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Problem $11-01$

Given the monthly excess returns $($i$.$e$.,$ nominal return minus risk$-$free rate$)$ that follow, find the R$2,$ alpha, and beta of the portfolio. Compute the average return differential $($portfolio return minus S&P $500$ return$).$ Do not round intermediate calculations. Round your answers to two decimal places.

Month Portfolio Return $(\%)$ S&P $500$ Return $(\%)$

January $5\mathrm{.}35\mathrm{.}5$

February $-2\mathrm{.}4-3\mathrm{.}3$

March $-1\mathrm{.}6-1\mathrm{.}3$

April $2\mathrm{.}42\mathrm{.}1$

May $0\mathrm{.}4-0\mathrm{.}3$

June $-0\mathrm{.}8-0\mathrm{.}5$

July $0\mathrm{.}30\mathrm{.}5$

August $1\mathrm{.}51\mathrm{.}8$

September $-0\mathrm{.}6-0\mathrm{.}4$

October $-3\mathrm{.}3-4\mathrm{.}1$

November $3\mathrm{.}02\mathrm{.}3$

December $0\mathrm{.}4-0\mathrm{.}1$

R $2$ :

Alpha:

$\%$

Beta:

Average return difference:

$\%$