Weekly Factor Returns

A look at what factors influenced the market last week

The Russell 1000 and Russell 2000 each posted strong gains for the first time in over a month. Large caps returned 3.68% and small caps returned 2.45%.

Despite the favorable index moves, factor returns were more subdued. Medium-term momentum returns had the greatest magnitude. The factor declined 1.93% and 1.40% within the large and small indices, respectively.

Other than Short-term momentum declining 1.16% among the Russell 1000 stocks, all other factor returns were less influential.

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.