Risk Factors

*Annualized returns up to 12.31.2024
Risk Factors* 6 months 1 year 5 years Full sample
Rm-Rf -12.98% -17.06% -6.56% 0.65%
SMB 10.24% -3.85% -4.56% -0.53%
HML -0.58% 10.37% 21.06% 3.73%
WML 26.73% 30.55% 31.86% 10.54%
IML -17.45% -20.31% -4.64% -0.63%
Risk-Free 11.02 10.81% 8.64% 11.70%