Risk Factors* | 6 months | 1 year | 5 years | Full sample |
---|---|---|---|---|
Rm-Rf | -23.70% | -29.26% | 3.08% | 0.79% |
SMB | -36.12% | -30.99% | -3.71% | -2.21% |
HML | 33.94% | 25.87% | 11.56% | 6.03% |
WML | 72.87% | 49.59% | 23.23% | 15.01% |
IML | -16.24% | -13.57% | 5.33% | 0.51% |
Risk-Free | 11.51% | 9.02% | 5.79% | 11.64% |