Educational only. Not investment advice. Past and hypothetical results do not guarantee future performance. Investing involves risk, including loss of principal. By using this site, you agree to our Global Disclosures.
SRL does not provide investment, legal, accounting, or tax advice and is not registered with any regulator.
All outputs (including backtests and performance results) are hypothetical and not indicative of future outcomes.
Investments involve risk, including possible loss of principal. You remain solely responsible for your investment decisions.
From time to time we feature, discuss, or link to instruments, funds, platforms, or services issued or sponsored by our owners, affiliates, partners, or advertisers. We may receive compensation (e.g., referral fees, advertising fees, revenue-share). Such relationships may influence which products are illustrated or how they are presented. Compensation does not change our rules-based calculation methodologies, but it may affect presentation or placement. See Partners and Affiliates.
By proceeding, you consent to the processing of your personal data in accordance with our Privacy Policy (GDPR/UK GDPR/U.S. compliant).
Factor Return Statistics
Factors Overview
Explore factor correlations and risk premia over different time periods.
Model Configuration
Factor Return Statistics (Jan 1964 - Jun 2026)
Factor Correlations
Factor Correlations and Return Statistics
Factor
Key
Rm-Rf
SMB
SMB5
HML
MOM
RMW
CMA
STREV
LTREV
Annualized Return
Annualized Standard Deviation
Market
FF-MKT-RF
1.00
0.29
0.27
-0.21
-0.17
-0.20
-0.36
0.29
0.00
6.11%
15.51%
Size (FF3)
FF-SMB
0.29
1.00
0.98
-0.14
-0.05
-0.39
-0.16
0.17
0.25
1.35%
10.48%
Size (FF5)
FF-SMB5
0.27
0.98
1.00
0.02
-0.08
-0.33
-0.08
0.17
0.32
1.82%
10.51%
Value
FF-HML
-0.21
-0.14
0.02
1.00
-0.19
0.09
0.68
0.02
0.51
3.08%
10.32%
Momentum
FF-MOM
-0.17
-0.05
-0.08
-0.19
1.00
0.07
-0.02
-0.31
-0.08
6.49%
14.51%
Profitability
FF-RMW
-0.20
-0.39
-0.33
0.09
0.07
1.00
0.01
-0.06
-0.27
2.57%
7.83%
Investment
FF-CMA
-0.36
-0.16
-0.08
0.68
-0.02
0.01
1.00
-0.13
0.50
2.77%
7.19%
Short Term Reversal
FF-STREV
0.29
0.17
0.17
0.02
-0.31
-0.06
-0.13
1.00
0.09
4.11%
11.00%
Long Term Reversal
FF-LTREV
0.00
0.25
0.32
0.51
-0.08
-0.27
0.50
0.09
1.00
2.34%
9.18%
Factor correlations and returns statistics from January 1964 to June 2026
Factor Performance
IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete. Other investments not considered may have characteristics similar or superior to those being analyzed.