Weekly Factor Returns

A look at what factors influenced the market last week

Large cap equities were positive last week. The Russell 1000 gained 1.40%. Small cap stocks were essentially flat for the week (+0.05%).

Factor returns were mostly divergent between the indices. Large cap spreads were all within normal ranges. Size was the lone small cap factor to exceed expectations.

Volatility was positive in each index - the only factor with directionally similar returns. The spread between the most volatile and least volatile stocks was +2.18% in the small cap universe. The large cap Volatility spread was +0.50%.

Size had the most divergent returns between the two indices. The largest stocks outperformed the smallest by 1.10% in the Russell 1000. The largest stocks underperformed the smallest stocks by 2.38% in the Russell 2000. The negative Size spread in the small cap universe was greater than one standard deviation below average.

Value underperformed in the Russell 2000. The most attractively valued stocks declined by 1.32%, on average, compared to the least attractively valued. The Value spread was 0.10% in the Russell 1000.

Both measures of Momentum were mixed. Medium-term (MTM) was negative and Short-term (STM) was positive for large cap stocks. MTM was positive and STM was negative for small cap stocks.

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.