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	6.0	%	6.2	%
February	-2.3		-3.0
March	-1.9		-1.4
April	2.9		2.0
May	0.8		0.5
June	-0.5		-0.2
July	0.4		0.8
August	1.4		1.5
September	-0.3		0.2
October	-3.6		-4.4
November	2.6		2.0
December	0.5		0.0

R²:

Alpha: %

Beta:

Average return difference (with signs): %

Average return difference (without signs): %