Below is the 60 months of monthly data on the excess returns on MMM Company and the US stock market. Run a linear regression (SCL regression) of the returns on MMM on the returns on the market portfolio, using the regression tool in Excel.

 

 

	Excess Returns
Month	MMM-rF	rM-rF
1	10.38%	9.54%
2	-2.88%	3.88%
3	0.33%	0.60%
4	2.75%	6.82%
5	1.87%	1.99%
6	5.52%	3.49%
7	1.37%	0.45%
8	3.97%	2.90%
9	-2.34%	-1.27%
10	0.50%	-1.75%
11	-8.13%	-2.36%
12	-4.14%	-5.99%
13	-13.49%	-7.59%
14	10.07%	11.35%
15	3.28%	-0.28%
16	0.85%	0.74%
17	6.09%	5.05%
18	1.71%	4.42%
19	1.84%	3.11%
20	0.17%	-0.85%
21	-4.90%	-6.19%
22	6.15%	3.89%
23	1.82%	0.79%
24	2.14%	2.55%
25	-0.20%	2.73%
26	-5.23%	-1.76%
27	4.50%	0.78%
28	2.08%	1.18%
29	8.29%	5.57%
30	4.07%	1.29%
31	2.22%	4.03%
32	-1.50%	1.55%
33	5.91%	2.80%
34	-0.83%	-1.20%
35	7.39%	5.65%
36	-2.74%	-2.71%
37	5.13%	3.77%
38	5.39%	4.18%
39	6.61%	3.12%
40	5.05%	2.81%
41	-8.60%	-3.32%
42	5.79%	4.65%
43	0.69%	0.43%
44	2.53%	-0.19%
45	3.11%	2.06%
46	0.48%	2.61%
47	-1.64%	-2.04%
48	2.81%	4.24%
49	-1.61%	-1.97%
50	8.53%	2.52%
51	4.67%	2.55%
52	2.64%	-0.06%
53	-1.23%	-3.11%
54	4.56%	6.13%
55	-2.19%	-1.12%
56	-5.19%	0.59%
57	2.36%	1.36%
58	-3.00%	-1.53%
59	-1.92%	1.54%
60	-5.42%	-6.04%

a. What is MMM's beta from this regression?

b. What is MMM's monthly alpha?

c. What percentage of MMM's total risk (variance) is systematic?