Copyright 2012 Stefano Marmi in collaboration with Flavia Poma

Database and computational platform provided by FactSet

The risk free rate is South Korea 91 days rate.

Monthly Factors
Date Universe Risk free Rm-Rf SMB HML WML
Return rate
07/1992 -7.13 1.30 -8.43 -2.47 4.39 #N/A
08/1992 10.74 1.33 9.41 2.42 -7.24 10.82
09/1992 -6.04 1.33 -7.37 -1.73 -1.13 -0.61
10/1992 22.62 1.13 21.49 -11.12 4.94 -15.88
11/1992 11.94 1.08 10.86 -5.51 -2.80 -12.53
12/1992 0.95 1.18 -0.23 5.56 -0.36 -7.60
01/1993 -1.20 1.09 -2.29 8.13 -3.22 -7.77
02/1993 -4.43 0.99 -5.43 0.85 -0.46 4.12
03/1993 4.25 0.93 3.31 -3.18 -0.11 4.53
04/1993 9.93 0.91 9.02 -3.53 -0.68 -6.27
05/1993 3.95 0.91 3.04 2.09 -1.39 1.23
06/1993 -2.04 0.99 -3.03 6.07 -4.30 -2.89
07/1993 -2.96 1.04 -4.00 2.03 1.35 -1.39
08/1993 -6.70 1.16 -7.86 -7.39 1.09 -0.54
09/1993 7.34 1.15 6.19 4.07 -2.07 1.81
10/1993 4.46 1.09 3.37 6.08 -1.51 -7.89
11/1993 10.53 1.02 9.51 4.46 0.35 -12.92
12/1993 9.35 0.97 8.38 -15.96 7.64 -11.36
01/1994 15.84 0.93 14.91 -7.39 -7.17 2.66
02/1994 -1.46 0.92 -2.38 -3.55 -2.83 -1.17
03/1994 -7.74 1.00 -8.74 8.96 5.78 -10.52
04/1994 5.77 0.99 4.78 -5.35 -2.11 20.43
05/1994 3.69 0.98 2.71 1.08 4.06 -8.60
06/1994 -0.79 0.99 -1.77 2.61 -1.68 -6.91
07/1994 -0.66 1.01 -1.67 3.26 -1.16 6.91
08/1994 1.56 1.16 0.40 -3.78 -1.12 8.86
09/1994 12.18 1.17 11.00 -6.51 1.52 -0.42
10/1994 4.41 1.13 3.29 11.43 -4.14 -5.11
11/1994 -2.85 1.10 -3.95 5.83 -1.23 -2.68
12/1994 -4.83 1.16 -5.98 6.73 -1.64 -5.39
01/1995 -8.20 1.22 -9.42 -1.96 2.07 1.44
02/1995 -4.57 1.29 -5.86 -5.04 0.74 0.77
03/1995 5.03 1.20 3.83 1.33 -0.89 8.08
04/1995 -4.88 1.14 -6.02 -2.77 3.35 1.47
05/1995 0.61 1.16 -0.55 -1.53 0.45 -8.08
06/1995 0.61 1.15 -0.54 1.40 1.72 1.41
07/1995 4.80 1.12 3.69 0.11 4.08 -7.85
08/1995 -2.11 1.06 -3.17 -0.19 5.01 -4.21
09/1995 8.63 1.03 7.60 -2.50 -6.35 -0.65
10/1995 -0.03 0.98 -1.01 -0.43 -3.49 0.26
11/1995 -6.48 0.95 -7.43 1.86 4.38 2.09
12/1995 -4.22 0.93 -5.15 -3.38 -5.74 2.60
01/1996 0.35 0.92 -0.58 -0.31 -0.98 3.11
02/1996 -2.86 0.92 -3.78 -2.60 7.20 4.16
03/1996 1.69 0.92 0.77 -1.14 -0.16 -0.37
04/1996 13.06 0.84 12.23 5.91 1.49 1.84
05/1996 -8.38 0.86 -9.24 6.71 -4.10 -0.47
06/1996 -8.37 0.96 -9.33 -1.38 -1.15 0.67
07/1996 -2.82 1.01 -3.83 7.98 0.49 -0.40
