Date: 03/21/24 Time: 14:51

Sample: 2/01/2023 1/30/2024

RETURN MKT_RF SMB HML RMW CMA RF

Mean -0.000876 -0.058048 -0.021594 0.028964 0.062231 -0.008765 0.020000

Median 0.000000 -0.080000 -0.030000 0.040000 0.040000 -0.010000 0.020000
Maximum 0.053700 2.420000 1.090000 1.310000 1.700000 1.340000 0.020000
Minimum -0.046400 -2.150000 -1.250000 -1.000000 -1.090000 -1.390000 0.020000
Std. Dev. 0.013630 0.814548 0.399976 0.407045 0.425859 0.388241 0.000000
Skewness 0.327367 0.023522 -0.045715 0.184365 0.326365 -0.007417 NA
Kurtosis 4.237714 3.055010 3.148833 3.127737 3.822364 3.673354 NA

Jarque-Bera 20.50475 0.054795 0.319091 1.592576 11.52864 4.744174 NA

Probability 0.000035 0.972975 0.852531 0.451000 0.003138 0.093286 NA

Sum -0.219800 -14.57000 -5.420000 7.270000 15.62000 -2.200000 5.020000

Sum Sq. Dev. 0.046444 165.8719 39.99516 41.42133 45.33895 37.68272 0.000000

Observations 251 251 251 251 251 251 251