Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 declined 0.45% and the Russell 2000 rose 0.45%. Positive Volatility and negative Momentum were the major factor drivers last week.

The largest return within each index came from Medium-term momentum. The factor declined 1.31% among large caps and declined 2.06% among small caps. Short-term momentum also declined over 1.00% in the Russell 2000, but less so in the Russell 1000. Volatility was positive across the capitalization spectrum - reversal from the week before last.

Size and Value were less significant drivers last week, although the smallest companies outperformed the largest in the Russell 1000 by 0.95%.

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.