Finance help: R squared and beta

[iversonyin]

So I ran regression on monthly return on couple of market stocks (XOM, WMT) against the monthly return of the S&P 500.

The R squared for the regression tend to lie b/w 0.20-0.30s. Which is not very high IMO. Did anyone ever try running similar regression? Is r sq of 0.20s-0.30s normal for beta?