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A look at what factors influenced the market last week
Equities were negative in the first week of September. The Russell 1000 declined 4.27% while the Russell 2000 declined 5.67%.
Factor returns were mostly within expected ranges. Value was the only factor with divergent spreads between the indices.
Volatility was lower. Stocks with the highest Volatility ranks underperformed those with the least Volatility by 3.15% in the large cap universe and by 4.10% among small caps. The large cap Volatility spread was greater than one standard deviation below average.
Larger companies were in favor during the broader market decline. The largest companies outperformed the smallest, on average, by 1.18% in the Russell 1000 and by 1.49% in the Russell 2000.
Both medium- and short-term measures of momentum were positive last week.
Value was the only factor with divergent returns. The factor was positive for small caps with a spread of +1.98%.
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.