evaluation of etf performance using the capm anf fama-french models
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Project Budget$30 - $250 USD
For each ETF, compute the Sharpe ratio, CAPM alpha (with associated t-statistic) and Fama-French alpha (with
associated t-statistic). Use the LINEST function in a VBA subroutine to compute alphas and t-statistics. Append
your results to the data in the spreadsheet ETFdata.xlsx.
Create a pivot table from the combined data.
You will need pass a spot check where you demonstrate your facility with the pivot table to me. Be able to answer
a series of questions such as:
o Compare the average expense ratio between Vanguard and Blackrock ETFs
o What provider has the highest FF alpha among Growth & Income funds?
o What is the correlation between turnover and expense ratios among Emerging Markets funds?
o How many small cap funds have significantly positive CAPM alphas?
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