Weekly Factor Returns

A look at what factors influenced the market last week

Domestic stocks were positive for the second straight week. Large caps led with the Russell 1000 up 1.76%. The small cap Russell 2000 gained 1.40%.

Only one factor exceeded normal expectations. Value and Volatility produced the largest moves within the small cap universe.

Volatility had the largest spreads within each index. Higher Volatility was a driver of performance.  The most volatile stocks outperformed the least volatile by 2.79% in the Russell 2000 and by 1.33% in the Russell 1000.

Value was negative. The most attractively valued stocks underperformed the most attractively valued by 2.15% in the small cap universe. This was greater than one standard deviation below the weekly average. The Value spread was -0.67% among large caps.

Size was positive in each index. The largest stocks outperformed the smallest by 0.95% in the large cap index where Size has a greater influence on the overall index compared to the Russell 2000.

Short-term momentum (STM) had divergent returns between the indices. The small cap index saw a STM reversal while the stocks that outperformed over the previous four weeks continued to do so last week in the large cap index.

Medium-term momentum (MTM) was positive, with the small cap MTM spread up over 1.0%.

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.