.png)
A look at what factors influenced the market last week
Equities rose sharply last week. The Russell 1000 index gained 4.06% while the Russell 2000 gained 4.39%.
Factors were mostly more robust in the small cap universe compared to large caps. Volatility and small Value experienced the biggest factor moves.
Volatility was a key driver of returns in both indices. Stocks with the highest Volatility rankings outperformed those with the lowest ranks by 4.53% in the large cap universe and by 7.49% among small caps. The large cap Volatility spread was greater than one standard deviation above average and the small cap spread was greater than two standard deviations.
Value in the small cap universe was negative. The most attractively valued small stocks underperformed the least attractively valued by 6.01%. This represented a three standard deviation move.
Medium-term momentum (MTM) had divergent spreads between the two indices. MTM was negative in the Russell 1000 but experienced a +2.67% spread in the Russell 2000.
Short-term momentum (STM) and Size were both positive 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.