Weekly Factor Returns
A look at what factors influenced the market last week
Index returns were slightly negative. The Russell 1000 declined 0.22% and the Russell 2000 declined 0.12%. Factor returns were stronger and directionally similar between the indices.
Volatility had the largest absolute returns. The spread between the highest ranked stocks and the lowest ranked was -4.8% in the large cap universe and -5.64% among small caps. Both were greater than one standard deviation below their averages.
Value was positive. The factor returned 3.21% and 3.84% in the large and small indices, respectively. The strong Value spreads were over 1.5 standard deviations above their averages.
Momentum – both medium-term (MTM) and short-term (STM) – were positive. STM in the Russell 1000 was a particularly strong. The 3.28% spread is greater than a one standard deviation move.
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.