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Weekly Factor Returns

A look at what factors influenced the market last week

Stock indices ended flat for the holiday-shortened final trading week of 2022. The Russell 1000 declined 0.07% and the Russell 2000 rose 0.08%. Factor spreads were more robust, except for Short-term momentum (STM).

Within the Russell 2000, higher Volatility stocks outperformed those with the least Volatility. Volatility was less influential in the Russell 1000.

Medium-term momentum (MTM) reversed in both indices. Stocks exhibiting the highest MTM underperformed those with the least momentum by 2.54% in the large cap space and 3.03% among small caps.

Capitalization (Size) was an influential factor in the small cap universe. The largest companies in the Russell 2000 underperformed the smallest by 3.10%. Size was less influential in the Russell 1000.

Value underperformed higher-growth stocks by about 1.5% in each index.

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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