Weekly Factor Returns

A look at what factors influenced the market last week

Large and small cap stock indices declined last week. The Russell 1000 lost 1.66% and the Russell 2000 fell 1.00%. Factor returns were directionally similar between the indices compared to the prior week which experienced divergent factor returns.

Within the Russell 1000, the biggest spreads were generated by Momentum (medium- and short-term) and Value. Each factor returned at least 2.50%. Volatility was down 1.81%, thus stocks with lower Volatility outperformed, on average. Size was not meaningful for the week.

The factor return profile in the Russell 2000 was similar. Momentum and Value were key drivers, albeit with lower returns compared to larger caps. Volatility was the most influential within the small cap space, and the largest mover of the week. The factor’s return was -3.88%. Low Volatility was a key theme among small 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.