Weekly Factor Returns

A look at what factors influenced the market last week

U.S. stocks were negative for the fourth consecutive week. The large cap Russell 1000 declined 2.22% while the small cap Russell 2000 declined 1.45%.

Factor returns were directionally similar across the two indices and less extreme than the previous week. Only one factor exceeded normal expectations.

Medium-term momentum (MTM) rebounded from last week’s historic decline. High MTM small cap stocks rose 2.71%, on average, compared to low MTM stocks. Short-term momentum (STM) was lower as the stocks that rose the most during the previous four weeks underperformed last week.

Size was positive. The largest stocks in each universe tended to outperform the smallest. Size has a larger influence on the overall index among large cap stocks than it does in the small cap index.

Value declined last week. The most attractively valued stocks in the Russell 2000 underperformed the least attractively valued by 2.39%, on average. The Value spread in the large cap index was -1.69%. Both spreads were greater than one standard deviation below their averages.

Volatility was higher during the market decline. Small cap Volatility was particularly high. The most volatile stocks in the small cap universe outperformed the least volatile by 2.04%. The large cap Volatility spread was +0.60%.

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.