1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | ||
Raw return | 1 | 1.00 | ||||||||||
One-factor alpha | 2 | 0.41 | 1.00 | |||||||||
Four-factor alpha | 3 | 0.35 | 0.79 | 1.00 | ||||||||
Flows | 4 | 0.01 | 0.02 | 0.01 | 1.00 | |||||||
Size | 5 | 0.02 | 0.03 | 0.02 | 0.38 | 1.00 | ||||||
Family size | 6 | 0.06 | 0.08 | 0.06 | 0.01 | 0.02 | 1.00 | |||||
Age | 7 | 0.01 | 0.02 | 0.02 | 0.19 | 0.13 | −0.05 | 1.00 | ||||
Fee | 8 | −0.01 | −0.03 | −0.03 | −0.11 | −0.15 | −0.02 | −0.01 | 1.00 | |||
SMB | 9 | 0.02 | 0.00 | 0.00 | −0.03 | 0.00 | 0.00 | −0.03 | 0.06 | 1.00 | ||
HML | 10 | −0.01 | 0.02 | −0.02 | 0.00 | 0.00 | 0.02 | 0.00 | −0.07 | −0.17 | 1.00 | |
Countries sold | 11 | 0.01 | 0.02 | 0.01 | 0.01 | −0.03 | 0.01 | 0.01 | 0.09 | −0.01 | −0.03 | 1.00 |