Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets were mixed last week. The Russell 1000 rose 0.62% while the Russell 2000 declined 0.13%.

Higher Volatility and a Short-term momentum (STM) reversal were the key drivers in each index. All factor spreads were within normal ranges.

The most volatile stocks outperformed the least volatile by 1.68% in the small cap universe and by 0.83% among large caps.

Recent winners reversed last week with STM producing negative spreads. Stocks that had rose the most over the previous four weeks underperformed relative to stocks that had underperformed the most during the previous four weeks.

Smaller companies were favored relative to larger capitalized stocks in the Russell 1000. The average return difference between the larges and smallest companies in the large cap index was -1.31%.

Value was not a meaningful influence on returns last week. Medium-term momentum (MTM) had divergent returns between the two indices.

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.