Cryptocurrencies are “digital gold.”

  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 table below includes (1) the price of bitcoin, (2) the price of gold (3) the total stock market index and (4) 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 12/31/2019 7179.957819 1480.025 100 100 1/31/2020 9388.880752 1560.668 100.02 100.13 2/29/2020 8639.591417 1598.818 92.008398 100.250156 3/31/2020 6446.421347 1593.764 79.80808443 100.3804812 4/30/2020 8767.672623 1680.03 90.70188795 100.3804812 5/31/2020 9427.670084 1715.697 95.77212349 100.3905193 6/30/2020 9148.444859 1734.032 98.13769494 100.4005583 7/31/2020 11373.31726 1840.807 103.8100537 100.4105984 8/31/2020 11678.37326 1971.17 111.7411418 100.4206394 9/30/2020 10741.57955 1923.477 107.6961125 100.4306815 10/31/2020 13891.21683 1902.525 105.4452637 100.4407246 11/30/2020 19382.36059 1869.502 118.6048326 100.4507686 12/31/2020 29111.52157 1853.798 124.1080969 100.4608137 1/31/2021 33087.36986 1869.675 124.0832752 100.4708598 2/28/2021 45092.80657 1814.005 127.5327903 100.4708598 3/31/2021 58724.66452 1721.557 131.4608002 100.4708598 4/30/2021 57302.64642 1758.8 137.9418177 100.4708598 5/31/2021 36929.47674 1847.561 138.341849 100.4708598 6/30/2021 34855.64451 1836.098 142.1462498 100.4708598 7/31/2021 41869.55251 1805.873 143.9515072 100.4708598 8/31/2021 46919.51155 1784.086 148.140496 100.4708598 9/30/2021 43718.37775 1780.95 141.6667564 100.4708598 10/31/2021 61374.27837 1774.5 151.0875957 100.4708598 11/30/2021 57005.42578 1820.293 148.7457379 100.4708598 12/31/2021 46306.44531 1788.633 153.3717304 100.4809069 1/31/2022 38483.125 1816.31 143.7859972 100.4809069 2/28/2022 43193.23438 1857.718 140.4932979 100.4809069 3/31/2022 45538.67578 1947.417 144.7923928 100.490955 4/30/2022 37714.875 1935.039 131.1095117 100.5010041 5/31/2022 31792.31055 1851.54 130.7030722 100.5311544 6/30/2022 19784.72656 1835.325 119.7632251 100.591473 7/31/2022 23336.89648 1738.84 131.3203763 100.6719462 8/31/2022 20049.76367 1765.625 126.6059748 100.8632229 9/30/2022 19431.78906 1685.383 114.9962069 101.054863 10/31/2022 20495.77344 1665.607 124.3117389 101.3555013 a. Compute the following statistics for each of the four asset classes over the period from January 2020 to October 2022: (i) Average monthly arithmetic mean (ii) Average monthly geometric mean (iii) Monthly standard deviation (iv) Sharpe ratio of monthly returns b. 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?