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?
10 szabadúszó tett átlagosan $175 árajánlatot erre a munkára
I have done CFA level 2 and have calculated CAPM and other models. I have done these models in excel as well. Further assistance will be provided if required
I have extensive experience scripting and creating solutions for excel. The task described seems simple and I can turn this around to you rather quickly.