Weekly Factor Returns

A look at what factors influenced the market last week

Equity markets posted gains for the second consecutive week. The Russell 1000 gained 4.02% and the Russell 2000 gained 6.02%. Factor spreads were more pronounced in the small cap universe where four of five factor returns were at least one standard deviation from its average.

Recent winners underperformed recent losers last week. The Short-term momentum (STM) spread within the Russell 2000 was -6.37%, representing a 2.5 standard deviation move. STM had the largest spread in the Russell 1000 as well, with a -2.17% return.

Stocks with the highest Volatility ranks outperformed those with the least Volatility by 3.73%, on average, in the small cap space. The Volatility spread in the Russell 1000 was 1.07%.

Stocks with lower Medium-term Momentum (MTM), smaller capitalization, and less attractive Value ranks tended to outperform those with the opposite characteristics in the Russell 2000.

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.