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Risk Factors

*Annualized returns up to 12.31.2021
Risk Factors* 6 months 1 year 5 years Full sample
Rm-Rf -34.42% -14.20% 6.14% 1.46%
SMB -25.44% 1.51% 4.55% -1.23%
HML 18.28% 9.33% 9.17% 5.46%
WML 29.44% 31.68% 18.36% 13.88%
IML -10.81% 17.46% 12.39% 0.94%
Risk-Free 6.59% 4.66% 5.76% 11.64%