The following table shows a manager%u2019s monthly portfolio returns along wit

The following table shows a manager%u2019s monthly portfolio returns along with S&P 500 returns.

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

A) Find R2 alpha and beta of the portfolio

B) Compute the average annual return differential between portfolio and S&P 500

C) Did the manager outperform the index?

D) Compute the tracking error of the manager relative to the index (tracking error = annualized standard
deviation between portfolio and index)