Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets were mixed last week. The Russell 1000 lost 0.21% while the Russell 2000 gained 0.34%.

Factor returns were mostly divergent too. The biggest moves occurred within the small cap universe. All spreads were within normal expected ranges.

Volatility was negative in the Russell 2000, meaning low Volatility stocks were favored relative to high Volatility stocks. The highest ranked decile underperformed the lowest ranked by 2.33%. Volatility was positive in the Russell 1000 index.

Medium-term momentum (MTM) also experienced a sizeable move in the small cap universe. Stocks that had outperformed during the preceding six months continued to outperform last week. The MTM spread was 2.03% among small caps. MTM was slightly negative in the large cap space.

Short-term momentum (STM) and Value had similar spreads between the two indices. STM was negative last week, while Value was positive.

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.