Descriptive statistics
| Variable | Mean | SD | Min | Max | Sharpe ratio |
|---|---|---|---|---|---|
| rm-rf | 0.41 | 0.05 | −0.28 | 0.13 | 8.02 |
| SMB | 1.73 | 0.06 | −0.23 | 0.15 | 29.55 |
| HML | 0.22 | 0.05 | −0.13 | 0.14 | 4.77 |
| CMA | 0.00 | 0.03 | −0.07 | 0.09 | −0.12 |
| RMW | 0.44 | 0.03 | −0.11 | 0.09 | 12.81 |
| RD | 2.10 | 0.20 | −1.10 | 0.52 | 10.39 |
| Variable | Mean | SD | Min | Max | Sharpe ratio |
|---|---|---|---|---|---|
| rm-rf | 0.41 | 0.05 | −0.28 | 0.13 | 8.02 |
| SMB | 1.73 | 0.06 | −0.23 | 0.15 | 29.55 |
| HML | 0.22 | 0.05 | −0.13 | 0.14 | 4.77 |
| CMA | 0.00 | 0.03 | −0.07 | 0.09 | −0.12 |
| RMW | 0.44 | 0.03 | −0.11 | 0.09 | 12.81 |
| RD | 2.10 | 0.20 | −1.10 | 0.52 | 10.39 |
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