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Risk Factors

*Annualized returns up to 12.31.2020
Risk Factors* 6 months 1 year 5 years Full sample
Rm-Rf 51.55% 1.14% 13.39% 2.32%
SMB -1.31% -9.31% 7.73% -1.30%
HML -2.21% -10.97% 12.37% 5.19%
WML 7.42% 16.72% 2.24% 13.06%
IML -7.61% -9.60% 9.05% 0.22%
Risk-Free 1.953% 2.67% 7.56% 12.00%