Given the monthly returns that follow, how well did the passive portfolio track the S&P 500 benchmark?

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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 withoutsign.

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Investment Analysis and Portfolio Management

ISBN: 978-0538482387

10th Edition

Authors: Frank K. Reilly, Keith C. Brown

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Question Posted: Dec 17, 2014 10:42 AM

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Given the monthly returns that follow, how well did the passive portfolio track the S&P 500 benchmark?

Question:

Month Portfolio Return S&P 500 Return January February 5.0% -2.3 5.2% -3.0 1.6 1.9 0.1 -0.5 0.2 1.6 -0.1 -4.0 April May 0.4 -0.8 0.0 August September November December -3.7 2.4 0.3 0.2

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Investment Analysis and Portfolio Management

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