Some market participants say that cryptocurrencies are digital gold. In this question we will compare the return
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Some market participants say that cryptocurrencies are "digital gold." In this question we will compare the return properties of Bitcoin, gold, and the U.S. stock market. The Excel file "Returns" includes (i) the price of bitcoin, (ii) the price of gold (per ounce), (iii) the total U.S. stock market index (incl. dividend payments), and (iv) the Treasury bill index at a monthly level from 12/31/2019 to 10/31/2022. The indices are set to 100 points on 12/31/2019.
date | Bitcoin Price | Gold Price | Stock Market Index | Treasury Bill Index |
12/31/19 | 7179.957819 | 1480.025 | 100 | 100 |
1/31/20 | 9388.880752 | 1560.668 | 100.02 | 100.13 |
2/29/20 | 8639.591417 | 1598.818 | 92.008398 | 100.250156 |
3/31/20 | 6446.421347 | 1593.764 | 79.80808443 | 100.3804812 |
4/30/20 | 8767.672623 | 1680.03 | 90.70188795 | 100.3804812 |
5/31/20 | 9427.670084 | 1715.697 | 95.77212349 | 100.3905193 |
6/30/20 | 9148.444859 | 1734.032 | 98.13769494 | 100.4005583 |
7/31/20 | 11373.31726 | 1840.807 | 103.8100537 | 100.4105984 |
8/31/20 | 11678.37326 | 1971.17 | 111.7411418 | 100.4206394 |
9/30/20 | 10741.57955 | 1923.477 | 107.6961125 | 100.4306815 |
10/31/20 | 13891.21683 | 1902.525 | 105.4452637 | 100.4407246 |
11/30/20 | 19382.36059 | 1869.502 | 118.6048326 | 100.4507686 |
12/31/20 | 29111.52157 | 1853.798 | 124.1080969 | 100.4608137 |
1/31/21 | 33087.36986 | 1869.675 | 124.0832752 | 100.4708598 |
2/28/21 | 45092.80657 | 1814.005 | 127.5327903 | 100.4708598 |
3/31/21 | 58724.66452 | 1721.557 | 131.4608002 | 100.4708598 |
4/30/21 | 57302.64642 | 1758.8 | 137.9418177 | 100.4708598 |
5/31/21 | 36929.47674 | 1847.561 | 138.341849 | 100.4708598 |
6/30/21 | 34855.64451 | 1836.098 | 142.1462498 | 100.4708598 |
7/31/21 | 41869.55251 | 1805.873 | 143.9515072 | 100.4708598 |
8/31/21 | 46919.51155 | 1784.086 | 148.140496 | 100.4708598 |
9/30/21 | 43718.37775 | 1780.95 | 141.6667564 | 100.4708598 |
10/31/21 | 61374.27837 | 1774.5 | 151.0875957 | 100.4708598 |
11/30/21 | 57005.42578 | 1820.293 | 148.7457379 | 100.4708598 |
12/31/21 | 46306.44531 | 1788.633 | 153.3717304 | 100.4809069 |
1/31/22 | 38483.125 | 1816.31 | 143.7859972 | 100.4809069 |
2/28/22 | 43193.23438 | 1857.718 | 140.4932979 | 100.4809069 |
3/31/22 | 45538.67578 | 1947.417 | 144.7923928 | 100.490955 |
4/30/22 | 37714.875 | 1935.039 | 131.1095117 | 100.5010041 |
5/31/22 | 31792.31055 | 1851.54 | 130.7030722 | 100.5311544 |
6/30/22 | 19784.72656 | 1835.325 | 119.7632251 | 100.591473 |
7/31/22 | 23336.89648 | 1738.84 | 131.3203763 | 100.6719462 |
8/31/22 | 20049.76367 | 1765.625 | 126.6059748 | 100.8632229 |
9/30/22 | 19431.78906 | 1685.383 | 114.9962069 | 101.054863 |
10/31/22 | 20495.77344 | 1665.607 | 124.3117389 | 101.3555013 |
- Compute the summary statistics (arith. mean, geom. mean, std. dev., Sharpe ratio) for the rates or return of the four assets (not prices or index values) over the period from January 2020 to October 2022:
- Average monthly arithmetic mean
- Average monthly geometric mean
- Monthly standard deviation
- Sharpe ratio of monthly returns
- Estimate the monthly alphas, the market betas, and the R-squared of the regression for bitcoin and gold. Explain what the alphas and betas capture? Is bitcoin more similar to gold or the stock market? Run two separate regressions, one for bitcoin and one for gold.
Related Book For
Management Accounting Information for Decision-Making and Strategy Execution
ISBN: 978-0137024971
6th Edition
Authors: Anthony A. Atkinson, Robert S. Kaplan, Ella Mae Matsumura, S. Mark Young
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