Factor Return Statistics

Explore factor correlations and risk premia over different time periods.

Factor Return Statistics (Mar 2009 - Mar 2019)

Factor correlations and returns statistics from March 2009 to March 2019.

Factor Correlations and Return Statistics
FactorFF-HMLAQR-BABAnnualized ReturnAnnualized Standard Deviation
FF-HML1.00-0.31-1.12%8.26%
AQR-BAB-0.311.009.07%7.46%
   
Notes on results: