Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 gained 1.33% and the Russell 2000 rose 0.53%. Factors were directionally similar and within expected ranges.

Stocks that were more attractively valued, larger, exhibited momentum, and were lower Volatility tended to fare better than those with the opposite characteristics.

Volatility declined -1.40% among large caps and -2.07% among small caps. The largest stocks in each index outperformed the smallest, on average.

Momentum – both Medium-term and Short-term – continued to outperform last week. Spreads were greater for each in the small cap index.

Value was positive. The factor resumed its inverse correlation with Volatility after they both were negative last week.

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.