evaluation of etf performance using the capm anf fama-french models

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?

Készségek: Excel

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