The Excel file ValueGrowth includes monthly total rates of returns for three ETFs with the ticker symbols SPYG, SPYV, and SPY and for T-Bills from January 2010 to October 2020. For example, in March 2020, SPYG lost 10.04%, SPYV lost 15.26%, SPY lost 12.46%, and T-bills had a return of 0.12%.

a. Briefly describe the investment strategies and styles of the three ETFs. Check any financial website that has information on ETFs. What is the difference between value and growth stocks?

b. Compute the following statistics for each of the three ETFs and for Treasury bills over the period from January 2000 to October 2020: (i) Average arithmetic mean of monthly total returns (ii) Average geometric mean of monthly total returns (iii) Standard deviation of monthly total returns (iv) Sharpe ratio of monthly total returns

c. Estimate the monthly alphas, the market betas, and the R-squared of the regression for the SPYG and SPYV ETFs using the CAPM model. You can use the return on the SPY ETF as a proxy for the market portfolio. Which fund has a higher alpha (abnormal return)? Which fund takes more systematic risk? What does the R-Squared tell us?