Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets declined significantly last week on the back of tariff announcements. The large cap Russell 1000 fell 9.12% and the small cap Russell 2000 lost 9.64%.

Two small cap and three large cap factors experienced outsized returns. Value was the lone factor with divergent returns between the two indices.

Volatility was negative as investors sought lower Volatility stocks during the market’s decline. The stocks with the most Volatility underperformed those with the least Volatility by 6.47% in the Russell 1000 and by 5.66% in the Russell 2000. Both spreads were just shy of two standard deviations below average.

Short-term momentum (STM) was positive, particularly in the large cap universe (+6.08%), where the spread was more than double that of the small cap STM return (+2.63%). Stocks that outperformed over the previous four weeks continued to outperform last week. Both spreads were greater than one standard deviation, with the large STM spread 2.5x above average. Medium-term momentum (MTM) was less influential last week.

The largest stocks in each index outperformed the smallest, on average. The return difference between the top and bottom deciles of market capitalization was +3.39% in the large cap universe and +1.82% among small caps. The large cap Size spread was over one standard deviation above average.  

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.