| Portfolio | Mean | SD | Portfolio | Mean | SD | Portfolio | Mean | SD |
| S/LRP | −0.051 | 0.10633 | M/LRP | −0.048 | 0.10542 | B/LRP | −0.001 | 0.23217 |
| S/LSMB | 0.0079 | 0.38956 | M/LSMB | −0.009 | 0.41046 | B/LSMB | 0.0057 | 0.46384 |
| S/LHML | 0.007 | 0.12209 | M/LHML | −0.009 | 0.40977 | B/LHML | −0.006 | 0.46384 |
| S/MRP | −0.050 | 0.03954 | M/MRP | −0.051 | 0.03664 | B/MRP | −0.047 | 0.15311 |
| S/MSMB | 0.0005 | 0.05858 | M/MSMB | 0.0005 | 0.05674 | B/MSMB | −0.001 | 0.04188 |
| S/MHML | 0.0005 | 0.05858 | M/MHML | −0.001 | 0.05674 | B/MHML | 0.0003 | 0.06249 |
| S/HRP | −0.046 | 0.23712 | M/HRP | −0.051 | 0.02831 | B/HRP | −0.051 | 0.05864 |
| S/HSMB | 0.0011 | 0.09009 | M/HSMB | 0.0001 | 0.0669 | B/HSMB | −0.003 | 0.09937 |
| S/HHML | −0.029 | 0.93247 | M/HHML | 0.0020 | 0.05139 | B/HHML | 0.0027 | 0.09937 |