Weekly Factor Returns

A look at what factors influenced the market last week

The last week of June saw mixed results in the equity markets. The small cap Russell 2000 gained 1.33% while the large cap Russell 1000 was essentially flat (+0.01%).

Factor spreads were also divergent between the two indices. All factor returns were within expected ranges.

Momentum factors were negative in the large cap universe. Both Medium-term (MTM) and Short-term-term (STM) experienced declines. Momentum factors were positive in the small cap universe as the past six-month and four-week outperformers continued their trends last week.

Outperforming stocks in the Russell 2000 also tended to be smaller, have weaker Value ranks, and exhibit lower Volatility.

Size, Value, and Volatility were less meaningful factors in the Russell 1000.

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.