Factor Performance
12-month rolling compounded returns · Fama-French Five Factors + Momentum· through August 2026
Factor Rolling Returns12-month compounded
Mkt-RFMarket
+15.5%SMBSize
+3.7%HMLValue
+10.3%RMWProfitability
-14.6%CMAInvestment
-0.5%MomMomentum
+4.5%Source: Ken French Data Library · mba.tuck.dartmouth.edu · Bars = trailing 12-month compounded return