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Multifactor Models - Q1
Multifactor Models - Q1
Long-Term
Russell Russell Russell Value-Weighted Government Treasury
Month 2000 2000 Growth 2000 Value Market Bonds Bills
Source: Adapted from Thomson Research Datastream, Ken French's Data Library, and Ibbotson & Associates.
Exhibit 2 Total Monthly Returns for HML, SMB, MOM, and 10 Industry Portfolios (January 2000 to December 2004)
Consumer Consumer
Month HML SMB MOM Nondurables Durables Manufacturing Energy
Source: Adapted from Ken French's Data Library and Ibbotson & Associates.
Exhibit 7 Total Monthly Returns January 2000 to December 2004