices. Each index had differing drivers of returns as factor returns were divergent between the indices.

Short-term momentum (STM) experienced the widest dispersion between the large and small indices. In the large cap space, MTM had positive 2.57% spread, while it was negative 1.36% in the small cap space.

Within the large cap universe, outperforming stocks tended to be larger, more attractively valued, and less volatile. The opposite was true in the small cap universe. There, outperforming stocks were smaller, less attractively valued, and had higher Volatility, on average.

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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