Table 3 Correlation between portfolio... | Emerald Publishing

Table 3

Correlation between portfolio returns

	BH	BM	BL	SH	SM	SL	SMB	HML	RMP
B/H	1.00
B/M	0.64	1.00
B/L	0.57	0.65	1.00
S/H	0.47	0.42	0.41	1.00
S/M	0.69	0.61	0.60	0.60	1.00
S/L	0.57	0.64	0.48	0.45	0.63	1.00
SMB	−0.31	−0.36	−0.42	0.44	0.13	0.13	1.00
HML	0.77	0.32	0.14	0.66	0.49	0.21	0.09	1.00
RMP	0.52	0.61	0.64	0.48	0.51	0.50	−0.17	0.29	1.00

	BH	BM	BL	SH	SM	SL	SMB	HML	RMP
B/H	1.00
B/M	0.64	1.00
B/L	0.57	0.65	1.00
S/H	0.47	0.42	0.41	1.00
S/M	0.69	0.61	0.60	0.60	1.00
S/L	0.57	0.64	0.48	0.45	0.63	1.00
SMB	−0.31	−0.36	−0.42	0.44	0.13	0.13	1.00
HML	0.77	0.32	0.14	0.66	0.49	0.21	0.09	1.00
RMP	0.52	0.61	0.64	0.48	0.51	0.50	−0.17	0.29	1.00

Source(s): Authors’ estimations with data obtained from Bloomberg