08/1996 -4.23 1.15 -5.38 -1.64 0.92 -1.65
09/1996 -0.44 1.12 -1.56 2.37 -4.43 6.09
10/1996 -4.58 1.11 -5.69 6.85 1.41 -6.76
11/1996 -1.99 1.07 -3.07 0.43 -2.44 0.63
12/1996 -11.58 1.06 -12.65 -2.83 3.65 0.50
01/1997 7.71 1.00 6.71 -2.21 -2.98 -0.16
02/1997 -3.66 0.97 -4.63 6.74 -2.96 2.91
03/1997 -0.75 1.04 -1.79 -0.85 0.84 3.64
04/1997 2.78 1.03 1.75 2.43 3.71 -0.34
05/1997 8.09 1.01 7.09 -8.16 3.09 -12.73
06/1997 1.00 0.94 0.06 -4.79 0.25 -0.34
07/1997 -3.33 0.94 -4.27 0.06 0.75 5.79
08/1997 -3.85 1.00 -4.84 -0.17 0.88 2.49
09/1997 -8.26 1.05 -9.31 0.74 2.75 -1.57
10/1997 -24.99 1.08 -26.07 0.80 7.55 -14.84
11/1997 -14.50 1.13 -15.63 -12.92 -7.27 19.57
12/1997 -6.92 1.42 -8.33 -24.67 7.05 -6.74
01/1998 47.31 1.73 45.58 4.42 4.17 13.80
02/1998 -3.52 1.71 -5.23 7.47 10.07 9.86
03/1998 -8.80 1.71 -10.52 13.64 -6.22 -12.86
04/1998 -15.65 1.56 -17.20 -10.06 6.08 8.07
05/1998 -20.57 1.42 -21.98 -1.88 6.16 2.06
06/1998 -15.03 1.32 -16.34 -4.55 2.22 15.95
07/1998 20.81 1.10 19.70 10.69 -5.89 -4.15
08/1998 -11.16 0.90 -12.05 8.05 -5.35 7.74
09/1998 2.08 0.83 1.25 -1.09 -4.67 8.76
10/1998 27.14 0.66 26.48 -10.02 5.77 -14.38
11/1998 22.24 0.62 21.62 29.83 25.83 -33.23
12/1998 26.80 0.62 26.18 1.37 21.28 -1.07
01/1999 2.36 0.57 1.79 13.44 -6.36 -5.59
02/1999 -8.62 0.54 -9.17 -0.68 -3.40 6.56
03/1999 18.65 0.53 18.12 -1.89 5.00 1.11
04/1999 23.32 0.50 22.82 -1.52 10.52 12.66
05/1999 -1.50 0.50 -2.00 1.33 -9.09 -0.84
06/1999 20.41 0.51 19.90 -14.58 -4.52 -2.07
07/1999 10.44 0.54 9.90 -0.05 -1.73 -8.65
08/1999 -1.21 0.58 -1.79 -3.42 -1.84 -2.09
09/1999 -10.76 0.61 -11.37 0.41 -7.15 -3.31
10/1999 -2.33 0.59 -2.92 0.00 -4.78 -1.26
11/1999 13.53 0.56 12.97 -12.03 -10.89 22.48
12/1999 -8.86 0.58 -9.44 -4.91 -1.80 9.51
01/2000 0.58 0.59 -0.01 3.40 -5.26 1.11
02/2000 -12.84 0.58 -13.42 15.20 -4.28 4.93
03/2000 4.70 0.57 4.14 4.28 -6.16 5.36
04/2000 -11.48 0.57 -12.05 -1.47 -0.05 -1.46
05/2000 -3.20 0.58 -3.78 -8.33 -3.05 0.53
06/2000 13.38 0.58 12.80 -9.17 1.29 -3.32
07/2000 -14.08 0.58 -14.66 2.51 6.89 -3.70
08/2000 -2.44 0.57 -3.01 11.22 2.03 -3.44
09/2000 -11.12 0.57 -11.69 12.88 0.96 0.75
10/2000 -16.12 0.57 -16.68 4.64 -0.77 9.37
11/2000 -2.52 0.56 -3.09 2.28 1.30 9.10
12/2000 -3.93 0.56 -4.49 -9.32 9.49 -8.83
01/2001 32.77 0.52 32.25 -3.57 -4.19 -14.86
