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 −2.3 −3.0
March −1.8 −1.6
April 2.2 1.9
May 0.4 0.1
June −0.8 −0.5
July 0.0 0.2
August 1.5 1.6
September −0.3 −0.1
October −3.7 −4.0
November 2.4 2.0
December 0.3 0.2