| ivolliq | illiq | SIZE | BM | TURN | IVOL | COV(r, c) | RET1M | RET12M |
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ivolliq | 1 |
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illiq | 0.02 | 1 |
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SIZE | −0.01 | −0.04 | 1 |
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BM | −0.01 | 0.41 | −0.01 | 1 |
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TURN | 0.18 | −0.13 | −0.07 | −0.12 | 1 |
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IVOL | 0.15 | −0.04 | −0.04 | −0.06 | 0.39 | 1 |
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COV(r, c) | 0.02 | −0.21 | 0.01 | −0.12 | 0.07 | 0.14 | 1 |
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RET1M | 0.08 | −0.02 | 0.00 | −0.01 | 0.14 | 0.08 | 0.00 | 1 |
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RET12M | 0.029 | −0.090 | 0.03 | −0.051 | 0.10 | −0.006 | −0.029 | −0.02 | 1 |
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| 0.22 | 0.73 | −0.04 | 0.45 | −0.12 | −0.04 | −0.19 | 0.00 | −0.082 | 1 |
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| 0.24 | −0.51 | 0.03 | −0.33 | 0.11 | 0.04 | 0.17 | 0.01 | 0.000 | −0.52 | 1 |
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| 0.06 | 0.10 | 0.12 | 0.09 | −0.34 | −0.13 | −0.05 | 0.00 | 0.064 | 0.12 | −0.08 | 1 |
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| 0.00 | 0.00 | 0.01 | 0.01 | −0.04 | −0.05 | −0.02 | 0.00 | 0.055 | 0.02 | −0.02 | 0.11 | 1 |