02/2001 -9.26 0.47 -9.73 11.31 5.42 7.40
03/2001 -11.36 0.46 -11.82 5.84 -0.23 6.16
04/2001 11.51 0.47 11.04 -6.37 -1.72 1.75
05/2001 6.11 0.47 5.63 1.73 7.02 -0.51
06/2001 -5.76 0.46 -6.22 3.13 9.28 6.54
07/2001 -7.60 0.43 -8.04 -0.33 -2.57 -2.63
08/2001 0.26 0.40 -0.14 -4.18 5.40 2.74
09/2001 -12.27 0.38 -12.65 -3.15 11.09 4.53
10/2001 13.58 0.36 13.22 3.58 -7.84 -1.01
11/2001 20.00 0.37 19.63 -12.25 5.23 -8.06
12/2001 6.99 0.39 6.60 -2.57 3.04 3.95
01/2002 5.46 0.39 5.07 11.68 4.72 0.88
02/2002 9.08 0.37 8.71 -7.25 7.75 3.41
03/2002 10.30 0.38 9.92 -1.19 4.31 7.83
04/2002 -7.60 0.39 -7.99 -2.33 -0.91 1.78
05/2002 -3.35 0.39 -3.74 3.85 -4.36 -4.57
06/2002 -7.41 0.40 -7.81 -4.35 5.70 6.57
07/2002 -2.40 0.40 -2.80 1.55 2.21 1.27
08/2002 3.52 0.39 3.13 0.51 0.55 -3.76
09/2002 -12.65 0.39 -13.04 -0.49 6.25 6.41
10/2002 2.48 0.40 2.08 0.25 0.03 2.15
11/2002 9.79 0.40 9.39 -7.74 2.77 0.99
12/2002 -11.39 0.40 -11.79 -1.56 5.32 3.79
01/2003 -5.81 0.38 -6.19 1.25 -0.73 1.41
02/2003 -3.30 0.37 -3.67 3.71 -0.30 0.02
03/2003 -7.14 0.39 -7.53 -3.39 3.34 5.13
04/2003 13.33 0.38 12.95 0.07 -2.85 -5.91
05/2003 6.50 0.36 6.14 2.06 -1.10 0.11
06/2003 5.67 0.35 5.32 -0.72 -5.39 -5.54
07/2003 5.46 0.34 5.12 -2.47 -4.08 -0.96
08/2003 6.05 0.32 5.73 -6.14 4.76 1.91
09/2003 -7.82 0.31 -8.14 -1.91 8.45 -0.17
10/2003 10.54 0.32 10.22 -6.72 -3.43 13.81
11/2003 0.48 0.34 0.13 -2.83 7.31 7.52
12/2003 3.03 0.35 2.68 1.38 2.22 3.34
01/2004 4.19 0.35 3.85 -4.47 -1.02 6.75
02/2004 4.05 0.33 3.72 -3.19 0.64 2.30
03/2004 -0.66 0.32 -0.98 -1.46 1.64 6.90
04/2004 -2.81 0.32 -3.13 6.27 -1.56 -1.23
05/2004 -7.88 0.32 -8.19 -0.48 5.01 -0.07
06/2004 -2.64 0.32 -2.96 -0.58 3.72 2.29
07/2004 -8.01 0.32 -8.33 0.90 10.66 1.51
08/2004 9.59 0.30 9.28 -0.99 -4.49 -3.48
09/2004 3.52 0.29 3.23 -1.05 3.99 -0.71
10/2004 -0.32 0.29 -0.61 -1.52 6.05 2.29
11/2004 5.39 0.28 5.11 0.23 4.93 3.85
12/2004 4.30 0.28 4.02 1.97 -2.68 -5.90
01/2005 7.14 0.28 6.86 17.98 -9.44 -0.43
02/2005 7.97 0.29 7.67 8.77 6.92 8.06
03/2005 -4.25 0.29 -4.54 2.51 -3.05 -0.80
04/2005 -6.38 0.29 -6.67 -0.18 6.82 2.64
05/2005 6.47 0.29 6.18 6.06 -10.07 0.52
06/2005 3.98 0.29 3.69 7.95 3.37 12.10
07/2005 9.82 0.29 9.53 3.93 2.54 -0.24
08/2005 -2.37 0.29 -2.65 -1.90 -1.63 1.32
