Ret before fee is the AUM- weighted monthly before-fee returns of all actively managed US equity mutual funds.

Ret after fee is the AUM-weighted monthly after-fee returns of all actively managed US equity mutual funds. Mkt-Rf is the excess market return (above the risk-free rate), and that all returns in the file are monthly.

(a) Estimate the before-fee abnormal returns relative to the CAPM model of the aggregate equity mutual fund industry.

(b) Estimate the after-fee abnormal returns relative to the CAPM model (i.e., after-fee CAPM alpha) of the aggregate equity mutual fund industry.

(c) As an investor, do you care about the abnormal returns before fee or after fee? What conclusions you can draw from your estimate?

Monthly Mutual Fund Returns \begin{tabular}{|c|c|c|c|c|} \hline yyyymm & ret_before_fee & ret_after_fee & Mkt-Rf & Rf \\ \hline 198401 & 8623 & 4446 & 92 & .0076 \\ \hline 198402 & 17 & -0.0 & 182 & 71 \\ \hline 198403 & 747 & 3039 & 0.0063 & .0073 \\ \hline 198404 & -0.00 & 39 & 51 & \\ \hline 198405 & 8 & 99 & 97 & 78 \\ \hline 1984 & 6 & 4 & 32 & 0.0075 \\ \hline 198407 & 2 & -0 & 74 & 8? \\ \hline 198408 & 413 & 0.1 & 028 & 0.0083 \\ \hline 198409 & -0.00913944 & -0.009773316 & 0.008 & 0.0086 \\ \hline 198410 & 0.00238 & 85 & 084 & 0.01 \\ \hline 198411 & -0.012749434 & -0.0 & 176 & 013 \\ \hline 198412 & 55192 & 33 & 84 & 0.0064 \\ \hline 198501 & 0.081360394 & 0.081088457 & 0.0799 & 0.0065 \\ \hline 198502 & 2 & 5 & 22 & 58 \\ \hline 198503 & 1151 & 568 & 084 & 0.0062 \\ \hline 198504 & -0.004867053 & -0.00553 & -0.0096 & 0.0072 \\ \hline 198505 & 0.052310898 & 0.051878059 & 0.0509 & 0.0066 \\ \hline 198506 & 0.0171 & 0.01 & 127 & 0.0055 \\ \hline 198507 & 0.005770911 & 0.005144625 & -0.0074 & 0.0062 \\ \hline 198508 & -0.006659168 & -0.00733197 & -0.0102 & 0.0055 \\ \hline 198509 & -0.035224577 & -0.036004608 & -0.0454 & 0.006 \\ \hline 198510 & 0.039849651 & 0.039360582 & 0.0402 & 0.0065 \\ \hline 198511 & 0.064648533 & 0.064255956 & 0.0648 & 0.0 \\ \hline \end{tabular}