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
|Factor||FF-HML||AQR-BAB||Annualized Return||Annualized Standard Deviation|
Notes on results:
- Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
- Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
- 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.
- 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.
- Refer to the FAQ section regarding the list of factor data sources and methodology descriptions