Suppose you have 5-year annual data on the excess returns on a fund managers portfolio (fund ABC) and the excess returns on a market index (where Rabc is the return on fund ABC, rf is the risk-free rate and rm is the return on the market index):

Year t	Excess return on fund ABC	Excess return on market index
1	14	16
2	32	21.7
3	11.6	6
4	21.2	16.2
5	17.4	11

a) What is the estimated alpha (B) for Fund ABC?

b)Given the data in question (a), what is the estimated beta () of Fund ABC?

c) Suppose that the unbiased estimator of the standard deviation of the disturbance (s) is 5.1. What is the nearest value to the standard errors of the estimated CAPM alpha () of Fund ABC ?

d) The estimated alpha () and beta (B) of a rival fund, Fund DEF, are 2.3 and 3.1, respectively. If the expected market risk premium is 12%, what would we expect the excess return of Fund DEF to be?