Question

Given the monthly returns that follow, find the R2, alpha, and beta of the portfolio. Compute the average return differential with and without sign. Do not round intermediate calculations. Round your answers to two decimal places. Month Portfolio Return S&P 500 Return January 5.8 % 6.0 % February -2.4 -3.3 March -1.9 -1.3 April 2.4 1.6 May 0.5 0.2 June -1.0 -0.6 July 0.2 0.4 August 1.4 1.9 September -0.5 -0.3 October -3.5 -3.8 November 2.5 1.9 December 0.4 0.0

R2:

Alpha: %

Beta:

Average return difference (with signs): %

Average return difference (without signs) %

Answer 1

Formulas Used:-

Month	Portfolio Return	S&P 500 Return
January	0.058	0.06
February	-0.024	-0.033	R2	=CORREL(B5:B16,C5:C16)^2
March	-0.019	-0.013	Alpha	=INTERCEPT(B5:B16,C5:C16)
April	0.024	0.016	Beta	=SLOPE(B5:B16,C5:C16)
May	0.005	=0.2%	Average return difference	=B18-(E7+(E8*C18))
June	-0.01	-0.006	Average return difference (without signs) %	=B18-(E7+(E8*C18))
July	0.002	0.004
August	0.014	0.019
September	-0.005	-0.003
October	-0.035	-0.038
November	0.025	0.019
December	0.004	0
Average	=AVERAGE(B5:B16)	=AVERAGE(C5:C16)