Weekly Factor Returns

A look at what factors influenced the market last week

Index returns were sharply negative last week. The Russell 1000 declined 5.81% and the small cap Russell 2000 declined 8.07%.

Volatility was the most influential factor. Stocks with the least volatility outperformed higher volatility stocks by over 7% in both the large and small indices.

The remaining factors each experienced strong moves as well. Medium-term momentum within the Russell 2000 had the smallest return at 1.27%.

Value and Short-term momentum each had a positive week. The top decile of Value (most attractively valued) outperformed the bottom decile by 4.29% in the large cap space and 3.29% in the small cap space. Short-term momentum returns indicate recent outperformers tended to outperform again last week.

Stocks with higher Medium-term momentum and larger Size also did better, on average, than those with the opposite characteristics.

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.