Weekly Factor Returns

A look at what factors influenced the market last week

Domestic equities were mixed last week. The large cap Russell 1000 declined 1.82% while the small cap Russell 2000 gained 1.69%.

Smaller companies with attractive valuations and lower volatility were generally favored compared to stocks with the opposite characteristics.

Capitalization (Size) in the large cap universe had a spread greater than one standard deviation below its average while Value in both indices exceeded one standard deviation above average.

Volatility was negative as stocks with the highest Volatility rankings underperformed those with the least Volatility.

Medium-term Momentum (MTM) reversed last week. Stocks that had outperformed the most over the previous six months underperformed last week. Short-term Momentum (STM) was negligible in each index.

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.