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Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 declined 1.24% and the Russell 2000 declined 3.34%. Similar to the market’s reversal from the prior week’s positive return, each factor’s spread reversed direction from its prior weekly return.

The Russell 2000 dropped further than the Russell 1000, but factor spreads were more pronounced in the large cap universe. Momentum, both medium-term (MTM) and short-term (STM), and Volatility were the largest drivers.

Stocks with the highest Medium-term momentum outperformed those exhibiting the least momentum by 6.37% in the Russell 1000 and by 5.47% in the Russell 2000. Each spread was at least a two standard deviation move.

Short-term momentum experienced a strong reversal. The spread between stocks with the greatest and least outperformance over the last month was -5.33% and -4.24% in the small and large universes, respectively.

Lower Volatility stocks were in favor last week. Stocks with the lowest Volatility outperformed those with the highest by 6.00% among large caps and by 5.81% among small caps.

Stocks with more attractive Value rankings and those with higher capitalizations tended to perform better than those with the opposite characteristics, on average.

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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