Problem $4-07$

Given the monthly returns that follow, find the R$2,$ 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 Portfolio Return S&P $500$ Return

January $6\mathrm{.}0\%6\mathrm{.}4\%$

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

March $-1\mathrm{.}7-1\mathrm{.}2$

April $2\mathrm{.}31\mathrm{.}7$

May $0\mathrm{.}90\mathrm{.}5$

June $-1\mathrm{.}2-0\mathrm{.}8$

July $0\mathrm{.}40\mathrm{.}9$

August $1\mathrm{.}41\mathrm{.}6$

September $-0\mathrm{.}7-0\mathrm{.}5$

October $-3\mathrm{.}6-4\mathrm{.}4$

November $2\mathrm{.}31\mathrm{.}4$

December $0\mathrm{.}40\mathrm{.}3$

R$2$:

Alpha:

$\%$

Beta:

Average return difference $($with signs$)$:

$\%$

Average return difference $($without signs$)$

$\%$