Weekly Factor Returns

A look at what factors influenced the market last week

Equities were positive last week. The large cap Russell 1000 gained 3.12% and the small cap Russell 2000 rose 3.97%.

Small cap factor returns dominated their large cap counterparts. Two small cap factor spreads exceeded normal ranges.

There was a Short-term momentum (STM) reversal in the small cap universe. Stocks that had outperformed during the previous four weeks underperformed last week. The STM spread was -5.36%, which was more than two standard deviations below its weekly average. STM declined among large caps too with a -1.73% spread.

Volatility experienced divergent returns between the two indices. The highest ranked stocks based on Volatility outperformed the lowest ranked by 1.35%, on average, in the large cap universe. Volatility was negative in the small cap index as lower Volatility stocks outperformed.

Value was also mixed. The most attractively valued stocks outperformed the least attractive within the Russell 2000 (+2.48%). The small cap Value spread was greater than one standard deviation above average. Value was negligible in the Russell 1000.

Size was positive in the small cap space and negative among large 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.