ABC fund has a historical average return of 14%. The market has an average return of 12% over the same period. The risk-free rate is 7%. The standard deviation of ABC is 12.4%; the standard deviation of the market is 9.4%. The covariance of ABC and the market is 0.0107.

(a)What is the beta of the fund?

(b)What is the CAPM expected return of the fund?

(c)What is the Jensens alpha of the fund?

(d)CalculatetheSharperatio,Treynormeasure,andtheAppraisalRatioofthefund.

(e) Explain verbally how you would measure whether ABC has any market timing

ability if you are provided with the necessary data.