4. Historical returns for the Ripco Fund and the market portfolio along with Treasury bill

(T-Bill) rates (rf) are summarized in the following table:

Year Ripco Market T-Bill Year Ripco Market T-Bill 1 0.35 0.28 0.05 11 20.07 20.15 0.05 2 0.04 0.05 0.05 12 20.11 20.21 0.05 3 0.10 0.09 0.05 13 0.42 0.26 0.05 4 20.01 20.02 0.05 14 0.01 0.04 0.05 5 0.38 0.32 0.05 15 0.05 0.08 0.05 6 0.31 0.25 0.05 16 0.07 0.11 0.05 7 0.33 0.26 0.05 17 20.01 20.03 0.05 8 0.42 0.30 0.05 18 20.12 20.37 0.05 9 0.07 0.14 0.05 19 0.33 0.30 0.05 10 20.02 20.06 0.05 20 0.05 0.13 0.05

a. Calculate the fund beta over the 20-year period.

b. Calculate Jensen’s alpha for the fund over the 20-year period. Did the fund outperform the market during this period based on Jensen’s alpha?

c. Based on a squared market risk premium term, does the Ripco Fund demonstrate market timing ability?

d. Based on an appropriate interaction term, does the Ripco Fund demonstrate market timing ability?