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Risk Factors

*Annualized returns up to 06.30.2020
Risk Factors* 6 months 1 year 5 years Full sample
Rm-Rf -32.50% -6.47% 3.36% 1.29%
SMB -16.65% 4.01% 3.34% -1.30%
HML -18.95% -10.32% 9.57% 5.39%
WML 26.82% 20.51% 8.81% 13.21%
IML -11.53% 19.40% 6.15% 0.43%
Risk-Free 3.39% 4.37% 8.76% 12.27%