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Risk Factors

*Annualized returns up to 08.31.2020
Risk Factors* 6 months 1 year 5 years Full sample
Rm-Rf -9.58% -2.84% 7.25% 1.51%
SMB -11.94% 0.19% 5.17% -1.32%
HML -21.36% -13.95% 9.68% 4.97%
WML 21.09% 16.20% 5.93% 13.49%
IML -14.81% 7.23% 7.60% 0.35%
Risk-Free 2.74% 3.66% 8.35% 12.18%