Weekly Factor Returns

A look at what factors influenced the market last week

Equities were flat-to-slightly positive for the last week of August. The Russell 1000 rose 0.27% and the Russell 2000 was unchanged (-0.01).

Low Volatility and attractive Value were the two key themes across each index. All factor spreads were within expected ranges.

Volatility was negative. The spread between the most volatile stocks and the least volatile was -2.55% in the Russell 1000 and -2.96% in the small cap universe.

Value was in favor last week. The stocks with the most attractive Value ranks outperformed those with the least attractive Value characteristics. The positive Value spread was +0.97% in the large cap universe and +1.34% among small caps.

Size was a key factor in the Russell 1000 (+1.51%), but less meaningful in the Russell 2000.

Short-term momentum (STM) had the most divergent returns between the two broad indices. STM was positive in the Russell 1000 as recent winners continued their outperformance. STM experienced a reversal within the Russell 2000 as recent winners underperformed last week.

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.