Weekly Factor Returns

A look at what factors influenced the market last week

Equity indices declined last week after two straight weeks of gains. The small cap Russell 2000 led the decline with a -2.99% return. The large cap Russell 1000 fell 1.06%.

All factor spreads were within normal ranges. Growth, Size and Medium-term momentum (MTM) influenced the broad market.

The largest companies in each index outperformed the smallest decile by over 1.0%, on average.

MTM was also positive. Stocks that had outperformed the most over the previous six months continued to outperform last week.

Value was out of favor last week. The most attractively valued stocks underperformed in each index. The Value spread was -1.35% in the Russell 1000 and -0.89% in the small cap index.

Short-term momentum (STM) and Volatility each had diverging 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.