Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets were mixed during the four trading days last week. The large cap Russell 1000 declined 1.29% while the small cap Russell 2000 gained 1.11%.

Factor returns were within normal ranges. Large cap factor returns did not exceed +/- 0.5%. Two small cap factors breached +/- 1.0%.

The small cap universe experienced a Short-term momentum (STM) reversal. Stocks that had outperformed the most over the preceding four weeks underperformed last week. STM was flat in the large cap index.

Volatility was positive. The most volatile stocks outperformed the least volatile by 1.1%, on average, in the Russell 2000. The large cap Volatility spread was +0.21%.

Medium-term momentum (MTM) returns were similar between the two indices. Each spread was +0.31%.

Size was negative as smaller stocks tended to outperform larger capitalized stocks last week.

Value was mixed. The most attractively valued stocks outperformed the least attractively valued in the Russell 1000. Value declined in the Russell 2000.

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.