Month Mkt TBill SMB HML UMD 199001 -0.031858001 0.009644000 -0.004927893 0.005343755 199002 -0.003200000 0.008583000 -0.014410960 0.012940316 199003 -0.022067999 0.010418000 -0.044228975 -0.019021692 199004 -0.090796001 0.010183000 -0.014643751 -0.014217108 199005 0.037911002 0.010692000 -0.064001471 -0.017834090 199006 0.075127997 0.011133000 -0.000219907 -0.050784539 199007 0.003743000 0.011492000 0.038080361 -0.024919262 199008 -0.023529001 0.011565000 0.053467590 -0.071444847 199009 -0.075940996 0.010644000 -0.008952522 0.010515582 199010 -0.073945999 0.010051000 -0.073218964 0.003539019 199011 0.011376000 0.010532000 -0.023906616 -0.044201002 199012 0.045042001 0.010571000 -0.080306321 0.097416066 -0.179814979 199101 -0.031838998 0.010891000 -0.071844444 0.052778527 0.099701181 199102 0.132082999 0.009726000 0.065944575 0.074652627 -0.086026259 199103 0.066489004 0.007944000 0.067505911 -0.032754436 -0.025997221 199104 -0.004344000 0.008533000 0.014911785 -0.029597621 0.016204894 199105 0.026945001 0.008192000 0.022946682 0.011299123 0.055048108 199106 0.007410000 0.007406000 0.037031580 -0.006381414 -0.023176869 199107 -0.010271000 0.006998000 -0.042622801 -0.001782767 0.012351207 199108 -0.008257000 0.007216000 -0.007600974 0.009561258 0.104214311 199109 -0.032751001 0.007239000 -0.012307972 -0.029512879 0.036355440 199110 0.042920001 0.007672000 0.039550830 -0.085416123 0.020387527 199111 0.041910000 0.006958000 0.073542826 -0.023500709 0.017680628 199112 -0.011476000 0.005986000 -0.036830641 -0.062077425 0.066018216 199201 0.141645998 0.006660000 0.040052883 -0.066208646 0.042464785 199202 0.052898999 0.005370000 0.047660489 -0.019333409 0.056676891 199203 -0.025782000 0.005906000 0.036780305 0.000531766 -0.031380583 199204 -0.040667001 0.006743000 -0.031565066 0.004030099 -0.068809040 199205 0.028631000 0.006522000 0.011546795 0.011845986 -0.027095553 199206 0.006836000 0.005755000 -0.020393232 0.016485712 0.057920299 199207 0.023675000 0.005266000 0.044461586 0.008492674 -0.044025939 199208 -0.000323000 0.004794000 0.003176416 0.000197296 0.027794784 199209 0.012869000 -0.000296000 0.035349995 -0.021032022 0.007160169 199210 -0.001461000 0.008175000 0.017977640 -0.030605014 0.048852872 199211 0.028828001 0.000769000 0.020441618 -0.063806720 0.027770603 199212 0.129234999 0.009361000 0.069030568 0.005752086 -0.082283668 199301 0.072936997 0.006692000 0.162589699 -0.126132384 0.107777938 199302 0.085982002 0.006531000 0.036311526 0.003894042 0.007901169 199303 0.106885999 0.005969000 0.051807504 0.052110966 0.087237567 199304 0.134991005 0.003782000 0.042047091 0.052227989 0.067406327 199305 0.085685000 0.005166000 0.059854712 0.071225882 0.040199872 199306 0.078345999 0.004470000 0.096181519 -0.021295868 0.111410648 199307 -0.002081000 0.004336000 -0.001969746 0.051975634 0.016250605 199308 0.034203999 0.002431000 -0.033563729 -0.018380037 -0.036084760 199309 -0.015849000 0.004015000 -0.001010198 0.004505352 -0.072393700 199310 0.067607000 0.004242000 -0.032473773 0.032780524 0.014824060 199311 0.001084000 0.004057000 -0.017468661 0.035521198 -0.068757452 199312 0.056655999 0.003722000 0.009146694 -0.032399807 0.016048206 199401 0.058871999 0.003532000 -0.007116275 0.048445623 -0.020475280 199402 -0.014464000 