Weekly Factor Returns

A look at what factors influenced the market last week

Large and small cap stock indices were positive last week. The Russell 1000 gained 1.71% and the Russell 2000 gained 1.93%. Factor returns were directionally similar across the capitalization ranges.

Volatility in the large cap universe was the most significant influence. The spread between the highest Volatility stocks and the least volatile was 4.30%. That was greater than one standard deviation above average. The spread was 2.00% in the small cap universe.

A Medium-term Momentum (MTM) reversal along with smaller companies outperforming were themes within each index. MTM declined 2.23% in the large cap universe and 1.35% in the small cap universe.

Value returns were positive, but mild.

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.