Weekly Factor Returns

A look at what factors influenced the market last week

Both the large cap Russell 1000 and small cap Russell 2000 sold off last week. It was the second consecutive week both indices declined. Small caps led the downward move by losing 4.43% on the week. Large caps suffered a 2.16% loss.

Large cap factor returns were within normal ranges. One small cap spread exceeded normal expectations.

Volatility was lower and the only factor where the large cap spread dominated versus the small cap spread. Lower Volatility stocks were in favor during the market’s decline last week. The most volatile stocks underperformed the least volatile by 2.04% in the Russell 1000.

Size was positive as the largest capitalized companies outperformed their smallest peers within each index. The Size spread was +1.37% in the large cap universe and +2.43% among small caps. The small cap Size spread was greater than one standard deviation above its average.

Medium-term momentum (MTM) experienced a very positive return within the Russell 2000. The stocks that had outperformed the most during the previous six months continued to outperform last week. The small cap MTM spread was +2.70%. MTM was less influential in the Russell 1000.

Short-term momentum (STM) was also positive, but to a lesser extent among small caps. STM was slightly more positive in the large cap universe.

Value was negative in each index. The most attractively valued stocks underperformed the least attractively valued by 0.60% among small caps.

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.