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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 rose 2.57% and the Russell 2000 rose 2.37% last week. Factor returns were congruent between the indices. Three of the five key factors produced spreads greater than one standard deviation.

Volatility was the biggest mover, nearing 5% in each index. The 4.90% return in the large cap universe and 4.70% in the small cap universe were each about 1.5 standard deviations above their historical averages.

All other factors had negative spreads, with Medium-term momentum (MTM) down the most. Stocks that had outperformed the most over the previous six months reversed course and underperformed the biggest losers over the past six months.

Value stocks underperformed more expensive shares by -2.28% in the large cap space and by -2.09% among small caps. Higher Volatility and lower Value has been a key driver of index returns to start 2023.

Smaller capitalized companies outperformed larger issues, on average, in each index. Short-term momentum (STM) was slightly negative.

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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