Weekly Factor Returns

A look at what factors influenced the market last week

Equities were positive during the week before Christmas with small caps posting strong returns. The Russell 2000 gained 2.47% while the Russell 1000 gained 0.84%. All factor spreads were within normal ranges.

Volatility was positive for the fourth straight week. Stocks with the greatest price Volatility outperformed those with the least by 1.23% in the large cap universe and by 0.77% among small caps.

Sie was another influential factor. Larger companies underperformed their smaller counterparts in each index, particularly within the Russell 1000.

Value was slightly negative and not a major driver of market returns.

Both measures of Momentum were divergent between the two indices. Medium-term Momentum (MTM) was positive in the Russell 2000 and negative in the Rusell 1000. Short-term Momentum (STM) had a positive impact in the large cap space, but was slightly negative among small caps.

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.