Weekly Factor Returns

A look at what factors influenced the market last week

Equities were positive last week with small cap stocks leading the way. The Russell 1000 rose 1.57% while the Russell 2000 rose 3.62%.

Factor returns were within expected ranges. Four of the five key factors were directionally similar.

Volatility had the strongest returns between the two indices. The most volatile stocks outperformed the least volatility by 2.12% in the large cap universe and by 2.72% among small caps.

Short-term momentum (STM) experienced a negative reversal. The stocks with the highest STM underperformed the stocks with the least STM. STM was -1.74% in the Russell 1000 and -2.13% in the Russell 2000.

Smaller companies were in favor relative to larger capitalized stocks. Size declined by 1.49% and by 1.61% in the large and small indices, respectively.

Value was less influential compared to stocks with higher growth characteristics.

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.