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As an investment advisor for MREAF ( Momentum Real Estate Advisory Fund ) , you are about to make a presentation to the portfolio manager
As an investment advisor for MREAF Momentum Real Estate Advisory Fund you are about to make a presentation to the portfolio manager of the ET&T pension fund. You would like to show what would have happened had ET&T made an investment in MREAF during the past quarters. The ET&T manager has provided you with historical data on the performance of its portfolio, which is made up entirely of common stock. Historical data for the ET&T portfolio and MREAF are as follows: Period Ending ET&T Common Stock Fund MREAF Real Estate Fund Unit Value Quarterly Dividend Unit Value Quarterly Dividend Quarter $ $ $ $ Quarter Quarter Quarter Quarter Quarter Quarter Quarter Quarter Quarter Quarter Quarter Quarter Required: a Calculate the quarterly HPR for each investment. HINT: The first HPR will be in quarter because quarters are needed to calculate a return. The first quarter dividend wont be included in the calculations. b Calculate the arithmetic mean HPR the standard deviation of the HPRs and the geometric mean for each fund. Which fund contained more risk per unit of return? c Calculate the covariance and correlation between Stock Fund and Real Estate Fund? d Would the proposed portfolio provide any investment diversification?
As an investment advisor for MREAF Momentum Real Estate Advisory Fund you are about to make a presentation to the portfolio manager of the ET&T pension fund. You would like to show what would have happened had ET&T made an investment in MREAF during the past quarters. The ET&T manager has provided you with historical data on the performance of its portfolio, which is made up entirely of common stock. Historical data for the ET&T portfolio and MREAF are as follows:
Period Ending ET&T Common Stock Fund MREAF Real Estate Fund
Unit Value Quarterly Dividend Unit Value Quarterly Dividend
Quarter $ $ $ $
Quarter
Quarter
Quarter
Quarter
Quarter
Quarter
Quarter
Quarter
Quarter
Quarter
Quarter
Quarter
Required:
a Calculate the quarterly HPR for each investment. HINT: The first HPR will be in quarter because quarters are needed to calculate a return. The first quarter dividend wont be included in the calculations.
b Calculate the arithmetic mean HPR the standard deviation of the HPRs and the geometric mean for each fund. Which fund contained more risk per unit of return?
c Calculate the covariance and correlation between Stock Fund and Real Estate Fund?
d Would the proposed portfolio provide any investment diversification?
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