Factor Performance
12-month rolling compounded returns · Fama-French Five Factors + Momentum· through May 2026
Mkt-RFMarket
+24.7%SMBSize
+4.2%HMLValue
+10.8%RMWProfitability
-19.7%CMAInvestment
-2.7%MomMomentum
+12.2%Source: Ken French Data Library · mba.tuck.dartmouth.edu · Bars = trailing 12-month compounded return