You are evaluating a new project - Project Z. The table below shows project returns and market excess returns over the next year under three different states of the world. Project Z costs $10 million upfront. The risk-free rate is 2%. State of the world State probability Market return Project Z return Bull 0.35 0.10 0.50 Flat 0.45 0.05 -0.02 Bear 0.20 -0.05 -0.40 Note: All numbers regarding returns in the above table are stated in decimal form (so 0.5 means 50%). Which of the following statement are true? (Select ALL correct answers) The forward-looking CAPM beta of Project Z is 5.91 The expected return of project Z is 0.086 The covariance between project Z's returns and market's returns is 0.016965 The covariance between project Z's returns and market's returns is 0.00286875