Risk Factors

*Annualized returns up to 06.30.2022
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%