Historical returns for the Ripco Fund and the market portfolio along with Treasury bill (T-Bill) rates (rf) are summarized in the following table:

a. Calculate the fund beta over the 20-year period.

b. Calculate Jensen’s alpha for the fund over the 20-year period. Did the fund outperform the market during this period based on Jensen’s alpha?

c. Based on a squared market risk premium term, does the Ripco Fund demonstrate market timing ability?

d. Based on an appropriate interaction term, does the Ripco Fund demonstrate market timing ability?

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Year Ripco 0.35 0.04 1 2 3 4 10 5 6 7 8 16 10 0.10 -0.01 0.38 0.31 0.33 0.42 0.07 -0.02 Market T-Bill Year Ripco Market -0.07 -0.15 -0.11 -0.21 0.42 0.26 0.01 0.04 0.05 0.08 0.07 0.11 -0.01 -0.03 -0.12 -0.37 0.33 0.30 0.05 0.13 0.05 11 0.05 12 0.05 13 0.05 14 0.05 15 0.25 0.05 16 0.26 0.05 17 0.30 0.05 18 0.14 0.05 19 0.05 20 0.28 0.05 0.09 -0.02 0.32 -0.06 T-Bill 0.05 0.05 0.05 0.05 0.05 0.05 0.05 0.05 0.05 0.05