0.002604000 0.001443790 0.023318868 -0.004538161 199403 0.013216000 0.000589000 0.023207517 -0.012505298 0.025012584 199404 -0.004569000 0.003674000 0.018657185 0.031866387 -0.064082757 199405 -0.005083000 0.003877000 -0.035915066 -0.008321133 0.015397998 199406 -0.061891999 0.004592000 0.003205465 0.027010888 0.002883103 199407 0.012938000 0.006885000 -0.037282590 0.024264371 0.005311789 199408 -0.001737000 0.005449000 -0.035737991 0.051179644 0.074610561 199409 0.012189000 0.004466000 0.006836676 -0.009830091 0.016975187 199410 -0.019755000 0.004173000 -0.013260580 0.059520815 0.043949701 199411 -0.063827001 0.003688000 -0.029277207 0.037588973 -0.027295442 199412 0.024728000 0.002403000 -0.006701855 -0.060322482 -0.038044054 199501 -0.045658998 0.004508000 -0.010907177 0.008603105 -0.008561983 199502 0.011082000 0.006822000 -0.027423320 0.002588938 0.027054492 199503 0.055950001 0.005558000 0.020380467 -0.055145036 0.000072580 199504 0.022738000 0.007160000 0.030898977 0.015664708 0.049046870 199505 0.035553001 0.007291000 -0.010289295 -0.013577294 -0.014386591 199506 0.035144001 0.007122000 0.009394712 -0.021549622 0.005743455 199507 0.029010000 0.005626000 -0.005782628 -0.018853998 0.018088728 199508 0.005709000 0.005858000 0.021991834 -0.006314963 0.012653708 199509 0.007703000 0.004959000 0.002705176 -0.005248534 0.021863397 199510 -0.045837000 0.006126000 -0.030420043 0.022077540 0.039123658 199511 0.028263001 0.005013000 -0.046998970 -0.039489202 0.057997029 199512 0.041901998 0.005192000 0.016142759 -0.008121569 -0.040244482 199601 0.082813002 0.005215000 0.025196791 -0.059481163 0.016172266 199602 0.048331998 0.004070000 0.046155792 -0.022280354 0.059662588 199603 0.045003001 0.004479000 0.035898667 -0.036271516 0.033477135 199604 0.064714998 0.004594000 0.009440184 -0.021089291 0.022272769 199605 0.047621001 0.003989000 0.026490344 -0.017454034 0.015944932 199606 -0.057441000 0.003705000 -0.011717319 0.045092277 -0.056752585 199607 -0.038431998 0.004278000 -0.017238453 0.044764675 -0.004982754 199608 0.071503997 0.004263000 0.005420179 -0.015965052 0.078402773 199609 0.022549000 0.003411000 -0.015785232 0.026432974 0.047981188 199610 0.021645000 0.004518000 -0.046746712 0.024887655 0.052042007 199611 0.039283998 0.003450000 -0.043729044 0.037789818 0.013041050 199612 0.004920000 0.002019000 0.025076685 -0.038582869 0.070539586 199701 0.045784000 0.002220000 0.031574152 -0.023388801 0.022654569 199702 0.028251000 0.002296000 0.001010218 0.022450063 0.000111905 199703 -0.062332001 0.001791000 -0.021701653 0.030652996 0.026414363 199704 -0.018655000 0.002685000 -0.054236822 0.019271547 0.088470809 199705 0.059741002 0.002787000 -0.021202590 0.007284767 0.010152909 199706 -0.014626000 0.002698000 -0.038201861 0.038114864 0.114975758 199707 0.017500000 0.001574000 -0.047015741 -0.033963088 0.142930016 199708 0.011181000 0.003033000 0.036303315 0.011474940 0.012946414 199709 0.095781997 0.002611000 0.006270088 -0.027920919 0.039023530 199710 -0.035363998 0.001653000 0.003179058 0.036336724 0.115941316 199711 -0.110087000 0.003054000 -0.053844549 0.018952638 0.131260455 199712 0.013934000 0.001446000 -0.026038419 -0.029458651 -0.006549407 199801 0.000586000 0.004100000 -0.018031761 0.033199254 -0.019016804 