Factor 1

Factor 2

Factor 3

Factor 4

Factor 5

Actual Returns

Mean

−0.0039

−0.0027

−0.0038

−0.0034

−0.0027

Variance

0.0995

0.0805

0.0761

0.0676

0.0637

Skewness

−0.3449

−0.3068

−0.3487

−0.2956

−0.2873

Kurtosis

4.2425

4.3599

4.6308

4.1745

3.5489

Risk-Neutral Returns

Mean

0.0828

0.0026

0.1239

−0.0583

0.0227

Variance

1.7299

0.9495

1.0254

1.0646

1.112

Skewness

0.3938

−0.98207

−0.1357

0.73253

−0.0577

Kurtosis

4.9521

4.2098

1.8152

8.0202

1.8552