Home / Questions / Given the monthly returns that follow, how well did the passive portfolio track the S&P 50...
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 without sign.
Month Portfolio Return S&P 500 Return
January 5.0% 5.2%
February â2.3 â3.0
March â1.8 â1.6
April 2.2 1.9
May 0.4 0.1
June â0.8 â0.5
July 0.0 0.2
August 1.5 1.6
September â0.3 â0.1
October â3.7 â4.0
November 2.4 2.0
December 0.3 0.2
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