199802 0.042750001 0.002768000 -0.007843117 -0.041335125 0.067502268 199803 0.030319000 0.003738000 -0.045336351 -0.031471781 0.065763585 199804 0.033794001 0.003291000 0.048527587 0.004576082 -0.030517429 199805 -0.036823999 0.004059000 -0.014120314 -0.068716228 0.108846419 199806 -0.067066997 0.003654000 -0.046059415 -0.003326700 0.027584177 199807 -0.070294000 0.003907000 -0.014708680 -0.013779835 0.070201330 199808 -0.206110001 0.004099000 -0.020924810 0.019411223 0.012919788 199809 0.071860999 0.003875000 0.010115683 0.054717157 -0.080324493 199810 0.031601999 0.004343000 -0.085208848 -0.057412166 0.077714555 199811 0.019574000 0.003750000 -0.011793065 -0.036516689 -0.002467740 199812 0.002772000 0.004006000 -0.008143222 -0.094496615 0.024204696 199901 0.041441999 0.004069000 0.029602770 -0.101292931 0.101601027 199902 -0.030627999 0.003504000 0.021732217 -0.010113046 0.059010021 199903 0.058424000 0.004085000 0.016219515 0.016033936 -0.096096687 199904 0.147998005 0.004119000 0.053886000 0.041197859 -0.127264708 199905 0.037930001 0.004054000 0.032653455 -0.039445691 0.043132719 199906 0.006673000 0.003270000 -0.025160179 0.031141626 0.053511832 199907 0.022240000 0.003746000 0.087063454 -0.079821773 -0.060801901 199908 0.008596000 0.003452000 0.034152765 0.016275108 0.018881503 199909 0.043588001 0.004186000 0.017428447 0.021285459 0.015635828 199910 -0.041862000 0.003551000 -0.048346333 -0.082354814 0.021778267 199911 0.004509000 0.004013000 -0.001195706 -0.110148154 0.079622008 199912 0.088813998 0.003735000 0.013407102 -0.155887976 0.064539634 200001 0.092169002 0.003776000 0.098230846 -0.068902008 -0.028255643 200002 0.215389997 0.004179000 0.162662074 -0.216997758 -0.033642866 200003 0.023073999 0.003741000 0.001988780 -0.055795465 0.031179773 200004 -0.044909000 0.004013000 -0.078077793 0.107920259 -0.112899870 200005 -0.003737000 0.003936000 0.012855181 0.163097933 -0.192856148 200006 0.035269000 0.005015000 -0.005710043 -0.113977931 0.070206761 200007 -0.023441000 0.004397000 -0.039285090 -0.024761036 0.018416373 200008 0.063744001 0.004585000 -0.005255870 -0.035910111 0.115834057 200009 -0.004931000 0.004674000 0.008499808 0.053823404 -0.003838087 200010 -0.062171001 0.004440000 -0.041017242 0.025607213 -0.030560430 200011 -0.091700003 0.004381000 -0.062247720 0.089977637 -0.091086730 200012 0.013784000 0.004968000 -0.034882527 0.046432711 0.021685526 200101 0.104199998 0.005216000 0.064100526 -0.014508190 -0.109330915 200102 -0.024072001 0.004753000 0.009923881 0.206027120 0.146166712 200103 -0.020953000 0.004250000 0.006628048 0.096369565 0.166831583 200104 0.062261000 0.004078000 -0.002041091 0.019827083 -0.046743583 200105 0.095743999 0.003613000 0.101859100 0.063810848 0.002897122 200106 -0.039023999 0.003856000 0.016441286 0.075715415 0.115616031 200107 -0.041430999 0.003817000 -0.035608545 0.068215936 0.074635193 200108 -0.042293001 0.003663000 -0.011973987 0.115154751 0.133143619 200109 -0.109909996 0.003943000 -0.020023480 0.002411882 0.087668322 200110 0.041664001 0.003975000 0.040687624 -0.039765563 -0.033809662 200111 0.063605003 0.002634000 -0.038769785 -0.077143542 -0.155037358 200112 0.066780001 0.002159000 0.000594218 0.029876340 0.014288390 200201 0.065133996 0.001685000 0.048609205 