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Risk Factors

*Annualized returns up to 09.30.2020
Risk Factors* 6 months 1 year 5 years Full sample
Rm-Rf 61.93% -9.83% 6.20% 1.25%
SMB 17.76% 0.43% 4.75% -1.42%
HML -12.60% -9.42% 9.80% 4.98%
WML 36.64% 21.14% 6.02% 13.46%
IML 0.13% 6.63% 6.85% 0.17%
Risk-Free 2.39% 3.37% 8.38% 12.14%