Raw Return

FF-3 Alpha

Mean

Std. Dev

Mean

Std. Error

Equal-weighted

High IVOL

−0.0030

(−0.6170)

0.0059

−0.0003

(−1.1118)

0.0026

Medium IVOL

0.0027

(0.7707)

0.0030

0.0010

(0.5384)

0.0018

Low IVOL

0.0061

(2.3879)

0.0016

0.0031

(2.3995)

0.0013

High-Low

−0.0091

(−1.6526)

−0.0034

(−1.1696)

0.0029

Value-weighted

High IVOL

−0.0019

(−0.3658)

0.0070

−0.0039

(−2.0721)

0.0019

Medium IVOL

0.0028

(0.7288)

0.0038

−0.0008

(−0.7252)

0.0011

Low IVOL

0.0051

(1.5867)

0.0026

0.0019

(3.4614)

0.0006

High-Low

−0.0071

(−1.1363)

−0.0058

(−2.9109)

0.0020