When I regress a single stock against a market index, I get a high value of R2 and beta closer to 1.
APPL.fit <- lm(APPL ~ JKSE)
When I regress an unequally weighted portfolio against a market index, I get a lower R2 and beta close to 0.
portfolio <- APPL*0.3 + WERT*0.1 +QRT*0.2 + POK*0.15 + LOI*0.15 + POI*0.03 +OLI*0.07 Port.fit <- lm(portfolio ~ JKSE)
Am I doing it wrong?