Weekly Factor Returns

A look at what factors influenced the market last week

Index returns were mixed last week. The large cap Russell 1000 rose 0.81% while the small cap Russell 2000 declined 0.29%. Capitalization, Medium-term momentum, and Volatility had the greatest influence on stocks.

Within the small cap universe, companies with the largest market capitalizations outperformed the smallest companies by 3.10%. The Size spread equaled a 1.5 standard deviation event. The largest companies also beat the smallest companies in the Russell 1000. The Size spread (+1.97%) within the large cap universe was one standard deviation above the weekly average.

Medium-term momentum (MTM) was rewarded across the capitalization spectrum as well. The spread was above 2.00% in each index.

Volatility was negative, meaning stocks with the least Volatility outperformed those with the highest Volatility.

Short-term momentum (STM) and Value were mixed between the large and small indices. Recent winners and attractive valuation outperformed in the small cap index, while the opposite characteristics fared better in the large cap universe.

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.