Weekly Factor Returns

A look at what factors influenced the market last week

Equity indices were positive last week. The Russell 1000 gained 0.66% and the Russell 2000 gained 0.80%. Both indices were positive for the first time in four weeks.

Small cap factor spreads dominated large cap spreads in four of the five key factors. Value was the largest mover relative to its own history.

The spread between the most attractively valued stocks and the least attractively valued stocks was +2.70% in the Russell 2000 and +1.71% in the Russell 1000. The small cap Value spread was greater than one standard deviation above average.

Volatility was negative. The most Volatile stocks underperformed the least Volatile by 2.18% in the small cap universe and by 1.68% among large caps.

The largest stocks outperformed the smallest in each index. The Size spread was 2.0% in the Russell 2000, although Size has less of an influence on the overall small cap index as it does on the Russell 1000.

Both measures of Momentum were negative.

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.