As an Investment advisor for MREAF (Momentum Real Estate Advisory Fund). you are about 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 13 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: Perlod Ending (Quarter) ET&T Common Stock Fund Unit Quarterly Value Dividend $701.00 $8.28 752.50 8.11 850.52 10.30 953.75 9.81 1,047.57 12.05 1.221.70 14.17 1.443.90 17.18 1.263.31 14.91 1,258.56 13.84 1.526.72 18.32 1.616.81 19.73 1.624.08 19.98 1,560.25 18.88 MREAF Real Estate Fund Unit Quarterly Value Dividend $70.00 $217 80.05 2.14 90.80 2.01 100.50 2.01 99.14 1.87 95.50 1.81 93.77 1.79 80.31 154 77.34 1.49 76.53 1.44 78.42 79.01 1.53 81.75 1.55 8 9 10 11 12 13 151 b. Calculate the arithmetic mean HPR, the standard deviation of the HPRs, and the geometric mean for each fund. ET&T Common Stock MREAF Real Estate Fund Fund Arithmetic Mean HPRS 8.58 % 3.65 % Standard Deviation of 10.07 % HPRS 8.47% Geometric Mean 8.14% 3.33% Risk per unit of return 1.17 2.32 c. What is the correlation between returns on the ET&T fund and MREAF? 35.30 % As an Investment advisor for MREAF (Momentum Real Estate Advisory Fund). you are about 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 13 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: Perlod Ending (Quarter) ET&T Common Stock Fund Unit Quarterly Value Dividend $701.00 $8.28 752.50 8.11 850.52 10.30 953.75 9.81 1,047.57 12.05 1.221.70 14.17 1.443.90 17.18 1.263.31 14.91 1,258.56 13.84 1.526.72 18.32 1.616.81 19.73 1.624.08 19.98 1,560.25 18.88 MREAF Real Estate Fund Unit Quarterly Value Dividend $70.00 $217 80.05 2.14 90.80 2.01 100.50 2.01 99.14 1.87 95.50 1.81 93.77 1.79 80.31 154 77.34 1.49 76.53 1.44 78.42 79.01 1.53 81.75 1.55 8 9 10 11 12 13 151 b. Calculate the arithmetic mean HPR, the standard deviation of the HPRs, and the geometric mean for each fund. ET&T Common Stock MREAF Real Estate Fund Fund Arithmetic Mean HPRS 8.58 % 3.65 % Standard Deviation of 10.07 % HPRS 8.47% Geometric Mean 8.14% 3.33% Risk per unit of return 1.17 2.32 c. What is the correlation between returns on the ET&T fund and MREAF? 35.30 %
