There is a positive correlation between portfolio return and the size factor, which indicates that the portfolio moves together with large-cap stocks.

There is a positive correlation between portfolio return and the value factor, which indicates that the portfolio moves together with growth stocks.

There is a negative correlation between portfolio return and the size factor, which indicates that the portfolio moves together with large-cap stocks.

There is a negative correlation between portfolio return and the value factor, which indicates that the portfolio moves together with growth stocks.