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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 declined 0.58% and the Russell 2000 declined 1.04% for the holiday-shortened week ending Jan 20th. Factor returns were back within normal ranges after the prior week’s extreme spreads.

Volatility had another sizeable return in the large cap space, with a spread of +2.48%. The return difference between high and low Volatility stocks in the small cap universe was insignificant.

Value also experienced differing return profiles between the indices. Less expensive stocks outperformed the most expensive by +2.12% in the Russell 2000 but had a slight negative spread in the Russell 1000.

Medium-term momentum (MTM) experienced another reversal, albeit less severe than last week. Larger companies underperformed less capitalized ones in the large cap universe by -1.65%.

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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