Weekly Factor Returns

A look at what factors influenced the market last week

Domestic equities rose for the second consecutive week. The Russell 1000 gained 1.51% and the Russell 2000 gained 2.10%.

Volatility was a key influence in the large cap universe. All spreads were within normal ranges.

The most volatile stocks outperformed the least volatile by 2.98%, on average, in the Russell 1000. Volatility was negligible in the small cap universe.

Value was positive in each index. The difference between the most attractive and least attractive deciles of Value was +1.77% in the Russell 2000 and + 0.84% among large caps.

Momentum (both Short- and Medium-term) and Size each had spreads greater than 1.0% in the small cap universe, whereas the same factors were essentially flat in the Russell 1000.

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.