Weekly Factor Returns

A look at what factors influenced the market last week

Equities were positive for the second consecutive week. The Russell 1000 gained 0.93% while the Russell 2000 gained 1.87%.

Small cap factor spreads dominated their large cap counterparts. Four of the five small cap factor spreads were at least one standard deviation from its weekly average.

Value had divergent returns between the indices. The most attractively valued stocks outperformed the least attractive by 1.70% in the large cap universe. Value was out of favor among small caps. The factor had a -3.35% spread in the Russell 2000.  

Size was negative in both the Russell 1000 and 2000. Smaller companies tended to outperform larger stocks across the capitalization spectrum.

Volatility was influential in the small cap index. The most volatile stocks outperformed the least volatile by 3.04% in the small cap universe. Volatility was less meaningful among large caps.

Medium-term momentum (MTM) reversed in each index. The best performing stocks over the preceding six months underperformed the previous losers. Short-term momentum (STM) was positive in the Russell 2000. The prior month’s winners continued to outperform last week.

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.