Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets were mixed last week. The Russell 1000 Index rose 1.14% while the Russell 2000 Index declined 2.07%.

Factors were directionally similar. Large cap spreads dominated small cap spreads in four of our five key factors.

Within the large cap universe, Size was the predominant factor last week. The largest companies in the Russell 1000 outperformed the smallest companies by 2.11%, on average. The large cap Size spread was one standard deviation above average.

In the small cap universe, Medium-term momentum (MTM) was the biggest mover, where the factor experienced a reversal. The highest MTM stocks underperformed the lowest MTM stocks by 1.63% last week.

Value and Volatility both were negative. The two factors often exhibit low-to-negative correlation but had similar returns last week. Among Russell 1000 stocks, the Value spread was -1.15% and Volatility was -1.29%. Within the Russell 2000, the two spreads were -0.58% and -0.75% for Value and Volatility, respectively.  

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.