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

1. 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:
   1. Average monthly arithmetic mean
   2. Average monthly geometric mean
   3. Monthly standard deviation
   4. Sharpe ratio of monthly returns
2. 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.

Answer rating: 100% (QA)

To compute the summary statistics and perform the regression analysis as requested we need to follow several steps Ill guide you through the process Summary Statistics 1 Calculate Monthly Returns Conv... View the full answer