09/2005 12.36 0.30 12.06 3.81 3.64 11.11
10/2005 -4.71 0.32 -5.03 9.06 3.47 2.73
11/2005 11.16 0.32 10.83 10.37 -4.93 3.34
12/2005 6.78 0.33 6.45 -6.35 1.86 -4.21
01/2006 1.68 0.34 1.34 -3.18 -4.56 -2.97
02/2006 -0.95 0.35 -1.29 0.87 -1.72 -1.71
03/2006 -0.55 0.35 -0.90 0.03 1.85 -1.74
04/2006 4.27 0.35 3.92 0.15 2.48 3.60
05/2006 -7.37 0.36 -7.73 -0.56 0.65 -0.63
06/2006 -0.99 0.36 -1.36 -2.68 -1.54 -2.61
07/2006 -0.43 0.38 -0.80 -2.34 1.29 5.53
08/2006 5.45 0.38 5.07 -1.18 1.11 -5.05
09/2006 3.04 0.38 2.66 3.66 -2.77 2.23
10/2006 -2.16 0.37 -2.54 -0.98 6.05 5.92
11/2006 3.68 0.38 3.30 4.16 9.46 2.15
12/2006 -0.39 0.39 -0.78 -4.60 8.09 3.60
01/2007 -4.33 0.40 -4.73 2.59 -0.40 1.40
02/2007 3.39 0.40 2.98 1.55 0.20 1.23
03/2007 2.40 0.40 1.99 5.64 1.96 -0.49
04/2007 2.36 0.40 1.96 6.48 6.80 5.01
05/2007 8.25 0.41 7.84 3.82 11.65 12.31
06/2007 4.16 0.41 3.75 2.31 -3.69 -4.33
07/2007 9.16 0.41 8.74 -1.25 7.95 8.98
08/2007 -3.81 0.42 -4.23 2.31 -0.50 4.32
09/2007 2.62 0.43 2.19 -3.64 2.68 8.80
10/2007 3.30 0.43 2.87 -6.98 -3.91 7.46
11/2007 -5.88 0.44 -6.32 -0.24 -2.13 -7.75
12/2007 2.46 0.46 1.99 -3.18 2.77 -4.24
01/2008 -11.40 0.47 -11.87 -0.29 3.79 -9.96
02/2008 3.19 0.43 2.76 6.61 -2.59 12.68
03/2008 0.51 0.43 0.09 -0.26 -6.56 -1.30
04/2008 7.39 0.44 6.95 -5.39 2.63 -3.63
05/2008 0.83 0.44 0.40 2.88 0.83 3.87
06/2008 -8.72 0.44 -9.16 3.60 1.75 1.26
07/2008 -5.11 0.45 -5.56 -3.08 2.91 1.21
08/2008 -8.54 0.47 -9.01 -5.47 9.49 6.29
09/2008 -1.57 0.47 -2.04 -5.30 -1.04 -2.90
10/2008 -25.81 0.49 -26.30 -6.74 5.59 9.97
11/2008 -1.90 0.46 -2.36 3.66 -2.58 -1.31
12/2008 8.25 0.39 7.87 1.41 0.66 -5.92
01/2009 5.54 0.27 5.27 3.40 -1.45 -7.62
02/2009 -8.41 0.22 -8.63 12.15 -3.48 1.13
03/2009 14.68 0.20 14.48 -0.53 0.20 -5.37
04/2009 16.53 0.20 16.33 6.99 0.74 -9.31
05/2009 2.19 0.20 1.99 4.67 -0.55 -1.22
06/2009 -0.73 0.20 -0.93 -3.90 6.35 -1.54
07/2009 11.40 0.20 11.21 -5.56 3.61 -5.49
08/2009 1.19 0.20 0.99 -0.88 4.01 5.62
09/2009 4.84 0.22 4.62 -5.59 1.73 4.03
10/2009 -5.27 0.23 -5.50 0.99 2.03 -0.20
11/2009 -1.95 0.23 -2.18 -0.84 -0.51 -1.26
12/2009 9.55 0.23 9.32 1.64 0.32 3.76
01/2010 -3.59 0.24 -3.83 2.77 -1.94 -5.07
02/2010 -0.37 0.24 -0.61 4.87 -1.26 1.03
03/2010 5.69 0.23 5.46 -3.60 8.52 4.15
04/2010 1.13 0.21 0.92 -0.68 9.53 5.78
