Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets were mixed for the fourth time in six weeks. The large cap Russell 1000 rose 1.81% while the small cap Russell 2000 declined 1.01%.

Factor returns were mostly congruent across the capitalization range. Each index experienced a factor spread beyond normal expectations.

Size (capitalization) was an influential factor last week. The largest companies outperformed the smallest in the large cap universe by 1.77% and by 2.42% in the small cap space. The small cap Size spread was greater than one standard deviation above average.

Less attractively valued stocks were in favor last week. Stocks with the most attractive Value ranks underperformed those with the least attractive Value ranks by 2.27% in the Russell 1000 and by 0.67% among small caps. The large cap Value spread was greater than one standard deviation below its average.

Momentum factors were positive. Both medium- and short-term trends continued to outperform last week.

Volatility was mixed between the two indices and not a meaningful contributor to index returns.

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.