Weekly Factor Returns

A look at what factors influenced the market last week

Major domestic equity markets were positive for the second consecutive week. The large cap Russell 1000 rose 1.03% while the small cap Russell 2000 rose 1.19%.

Value was the lone factor with divergent spreads between the two indices. It also produced the only return that exceeded normal expectations.

In the small cap universe, the most attractively valued stocks underperformed the least attractively valued by -2.63%, on average. This spread was greater than one standard deviation below the weekly average. Value was a positive influence in the large cap index.

Volatility was in favor last week. The most volatile stocks outperformed the least volatile by +1.26% in the Russell 1000 and by +1.85% in the Russell 2000.

Both measures of Momentum reversed. Recent outperformers over the past six months and four weeks each underperformed last week.

Smaller capitalized companies tended to do better relative to larger issues. Size was -1.72% in the large cap index and -2.18% in the small cap space.

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.