The Excel file Mutual Fund Data includes monthly data for three mutual funds (DFA U.S. Large Cap Value I Fund (DFLVX), Fidelity Magellan (FMAGX), Vanguard 500 Index Fund (VFINX)) from January 2000 to December 2018. The data series include the Net Asset Value (i.e., the price of the fund (nav)), the dividends (i.e., dividends and capital gains paid during the whole month (div)), and the total net assets (total assets under management in millions (tna)). It also includes in a separate tab the monthly Treasury bill rate RF (this is a monthly rate of return that is not annualized) and the market risk premium (Mkt-RF) of the overall U.S. stock market (i.e., the difference between the market return and the monthly risk-free rate). For example, a risk-free rate of 0.0022 means that during the corresponding month, you can expect a monthly return of 0.22% by investing in Treasury bills.

1. Briefly describe the investment strategies and styles of the mutual funds. What is the current expense ratio of the fund? Check any financial website (Morningstar, Yahoo, Google) that has information on mutual funds. (2 Points)
2. Compute the following statistics for each of the three funds, for the market, and for Treasury bills over the period from January 2000 to December 2018: (4 Points)

1. Average arithmetic means of monthly total returns
2. Average geometric means of monthly total returns
3. Standard deviations of monthly total returns
4. Monthly Sharpe ratio

3. Estimate the monthly alphas, the market betas, and the R-squared of the regression for each of the three funds using the CAPM model. Which fund takes more systematic risk? Which fund has a higher alpha (abnormal return)? What does the R-Squared tell us? (4 Points)