Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets were positive last week. This was the fourth consecutive week of gains for the Russell 1000 (+1.58%) and the Russell 2000 (+1.79%).

Factor returns were directionally similar between the two indices. Value and Volatility were the dominant influences. Each spread was greater than one standard deviation within the small cap universe.

Volatility was positive with spreads of over 2% in each index. The most volatile stocks outperformed the least volatile by 3.47%, on average, among small caps and by 2.55% within the large cap universe.

Value was not influential with negative spreads in each index. The most attractively valued stocks underperformed the least attractively valued by 1.04% in the Russell 1000 and by 2.72% in the small cap space.

Size was negative as smaller companies tended to outperform larger capitalized stocks.

Medium-term momentum (MTM) was negative. The stocks that had outperformed the most over the prior six months experienced a negative reversal last week.

Short-term momentum (STM) was mildly positive in each index.

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.