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
|