05/2010 -6.29 0.20 -6.49 -1.90 2.27 5.18
06/2010 3.49 0.20 3.29 -1.67 -0.12 0.77
07/2010 3.45 0.21 3.24 -0.43 1.31 -3.08
08/2010 -1.36 0.22 -1.58 0.70 -1.55 -0.26
09/2010 7.34 0.22 7.12 -4.66 3.33 2.77
10/2010 0.69 0.22 0.47 4.41 4.17 3.20
11/2010 0.97 0.22 0.75 -4.25 -2.86 1.82
12/2010 8.88 0.23 8.65 -5.37 2.12 -0.14
01/2011 0.03 0.24 -0.21 2.72 -1.89 5.19
02/2011 -5.88 0.26 -6.14 2.57 -1.62 1.93
03/2011 6.95 0.27 6.68 -1.78 0.23 8.33
04/2011 1.97 0.28 1.70 -3.51 1.68 3.79
05/2011 -2.75 0.28 -3.03 -4.92 7.38 0.99
06/2011 -1.11 0.29 -1.40 0.96 1.61 -1.63
07/2011 2.30 0.29 2.01 8.17 -1.19 -1.07
08/2011 -12.07 0.29 -12.37 2.53 1.64 1.94
09/2011 -6.18 0.29 -6.47 -2.53 -4.74 1.04
10/2011 9.20 0.29 8.91 1.07 -2.16 -2.37
11/2011 -3.39 0.29 -3.69 4.62 -0.10 5.25
12/2011 0.53 0.29 0.24 4.03 3.64 0.24
01/2012 8.53 0.29 8.24 -0.88 0.07 -8.32
02/2012 4.25 0.29 3.96 10.44 0.67 -2.58
03/2012 -1.33 0.29 -1.62 -0.32 -1.81 4.57
04/2012 -3.30 0.29 -3.59 -2.07 1.54 5.63
05/2012 -6.23 0.29 -6.52 2.69 0.05 0.28
06/2012 1.25 0.29 0.96 4.17 0.25 0.96
07/2012 0.81 0.27 0.54 -2.30 0.85 1.70
08/2012 2.38 0.26 2.11 3.42 0.61 0.57
09/2012 4.43 0.26 4.18 0.44 1.50 2.21
10/2012 -4.13 0.24 -4.37 0.84 3.33 1.98
11/2012 0.52 0.24 0.28 -1.86 -1.60 0.81
12/2012 3.54 0.23 3.30 -5.62 3.25 -6.01
01/2013 -1.04 0.24 -1.27 4.95 2.82 -1.23
02/2013 3.35 0.24 3.12 1.95 -1.30 4.67
03/2013 -0.83 #N/A #N/A 4.13 2.34 3.24

Annual Factors: January-December

Date Universe Risk free Rm-Rf SMB HML WML
Return rate
1993 35.20 12.97 22.23 3.16 -5.38 -48.99
1994 25.20 13.27 11.93 18.74 -13.82 -2.92
1995 -11.60 14.06 -25.65 -11.24 4.40 -0.25
1996 -27.91 12.62 -40.53 15.28 1.21 7.32
1997 -41.17 13.35 -54.52 -25.88 9.92 -3.58
1998 59.32 15.11 44.21 76.49 106.02 21.37
1999 59.71 6.81 52.90 -28.34 -49.64 36.60
2000 -47.82 7.08 -54.90 18.93 1.92 7.48
2001 41.13 5.32 35.81 -3.16 48.22 19.30
2002 -7.68 4.80 -12.48 -6.48 32.23 23.13
2003 27.26 4.31 22.96 -19.51 11.99 24.08
2004 7.35 3.79 3.56 -6.00 33.38 18.00
2005 56.41 3.65 52.76 123.94 -15.97 74.07
2006 4.71 4.47 0.24 -7.94 21.63 8.16
2007 25.47 5.16 20.31 11.37 28.18 41.12
2008 -38.87 5.49 -44.36 -6.18 9.83 7.62
2009 57.60 2.64 54.96 20.25 21.97 -22.56
2010 20.73 2.67 18.06 -10.29 25.75 18.40
2011 -11.61 3.43 -15.05 12.72 4.53 22.74