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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 rose 1.77% and the Russell 2000 rose 3.90%. Factor returns in the large cap universe were more pronounced compared to small cap factor returns. Four factors had spreads greater than one standard deviation from its average.

Stocks with the highest Volatility outperformed those with the least by 5.23% in the Russell 1000 and by 1.90% in the Russell 2000.

Smaller companies performed better than larger companies. The top decile of Size underperformed the bottom decile by -4.67% among large caps. The spread was more than two standard deviations below the weekly average.

Momentum returns varied by timeframe. Short-term momentum (STM) was positive and Medium-term momentum (MTM) was 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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