MAX (%)

IVOL (%)

PRICE

SIZE

(10 millions)

B/M

REV (%)

ZR (%)

βSMB

βRMRF

βHML

ISKEW

MOM (%)

Low max

2.52

10.26

11.29

715

0.72

−3.57

52.21

0.39

0.98

−0.29

2.79

0.73

D2

3.25

10.67

12.01

611

0.68

−2.48

52.29

0.46

1.04

−0.33

2.75

0.73

D3

3.77

10.82

12.86

595

0.66

−1.85

52.36

0.46

1.03

−0.47

2.78

0.72

D4

4.30

11.20

13.55

588

0.64

−1.11

52.36

0.44

1.01

−0.53

2.68

0.75

D5

4.83

11.35

14.48

589

0.62

0.00

52.59

0.40

1.04

−0.66

2.70

0.69

D6

5.40

11.43

15.18

604

0.61

0.92

52.63

0.43

1.02

−0.61

2.69

0.74

D7

6.22

11.72

15.99

615

0.59

2.50

52.65

0.41

1.03

−0.68

2.63

0.70

D8

7.21

11.73

16.89

623

0.59

3.77

52.71

0.35

1.03

−0.69

2.71

0.75

D9

8.80

11.88

17.36

595

0.58

6.17

52.73

0.31

1.03

−0.71

2.69

0.74

High max

9.98

11.99

14.96

495

0.59

8.77

52.65

0.50

1.13

−0.54

2.70

0.71