| 组合 | alpha | MKT | SMB | HML | R2 |
| 市值加权组合 | 0.0093 | 1.0118 | −0.3760 | 0.0375 | 0.9828 |
| (1.0000) | (1.0000) | (1.0000) | (1.0000) | - | |
| 等权重组合 | 0.1296 | 1.0478 | −0.0519 | −0.1067 | 0.9736 |
| (0.0000) | (0.0000) | (0.0000) | (0.0000) | - |