Rm-Rf

AcronymDefinition
Rm-RfMarket Return Minus Risk-Free Return (finance)
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The (Rm-Rf) factor represents weekly excess return of the market portfolio over the risk-free rate.
(6) Rm-Rf, the excess return on the market, is the value-weighted return on all NYSE, AMEX and NASDAQ stocks (from CRSP) minus the one-month Treasury bill rate (from Ibbotson Associates).
Gold Rm-Rf SmB HmL Pearson Gold 1.000 0.0109 0.0384 0.0237 Correlation Rm-Rf 1.000 0.1762 0.4299 SmB 1.000 -0.0254 HmL 1.000 SPDR Rm-Rf SmB HmL Gold ETF Pearson SPDR Gold 1.000 -.013 .042 -.051 Correlation ETF Rm-Rf 1.000 .470 .482 SmB 1.000 .351 HmL 1.000 Area Gold Rm-Rf SmB HmL Miners Pearson Area Gold 1.000 .396 *** .041 * .068 *** Correlation Miners Rm-Rf 1.000 .176 .430 SmB 1.000 -.025 HmL 1.000 TABLE 3 Results of the Gold Return Regression on Fama and French (1993) Benchmark Factors.
Periodo: de julho de 1995 a junho de 2007 Painel A: periodos de baixa do mercado acionario N = 53 observacoes Rm-Rf SMB HML WinMLos Media -6,39% 3,20% 0,63% 0,50% Desvio-padrao 7,15% 5,36% 4,58% 4,22% t -6,50 4,34 0,99 0,86 p-value de t 0,00% 0,00% 32,50% 39,20% Painel B: periodos de alta do mercado acionario N = 91 observacoes Rm-Rf SMB HML WinMLos Media 6,38% -1,81% 1,55% -0,38% Desvio-padrao 5,09% 5,45% 6,35% 4,63% t 11,97 -3,16 2,33 -0,78 p-value de t 0,00% 0,20% 2,20% 43,90% Fonte: Elaborada pelos autores O excesso de retorno da carteira de mercado em relacao ao ativo livre de risco apresentou-se positivo em grande parte do periodo, ou seja, em 63% das observacoes.
Periodo: de julho de 1995 a junho de 2007 Painel A: periodos de politica monetaria restritiva N = 47 observacoes Rm-Rf SMB HML WinMLos Media 2,24% -1,15% 2,08% 0,04% Desvio-padrao 8,36% 6,67% 6,66% 5,46% t 1,83 -1,18 2,14 0,05 p-value de t 7,30% 24,50% 3,70% 96,30% Painel B: periodos de politica monetaria expansiva N = 97 observacoes Rm-Rf SMB HML WinMLos Media 1,41% 0,61% 0,79% -0,10% Desvio-padrao 8,67% 5,46% 5,25% 3,96% t 1,61 1,10 1,48 -0,24 p-value de t 11,20% 27,60% 14,30% 80,70% Fonte: Elaborada pelos autores
This approach helps assess gold's sensitivity to the market factor (Rm-Rf), the small-big factor (SMB), the value-growth factor (HML) and the momentum factor (UMD).