Weekly Factor Returns

A look at what factors influenced the market last week

Both the large and small cap indices were negative last week. The small cap Russell 2000 declined further than the Russell 1000. As was true at the index level, factor returns were greater in the small cap universe compared to the same factor returns within the large cap space.

Overall, stocks ranking highest on momentum (Medium-term & Short-term), Size, Value, and lower Volatility outperformed those with the opposite characteristics. The return differential between the highest- and lowest-ranked stocks based on volatility generated the largest spread. Volatility declined 5.44% among small caps and 3.92% among large caps.

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.