Weekly Factor Returns

A look at what factors influenced the market last week

Major indices were mixed last week. The Russell 1000 gained 1.47% while the Russell 2000 dropped 0.95%.

Factor returns were directionally similar with several spreads exceeding normal expectations.

Medium-term momentum (MTM) in the large cap space was the biggest mover. The spread between the highest MTM stocks and those with the least MTM was +2.80%.

Short-term momentum (STM) was just under +1.0% in each index.

Size was a key factor in both indices. The large companies outperformed the smallest by 2.45% in the Russell 1000 and by 1.58% in the Russell 2000.

Value and Volatility were both negative for the second consecutive week. The most attractively valued stocks in the small cap index underperformed the least attractively valued by 2.11%.

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.