$6-16.($Expected return, standard deviation, and the capital asset pricing model$)$ Below you

have been provided historical prices for Citigroup and the S&P $500$ Index.

CITIGROUP S&P $500$ INDEX

$2014$

May $$47\mathrm{.}57$ $$1,924$

June $47\mathrm{.}101,960$

July $48\mathrm{.}911,931$

August $51\mathrm{.}652,003$

September $51\mathrm{.}821,972$

October $53\mathrm{.}532,018$

November $53\mathrm{.}972,068$

December $54\mathrm{.}112,059$

$2015$

January $46\mathrm{.}951,995$

February $52\mathrm{.}422,105$

March $51\mathrm{.}522,068$

April $53\mathrm{.}322,086$

May $54\mathrm{.}972,128$

a$.$ Calculate the monthly holding$-$period returns for Citigroup and the S&P

$500$ Index.

b$.$ What are the average monthly returns and standard deviations for each?

c$.$ Graph the Citigroup returns against the S&P $500$ Index returns.

d$.$ Use a spreadsheet to compute the slope of the characteristic line.

e$.$ Interpret your findings.