You are interested in evaluating the performance of a mutual fund. Recalling some lessons learned in university you run two regressions. The first regression regresses monthly excess returns for 3 years on the returns on the All Ordinaries index in excess of the 30 day Treasury return. The intercept and slope for this regression are 0.04 and 1.10 with standard errors of 0.01 and 0.34 respectively. On a whim you also run a similar regression but add three extra right hand side variables: the returns on Fama and Frenchs SMB and HML size and value factors and Carharts WML momentum factor. The intercept for this second regression is -0.04 with a standard error of 0.02. The R² for these regressions were 0.24 and 0.55 respectively. Do these regressions tell you anything about the performance of the mutual fund? If you do identify a performance metric here in what circumstances is this a good metric. What alterative performance measures could you suggest? Are there any ways to improve the performance of the regressions? (2 marks)