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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 gained 2.93% while the Russell 2000 gained 5.27%. Factor returns were extreme in each index. Spreads in the large cap universe were greater along each factor compared to spreads in the small cap universe. High Volatility stocks led the markets higher.

Volatility was, by far, the most influential last week. Higher Volatility stocks outperformed those with lower Volatility by 12.5% in the Russell 1000 and by 10.6% in the Russell 2000. Both spreads were among the most extreme in our data history. Each were greater than three standard deviations above their long-term averages.

All other factors had negative spreads, meaning the stocks with the lowest rankings for each factor (decile 10) outperformed the highest ranked (decile 1) stocks along each factor. On average, stocks that outperformed last week exhibited less Medium-term (MTM) and Short-term (STM) momentum, were less capitalized, and were more expensive.

MTM, STM, Size, and Value each had negative spreads greater than -5% in the large cap universe. Each of those factor returns were more than a standard deviation below their averages. In the small cap universe, spreads were below their large cap counterparts but still equally extreme relative to each factor’s own history.

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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