Weekly Factor Returns

A look at what factors influenced the market last week

Domestic equities were negative for the second straight week. The Russell 1000 declined 0.39% while the Russell 2000 declined 1.62%. Value and Volatility continued to be the dominant forces behind index returns.

Value was a positive driver of both indices. The most attractively valued stocks outperformed the least attractive by 2.28% in the large cap universe and by 5.02% among small caps. The large cap spread equated to a 1.1 standard deviation move and the small cap Value spread was 2.3 standard deviations above the weekly average.

Lower Volatility stocks were favored relative to those with the highest Volatility. The Volatility spread in the large cap space was -2.93% and -3.33% in the Russell 2000.

On average, companies with higher Medium-term momentum (MTM), low Short-term momentum (STM), and larger capitalization (Size) outperformed those with the opposite characteristics.

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.