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	5.5	%	5.8	%
February	-2.8		-3.7
March	-1.7		-1.1
April	2.3		1.4
May	0.6		0.2
June	-0.9		-0.3
July	0.2		0.6
August	1.4		1.8
September	-0.7		-0.1
October	-3.6		-4.3
November	3.0		2.1
December	0.8		0.7

R²:

Alpha: %

Beta:

Average return difference (with signs): %

Average return difference (without signs) %