Figure $2$: CAPM Evaluation for Fund I and II

$($c$)$ Based on CAPM regression results in Figure $2,$ could we tell if Fund I deliver a positive alpha beyond the market? Please write down the null hypothesis and make your conclusion. $($Hint: You are allowed to use $2$ to approximate $1\mathrm{.}96$ for the calculation.$)$

$($d$)$ Based on CAPM regression results in Figure $2,$ could we tell if Fund II has a market beta of $1?$ Please write down the null hypothesis and make your conclusion. $($Hint: You are allowed to use $2$ to approximate $1\mathrm{.}96$ for the calculation.$)$

$($e$)$ Based on above analysis, if the market drops $0\mathrm{.}1($or $10\%)$ in September, what is the probability for both Fund I and II lose $0\mathrm{.}1($or $10\%)$ for a month?