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| SMB | SMB |
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| Rit | MRP | FF3 | FF5 | HML | WML | RMW | CMA | RCP | |
| Mean | 1.0%** | −2.3%*** | 0.0% | −0.2% | −1.8%*** | 0.8%** | 1.3%*** | 0.6% | 1.1%*** |
| Std. Dev. | 4.6% | 4.1% | 3.3% | 2.8% | 4.3% | 3.5% | 3.5% | 4.1% | 2.4% |
| t-statistic | 1.682 | −4.335 | −0.073 | −0.557 | −3.291 | 1.862 | 2.824 | 1.224 | 3.510 |