Question
1. Given the monthly returns that follow, how well did the passive portfolio track the S&P 500 benchmark? Find the R2, alpha, and beta of
1. Given the monthly returns that follow, how well did the passive portfolio track the S&P 500 benchmark? Find the R2, alpha, and beta of the portfolio. Compute the average return differential with and without sign.
Month Portfolio Return S&P 500 Return
January 5.0% 5.2%
February 2.3 3.0
March 1.8 1.6
April 2.2 1.9
May 0.4 0.1
June 0.8 0.5
July 0.0 0.2
August 1.5 1.6
September 0.3 0.1
October 3.7 4.0
November 2.4 2.0
December 0.3 0.2
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The Economics Of Money Banking And Finance
Authors: Peter Howells, Keith Bain
4th Edition
0273710397, 978-0273710394