0.048029397 0.042725399 200202 0.041554999 0.001437000 0.000810549 0.058541857 0.180210203 200203 0.066037998 0.001240000 0.027067754 0.037615638 0.052119914 200204 -0.006630000 0.001807000 0.007134293 0.084905572 0.103234105 200205 0.045627002 0.001619000 0.029733924 0.094599195 0.114811778 200206 -0.071981996 0.001952000 -0.021095585 0.045585386 0.127714276 200207 -0.091002002 0.002055000 -0.021031108 0.028926175 0.007850803 200208 0.006152000 0.002086000 -0.015379397 0.010183414 0.068316467 200209 -0.060261998 0.002734000 0.014538951 0.037825789 0.136006281 200210 0.026155001 0.002347000 -0.030175388 -0.081349261 -0.199658647 200211 0.052707002 0.002413000 0.018411726 -0.074771747 -0.215133280 200212 0.053075001 0.002413000 0.033956572 -0.040872186 0.238503367 200301 0.033695001 0.002221000 0.032732796 -0.017100148 0.025195934 200302 -0.011844000 0.002221000 -0.003667929 0.001957100 0.025598403 200303 -0.052478999 0.001872000 -0.038721513 -0.044217773 0.010166819 200304 0.029242000 0.002404000 -0.027761361 0.014257822 -0.100275181 200305 0.055031002 0.002723000 0.027632069 -0.011748839 -0.081213146 200306 0.038031001 0.002730000 0.025630064 0.014620236 -0.040649276 200307 0.049616002 0.003089000 0.028509259 0.008901574 -0.017725177 200308 0.083756998 0.002477000 0.073794588 -0.007036623 0.030463513 200309 0.063265003 0.002381000 0.067109786 -0.011503225 0.014400642 200310 0.062926002 0.002035000 0.027101979 0.009011122 0.067416184 200311 0.037912998 0.002064000 0.022415629 0.004370161 0.008284627 200312 0.054674000 0.002427000 -0.001233037 0.025780043 -0.048310041 200401 0.058177002 0.002670000 0.013981400 -0.009794385 0.106672950 200402 0.034839001 0.002062000 0.008462747 -0.003890672 0.049179610 200403 -0.007149000 0.001986000 0.019936111 -0.009330967 -0.017611329 200404 -0.040702999 0.001707000 -0.000170163 0.069932334 -0.065574333 200405 -0.007562000 0.001469000 -0.016708983 -0.009500992 0.012870004 200406 0.010546000 0.001613000 -0.017964777 0.020899147 0.005120203 200407 -0.019117000 0.001603000 -0.028165188 0.052374780 -0.010755683 200408 -0.014429000 0.001614000 0.008176974 0.003487225 0.022069408 200409 0.053093001 0.001299000 0.032891437 -0.010491565 0.047549471 200410 0.008427000 0.001689000 -0.022940015 -0.016880197 0.023344915 200411 0.047952998 0.002159000 0.039972067 0.020729309 0.033800356 200412 0.038169000 0.002224000 0.018782303 -0.006662288 -0.001049999 200501 0.006626000 0.002094000 -0.016953945 0.028934924 0.033191778 200502 0.059092999 0.001950000 0.011969498 0.014763786 0.081515990 200503 -0.030787000 0.001880000 -0.016440203 0.006364211 0.019312201 200504 -0.040103000 0.002226000 -0.026732055 -0.003090390 0.006497324 200505 0.015623000 0.002031000 -0.013770116 0.012782699 0.001920764 200506 0.020455999 0.001970000 -0.010837493 0.010156279 0.030945895 200507 0.046023000 0.001844000 0.001482350 -0.024173465 0.027028836 200508 0.009983000 0.001817000 -0.012909040 -0.019502871 0.076208659 200509 0.027784999 0.002165000 -0.005622030 -0.034960177 0.017703246 200510 -0.064622998 0.001948000 0.004006761 0.002674811 -0.021793187 200511 0.034249999 0.002009000 -0.020269020 0.011570683 0.040473878 200512 0.059137002 0.002549000 0.026270553 -0.059108760 0.017919421 200601 0.082411997 0.002616000 