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Below is the 60 months of monthly data on the excess returns on MMM Company and the US stock market. Run a linear regression (SCL regression) of the returns on MMM on the returns on the market portfolio, using the regression tool in Excel.
a. What is MMM's beta from this regression?
b. What is MMM's monthly alpha?
c. What percentage of MMM's total risk (variance) is systematic?
Excess Returns
Month
MMM-rF
rM-rF
1
10.38%
9.54%
2
-2.88%
3.88%
3
0.33%
0.60%
4
2.75%
6.82%
5
1.87%
1.99%
6
5.52%
3.49%
7
1.37%
0.45%
8
3.97%
2.90%
9
-2.34%
-1.27%
10
0.50%
-1.75%
11
-8.13%
-2.36%
12
-4.14%
-5.99%
13
-13.49%
-7.59%
14
10.07%
11.35%
15
3.28%
-0.28%
16
0.85%
0.74%
17
6.09%
5.05%
18
1.71%
4.42%
19
1.84%
3.11%
20
0.17%
-0.85%
21
-4.90%
-6.19%
22
6.15%
3.89%
23
1.82%
0.79%
24
2.14%
2.55%
25
-0.20%
2.73%
26
-5.23%
-1.76%
27
4.50%
0.78%
28
2.08%
1.18%
29
8.29%
5.57%
30
4.07%
1.29%
31
2.22%
4.03%
32
-1.50%
1.55%
33
5.91%
2.80%
34
-0.83%
-1.20%
35
7.39%
5.65%
36
-2.74%
-2.71%
37
5.13%
3.77%
38
5.39%
4.18%
39
6.61%
3.12%
40
2.81%
41
-8.60%
-3.32%
42
5.79%
4.65%
43
0.69%
0.43%
44
2.53%
-0.19%
45
2.06%
46
0.48%
2.61%
47
-1.64%
-2.04%
48
4.24%
49
-1.61%
-1.97%
50
8.53%
2.52%
51
4.67%
52
2.64%
-0.06%
53
-1.23%
-3.11%
54
4.56%
6.13%
55
-2.19%
-1.12%
56
-5.19%
0.59%
57
2.36%
1.36%
58
-3.00%
-1.53%
59
-1.92%
1.54%
60
-5.42%
-6.04%
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