The following information is for the next $4$ questions.

You are evaluating the performance of an actively managed mutual fund run by Trident Funds. The fund has a market beta of $1\mathrm{.}15$ and has earned an average annual return of $8\mathrm{.}7\%$ over the last $10$ years. The market risk premium is $5\mathrm{.}2\%,$ and the risk$-$free rate is $1\mathrm{.}5\%.$

Question $13$

$2$ pts

If CAPM is the correct asset pricing model, calculate the abnormal returns earned by the Trident fund.

$2\mathrm{.}95\%$

$1\mathrm{.}22\%$

$5\mathrm{.}76\%$

$7\mathrm{.}48\%$

$8\mathrm{.}7\%$

Question $14$

$2$ pts

Now consider an alternative asset pricing model $($the Fama$-$French $3-$Factor model$)$ that allows for multiple factors: the market risk factor, a size factor, and a book$-$to$-$market factor. In addition to the market premium above, the size premium is $3\mathrm{.}6\%$ and the book$-$to$-$market premium is $6\mathrm{.}1\%.$ Using this new model, you estimate the following betas for the Trident fund:

${}_{RMRF}=0\mathrm{.}92,{}_{SMB}=1\mathrm{.}20,{}_{HML}=-0\mathrm{.}31$

Using the Fama$-$French $3-$factor model, what is the expected return for the Trident fund?

$7\mathrm{.}213\%$

$12\mathrm{.}488\%$

$10\mathrm{.}213\%$

$9\mathrm{.}622\%$

Question $15$

$2$ pts

Given the estimated betas from the question above, how would you characterize the features of this mutual fund? $($For example, what type of fund is it with regards to the Morningstar style box?$)$

Small$-$Cap Value Fund

Large$-$Cap Growth Fund

Large$-$Cap Value Fund

Small$-$Cap Growth Fund

Question $16$

$2$ pts

Now assume that the $3-$factor model is the correct asset pricing model. Re$-$calculate the abnormal returns earned by the Trident fund.

$-0\mathrm{.}013\%$

$0\mathrm{.}052\%$

$1\mathrm{.}181\%$

$0\mathrm{.}975\%$