| anchor | beta | bm | es | mom 20 | mom 40 | mom 60 | mom 120 | mom 250 | size | str | var | illiq |
anchor | 1 |
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beta | −0.21 | 1 |
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bm | −0.11 | 0.05 | 1 |
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es | −0.36 | 0.49 | −0.21 | 1 |
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mom20 | 0.26 | −0.02 | −0.08 | 0 | 1 |
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mom40 | 0.34 | −0.03 | −0.11 | 0 | 0.68 | 1 |
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mom60 | 0.39 | −0.03 | −0.14 | 0 | 0.56 | 0.79 | 1 |
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mom120 | 0.42 | −0.04 | −0.2 | 0.04 | 0.39 | 0.55 | 0.68 | 1 |
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mom250 | 0.3 | −0.02 | −0.28 | 0.13 | 0.25 | 0.35 | 0.43 | 0.62 | 1 |
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size | 0.16 | 0.09 | 0.09 | −0.28 | 0.05 | 0.08 | 0.1 | 0.14 | 0.15 | 1 |
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str | 0.42 | −0.04 | −0.09 | −0.05 | −0.05 | −0.05 | −0.04 | −0.03 | −0.02 | 0.07 | 1 |
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var | −0.35 | 0.44 | −0.27 | 0.9 | 0 | 0 | 0 | 0.05 | 0.16 | −0.29 | −0.05 | 1 |
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illiq | 0 | −0.14 | −0.19 | −0.02 | 0 | 0 | 0.01 | 0.02 | 0.04 | −0.16 | −0.03 | −0.01 | 1 |