Weekly Factor Returns

A look at what factors influenced the market last week

Large and small cap indices were both positive for the first time in three weeks. The Russell 1000 gained 1.18% and the Russell 2000 gained 0.99%.

Factor returns were within normal ranges.

Negative Value was the most consistent theme between the major indices. Value declined by 1.31% in the large cap universe and by 1.63% among small caps.

Larger companies were favored relative to smaller capitalized stocks. This was truer in the Russell 1000 where Size is more influential.

Both measures of Momentum experienced a reversal in the Russell 2000. The recent winners over the previous six months underperformed last week. Short-term momentum (STM) had divergent spreads with a positive return in the Russell 1000.

Volatility had the largest absolute return in the large cap universe. The large cap Volatility spread was +1.42%. Volatility was less influential in the small cap universe.

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.