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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 R²: Alpha: % Beta: Average return difference (with signs): Average return difference (without signs) Portfolio Return S&P 500 Return January 5.6% 6.0% February -2.5 -2.9 March -1.8 -1.5 April 2.7 2.1 May 0.8 0.2 June -1.2 -0.9 July 0.2 0.6 August 1.8 2.0 September -0.7 -0.2 October -3.5 -4.3 November 2.9 2.0 December 0.6 0.2 % %

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 R²: Alpha: % Beta: Average return difference (with signs): Average return difference (without signs) Portfolio Return S&P 500 Return January 5.6% 6.0% February -2.5 -2.9 March -1.8 -1.5 April 2.7 2.1 May 0.8 0.2 June -1.2 -0.9 July 0.2 0.6 August 1.8 2.0 September -0.7 -0.2 October -3.5 -4.3 November 2.9 2.0 December 0.6 0.2 % %

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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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 R²: Alpha: % Beta: Average return difference (with signs): Average return difference (without signs) Portfolio Return S&P 500 Return January 5.6% 6.0% February -2.5 -2.9 March -1.8 -1.5 April 2.7 2.1 May 0.8 0.2 June -1.2 -0.9 July 0.2 0.6 August 1.8 2.0 September -0.7 -0.2 October -3.5 -4.3 November 2.9 2.0 December 0.6 0.2 % %
Transcribed Image Text: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 R²: Alpha: % Beta: Average return difference (with signs): Average return difference (without signs) Portfolio Return S&P 500 Return January 5.6% 6.0% February -2.5 -2.9 March -1.8 -1.5 April 2.7 2.1 May 0.8 0.2 June -1.2 -0.9 July 0.2 0.6 August 1.8 2.0 September -0.7 -0.2 October -3.5 -4.3 November 2.9 2.0 December 0.6 0.2 % %
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