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We are using Jensen's alpha to evaluate a fund's performance. Our data is the weekly return for the past five years. We run the following regression: Ri-Rf = + (Rm-Rf) The regression results are as follows: coefficient Pvalue 0.001 0.001 0.0005 1.1 What is the annualized abnormal return of the fund? (5 marks) 1.2 Suppose we forgot to include the risk-free rate Ry in the regression. In other word, we ran the following regression. The annual risk-free rate is 5%. Please calculate the value of 1 and coefficients. (5 marks) Can Jensen's alpha only be applied to evaluate the abnormal return of financial asset or can Jensen's alpha also be applied to evaluate the abnormal return of other non financial asset (such as oil, grain, gas, etc.)? 1.3 (5 marks) We are using Jensen's alpha to evaluate a fund's performance. Our data is the weekly return for the past five years. We run the following regression: Ri-Rf = + (Rm-Rf) The regression results are as follows: coefficient Pvalue 0.001 0.001 0.0005 1.1 What is the annualized abnormal return of the fund? (5 marks) 1.2 Suppose we forgot to include the risk-free rate Ry in the regression. In other word, we ran the following regression. The annual risk-free rate is 5%. Please calculate the value of 1 and coefficients. (5 marks) Can Jensen's alpha only be applied to evaluate the abnormal return of financial asset or can Jensen's alpha also be applied to evaluate the abnormal return of other non financial asset (such as oil, grain, gas, etc.)? 1.3