RAFI Case
danya.alsinan
RAFIdata.xlsx.xlsxMonthlyRetData
| These are excess returns | ||||||
| Columns B and C are total (not excess) returns | Fama-French-Carhart factors | |||||
| Date | RAFI ETF | Risk- Free (Tbill) | mktrf | smb | hml | mom |
| Jan-06 | 3.14% | 0.35% | 3.04% | 5.31% | 1.17% | 2.76% |
| Feb-06 | 0.49% | 0.34% | -0.30% | -0.32% | -0.85% | -1.82% |
| Mar-06 | 1.10% | 0.37% | 1.46% | 3.54% | -0.14% | 1.24% |
| Apr-06 | 1.50% | 0.36% | 0.73% | -1.25% | 3.06% | 0.66% |
| May-06 | -1.97% | 0.43% | -3.57% | -3.03% | 2.79% | -3.70% |
| Jun-06 | 0.73% | 0.40% | -0.35% | -0.55% | 1.49% | 1.49% |
| Jul-06 | 0.79% | 0.40% | -0.78% | -4.00% | 3.42% | -2.19% |
| Aug-06 | 2.05% | 0.42% | 2.03% | 0.81% | -1.78% | -3.47% |
| Sep-06 | 2.25% | 0.41% | 1.84% | -1.23% | -0.50% | -0.93% |
| Oct-06 | 3.31% | 0.41% | 3.23% | 1.64% | 0.52% | -0.26% |
| Nov-06 | 1.92% | 0.42% | 1.71% | 0.78% | 0.53% | -1.03% |
| Dec-06 | 1.49% | 0.40% | 0.87% | -0.90% | 2.55% | 0.84% |
| Jan-07 | 1.98% | 0.44% | 1.40% | 0.10% | -0.05% | 0.24% |
| Feb-07 | -1.51% | 0.38% | -1.96% | 1.35% | 0.23% | -1.33% |
| Mar-07 | 0.94% | 0.43% | 0.68% | -0.27% | 0.37% | 2.47% |
| Apr-07 | 3.87% | 0.44% | 3.49% | -2.07% | -0.99% | -0.16% |
| May-07 | 3.15% | 0.41% | 3.24% | -0.03% | -0.17% | -0.27% |
| Jun-07 | -1.06% | 0.40% | -1.96% | 0.75% | -1.03% | 0.30% |
| Jul-07 | -4.46% | 0.40% | -3.73% | -2.67% | -2.99% | 2.79% |
| Aug-07 | 0.81% | 0.42% | 0.92% | -0.16% | -2.32% | 0.09% |
| Sep-07 | 3.08% | 0.32% | 3.22% | -2.45% | -2.11% | 4.64% |
| Oct-07 | 1.20% | 0.32% | 1.80% | 0.11% | -2.11% | 4.87% |
| Nov-07 | -4.43% | 0.34% | -4.83% | -2.78% | -1.02% | 0.90% |
| Dec-07 | -2.35% | 0.27% | -0.87% | 0.02% | -0.01% | 6.54% |
| Jan-08 | -4.76% | 0.21% | -6.36% | -0.74% | 3.05% | -7.81% |
| Feb-08 | -3.24% | 0.13% | -3.09% | -0.55% | 0.01% | 6.11% |
| Mar-08 | -1.98% | 0.17% | -0.93% | 0.80% | 0.24% | 4.08% |
| Apr-08 | 4.88% | 0.18% | 4.60% | -1.52% | -0.03% | -0.20% |
| May-08 | 0.00% | 0.18% | 1.86% | 3.03% | -0.41% | 3.22% |
| Jun-08 | -11.59% | 0.17% | -8.44% | 1.12% | -1.02% | 12.45% |
| Jul-08 | 0.35% | 0.15% | -0.77% | 3.56% | 3.64% | -5.20% |
| Aug-08 | 2.01% | 0.13% | 1.53% | 3.67% | 1.61% | -4.05% |
| Sep-08 | -8.98% | 0.15% | -9.24% | -0.32% | 4.36% | 0.33% |
| Oct-08 | -18.19% | 0.08% | -17.23% | -2.30% | -2.96% | 7.78% |
| Nov-08 | -8.58% | 0.03% | -7.86% | -3.68% | -5.02% | 7.22% |
| Dec-08 | 1.45% | 0.09% | 1.74% | 4.00% | -1.19% | -5.05% |
| Jan-09 | -10.21% | 0.00% | -8.12% | -0.99% | -9.67% | -1.92% |
| Feb-09 | -11.89% | 0.01% | -10.10% | -0.38% | -6.90% | 4.17% |
| Mar-09 | 8.63% | 0.02% | 8.95% | 0.70% | 2.54% | -11.53% |
| Apr-09 | 18.97% | 0.01% | 10.19% | 5.35% | 5.22% | -34.58% |
| May-09 | 9.29% | 0.00% | 5.21% | -2.63% | 0.58% | -12.33% |
| Jun-09 | -1.28% | 0.01% | 0.43% | 2.67% | -2.39% | 5.31% |
| Jul-09 | 10.98% | 0.01% | 7.72% | 2.51% | 4.73% | -5.41% |
| Aug-09 | 9.97% | 0.01% | 3.33% | -0.50% | 7.65% | -8.90% |
| Sep-09 | 3.81% | 0.01% | 4.08% | 2.43% | 1.35% | -5.00% |
| Oct-09 | -5.98% | 0.00% | -2.59% | -4.23% | -4.35% | 2.64% |
| Nov-09 | 5.88% | 0.00% | 5.56% | -2.61% | 0.23% | 0.32% |
| Dec-09 | 1.90% | 0.01% | 2.75% | 5.79% | 0.72% | 2.94% |
