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Risk Factors

*Annualized returns up to 12.31.2019
Risk Factors* 6 months 1 year 5 years Full sample
Rm-Rf 29.60% 27.49% 7.64% 2.38%
SMB 29.78% 11.79% 0.17% -0.86%
HML -0.77% 10.61% 11.73% 6.12%
WML 14.53% 17.82% 9.56% 12.87%
IML 61.15% 31.40% 3.16% 0.77%
Risk-Free 5.35% 5.77% 9.66% 12.52%