Problem 11-01

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	5.1	%	5.4	%
February	-2.7		-3.1
March	-1.7		-1.3
April	2.8		2.4
May	0.5		0.2
June	-0.5		-0.2
July	0.1		0.5
August	1.3		1.4
September	-0.6		-0.1
October	-3.5		-3.9
November	2.2		1.4
December	0.7		0.5

R²:

Alpha: %

Beta:

Average return difference (with signs): %

Average return difference (without signs) %