0.047560889 -0.021897847 -0.030342421 200602 -0.000955000 0.002482000 0.039516203 0.063599877 -0.031296000 200603 0.047029000 0.002906000 0.028303185 -0.025986893 0.042369522 200604 0.023099000 0.002784000 0.029631443 -0.003331979 0.025158618 200605 -0.000617000 0.002910000 0.002227911 0.011942239 -0.011374987 200606 -0.034336001 0.003200000 -0.044982858 0.014406715 -0.006366042 200607 0.017921001 0.003747000 -0.002147711 -0.009770688 0.036944799 200608 0.009431000 0.003440000 -0.002027421 -0.020977903 -0.007518751 200609 -0.029132999 0.003310000 -0.001664311 0.018176617 -0.049637008 200610 0.042236999 0.003393000 -0.025416560 0.012402003 0.015771572 200611 0.004206000 0.003390000 -0.018818317 -0.028340099 0.038273495 200612 0.036545001 0.003436000 0.019344101 -0.029193653 -0.014422144 200701 0.029874999 0.003405000 0.017028399 0.001732120 0.009363445 200702 0.020903001 0.003346000 0.009522296 -0.002294485 0.049663633 200703 0.000193000 0.003433000 -0.004673638 -0.014723987 0.014676358 200704 0.043625001 0.003414000 0.010498271 0.024846552 -0.011415250 200705 0.015274000 0.003206000 -0.029561792 0.009098155 0.037249137 200706 -0.001877000 0.003278000 0.013861911 -0.011396199 0.044727471 200707 -0.002431000 0.003365000 -0.000725187 -0.019417325 0.036965627 200708 -0.078538999 0.004643000 -0.065078042 0.005370158 0.045285925 200709 0.046014000 0.003113000 0.000508357 -0.043207128 0.021862781 200710 0.026107000 0.003579000 -0.018902024 -0.062208693 0.082785748 200711 -0.092422999 0.003320000 -0.043515321 -0.016168632 0.055309284 200712 0.021728000 0.003298000 0.012716469 -0.024993831 -0.011654091 200801 -0.059611998 0.003832000 -0.015007531 0.057552837 0.002520687 200802 0.051020999 0.003183000 0.030489704 0.018339565 0.017442225 200803 -0.044319998 0.004675000 -0.044766057 0.000786604 0.019255796 200804 0.023073999 0.000531000 -0.004654181 0.010052842 -0.030832941 200805 0.035564002 0.002169000 0.000593225 -0.020071169 -0.034310803 200806 -0.015101000 0.002291000 0.036743164 -0.003008683 0.015444654 200807 -0.084840998 0.002659000 -0.031666137 -0.027316863 -0.000110511 200808 -0.024459001 0.001810000 -0.015284927 -0.017223695 -0.022293355 200809 -0.179341003 0.003131000 -0.074990071 0.020354070 0.031077540 200810 -0.256848007 0.000974000 -0.068773836 0.019384244 0.063701279 200811 -0.129611999 0.002448000 -0.071613871 -0.095068537 0.134307414 200812 0.055969998 0.002991000 0.124910846 -0.194847479 -0.047648430 200901 0.108476996 0.000806000 0.127694905 0.000648803 -0.144043624 200902 -0.050744001 0.000971000 0.006694170 0.000813257 -0.023317331 200903 0.087369002 0.001301000 -0.014308183 0.077818707 -0.140217975 200904 0.141806006 0.000624000 0.007356470 0.186172739 -0.293443501 200905 0.148791000 0.000286000 0.047164209 0.071552858 -0.080045402 200906 0.014190000 0.000085000 -0.027424840 -0.007012843 -0.014039139 200907 0.034247000 0.000203000 -0.028062990 0.047122169 -0.016700380 200908 0.058410998 0.000203000 0.055967361 0.045084834 -0.057795260 200909 0.093780003 0.000222000 0.069989748 0.060200330 -0.121565521 200910 0.011426000 0.000166000 0.039181754 0.017728465 0.014916430 200911 0.047162000 0.000197000 0.003217184 0.015754843 0.092420377 200912 0.053654000 0.000231000 0.042942118 0.028233845 -0.003764454