Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets were mixed last week. The large cap Russell 1000 rose 1.33% while the small cap Russell 2000 dropped 0.77%. The Value factor was the only one with opposing spreads between large and small universes.

Short-term momentum (STM) was positive. Stocks that had outperformed the most during the preceding four weeks continued to outperform last week compared to those stocks that had performed the worst during the preceding four weeks. The STM spread in the small cap universe was 1.5 standard deviations from average.

Medium-term momentum (MTM) was also positive in each index. The top decile of stocks based on relative performance during the six months prior to last week outperformed those ranked lowest on relative six-month performance.

Size was another contributing factor to returns. The largest stocks in each index outperformed, on average, relative to the smallest stocks in each index.

Volatility was negative, indicating investors preferred stocks with the least price Volatility over those with the most Volatility.

Value was a positive factor in the Russell 2000 with a spread of 0.76%. Value was a negative influence in the Russell 1000 where the spread was -1.53%.

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.