Weekly Factor Returns

A look at what factors influenced the market last week

Index returns were slightly negative. The large cap Russell 1000 declined 0.15% and the small cap Russell 2000 declined 0.20%. Factor spreads were within normal ranges.

Medium-term momentum (MTM) had the biggest moves. It was the only factor with an absolute Decile 1 minus Decile 10 spread of at least 1.0%. MTM experienced a reversal as stocks that had outperformed the most over the past six months underperformed last week.

Short-term momentum (STM) had divergent spreads between the two indices. Stocks that had outperformed the previous four weeks continued to outperform last week within the Russell 2000. Recent winners declined relative to recent losers in the large cap space.

Volatility declined in each index. Both spreads were just shy of -1.0%.

Value was more of a contributing factor among small caps, as was Size.

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.