\begin{tabular}{|l|r|r|r|} \hline MONTH & Vanguard Index 500 Trust & California F Brown Grou \\ \hline 1989 January & 7.32% & 28.26% & 9.16% \\ \hline February & 2.47% & 3.03% & 0.73% \\ \hline March & 2.26% & 8.75% & 0.29% \\ \hline April & 5.18% & 1.47% & 2.21% \\ \hline May & 4.04% & 1.49% & 1.08% \\ \hline June & 0.59% & 9.09% & 0.65% \\ \hline July & 9.01% & 10.67% & 2.22% \\ \hline August & 1.86% & 9.38% & 0.00% \\ \hline September & 0.40% & 10.34% & 1.88% \\ \hline October & 2.34% & 14.38% & 7.55% \\ \hline November & 2.04% & 14.81% & 12.84% \\ \hline December & 2.38% & 4.35% & 1.70% \\ \hline 1990 January & 6.72% & 5.45% & 15.21% \\ \hline February & 1.27% & 5.00% & 7.61% \\ \hline March & 2.61% & 9.52% & 1.11% \\ \hline April & 2.50% & 0.87% & 0.51% \\ \hline May & 9.69% & 0.00% & 12.71% \\ \hline June & 0.69% & 4.55% & 3.32% \\ \hline July & 0.32% & 3.48% & 3.17% \\ \hline August & 9.03% & 0.00% & 14.72% \\ \hline September & 4.89% & 13.04% & 1.91% \\ \hline October & 0.41% & 0.00% & 12.50% \\ \hline November & 6.44% & 1.50% & 17.26% \\ \hline December & 2.72% & 2.56% & 8.53% \\ \hline \end{tabular} 1. Calculate the variability (standard deviation), monthly returns and coefficient of variation (CV) of California REIT, Brown Group and Vanguard Index 500 Trust Fund during past two years. 2. Calculate the correlation coefficient of California REIT and Brown Group with the Vanguard Index 500 Trust Fund during past two years. 3. (i) Calculate the portfolio variance and historical return (99\% Vanguard, 1% in California REIT). ii) Calculate the portfolio variance and historical return ( 99% Vanguard, 1% in Brown Group). iii) Which portfolio is more risky? Explain. 4. Calculate the beta coefficient of California REIT and Brown Group. 5. Calculate the required return on California REIT and Brown Group as predicted by the CAMP model, use the market return (Rm) from Question 1 and a risk free rate of zero. \begin{tabular}{|l|r|r|r|} \hline MONTH & Vanguard Index 500 Trust & California F Brown Grou \\ \hline 1989 January & 7.32% & 28.26% & 9.16% \\ \hline February & 2.47% & 3.03% & 0.73% \\ \hline March & 2.26% & 8.75% & 0.29% \\ \hline April & 5.18% & 1.47% & 2.21% \\ \hline May & 4.04% & 1.49% & 1.08% \\ \hline June & 0.59% & 9.09% & 0.65% \\ \hline July & 9.01% & 10.67% & 2.22% \\ \hline August & 1.86% & 9.38% & 0.00% \\ \hline September & 0.40% & 10.34% & 1.88% \\ \hline October & 2.34% & 14.38% & 7.55% \\ \hline November & 2.04% & 14.81% & 12.84% \\ \hline December & 2.38% & 4.35% & 1.70% \\ \hline 1990 January & 6.72% & 5.45% & 15.21% \\ \hline February & 1.27% & 5.00% & 7.61% \\ \hline March & 2.61% & 9.52% & 1.11% \\ \hline April & 2.50% & 0.87% & 0.51% \\ \hline May & 9.69% & 0.00% & 12.71% \\ \hline June & 0.69% & 4.55% & 3.32% \\ \hline July & 0.32% & 3.48% & 3.17% \\ \hline August & 9.03% & 0.00% & 14.72% \\ \hline September & 4.89% & 13.04% & 1.91% \\ \hline October & 0.41% & 0.00% & 12.50% \\ \hline November & 6.44% & 1.50% & 17.26% \\ \hline December & 2.72% & 2.56% & 8.53% \\ \hline \end{tabular} 1. Calculate the variability (standard deviation), monthly returns and coefficient of variation (CV) of California REIT, Brown Group and Vanguard Index 500 Trust Fund during past two years. 2. Calculate the correlation coefficient of California REIT and Brown Group with the Vanguard Index 500 Trust Fund during past two years. 3. (i) Calculate the portfolio variance and historical return (99\% Vanguard, 1% in California REIT). ii) Calculate the portfolio variance and historical return ( 99% Vanguard, 1% in Brown Group). iii) Which portfolio is more risky? Explain. 4. Calculate the beta coefficient of California REIT and Brown Group. 5. Calculate the required return on California REIT and Brown Group as predicted by the CAMP model, use the market return (Rm) from Question 1 and a risk free rate of zero
