| RM-RF | SMB | HML | RMW | CMA |
Mean | 1.6 | 1.20 | 0.79 | −0.38 | −0.52 |
Std. Dev. | 12.33 | 5.24 | 2.50 | 2.17 | 2.97 |
R2 | 0.18 | 0.40 | 0.17 | 0.16 | 0.33 |