Risk Factors* | 6 months | 1 year | 5 years | Full sample |
---|---|---|---|---|
Rm-Rf | 5.22% | 1.61% | 0.34% | 0.96% |
SMB | 15.66% | 20.72% | 3.44% | 0.13% |
HML | 35.72% | 16.21% | 24.28% | 3.50% |
WML | -16.76% | 1.01% | 21.61% | 9.74% |
IML | 13.80% | -4.56% | -0.56% | -0.24% |
Risk-Free | 12.95 | 11.90% | 9.45% | 11.72% |