| Market portfolio | Small-Low B/M | Small-Middle B/M | |||
Beta | 1.000 | 1.157 | 0.992 | |||
Return | 4.292 | 3.790 | 5.127 | |||
| Small-High B/M | Big-Low B/M | Big-Middle B/M | Big-High B/M | ||
Beta | 0.987 | 1.027 | 0.945 | 0.998 | ||
Return | 6.744 | 3.365 | 4.469 | 6.332 | ||