Compute the following: 1) Average returns of the Market, California REIT and Brown Group 2) Variance and Standard deviation of the historical stock returns of the Market, California REIT and Brown Group 3) Pairwise correlation coefficient between Market returns and returns of each of the stock 4) Covariance between Market returns and returns of each of the stock 5) Beta using three different formulas; Beta (1) using formula with the correlation coefficient from slides, Beta (2) - using formula with the covariance from slides, Beta (3) - using MS Excel =Slope() function from slides. 6) Briefly comment on how volatile stock returns are compared to the Vanguard Index 500 Trust? Which stock appears to be the riskiest on a stand-alone basis? 7) Briefly comment on calculated stocks betas: which stock is the riskiest from the portfolio point of view? How does this relate to your comments on previous question?

MONTH California REIT 1989 - January February March April May June July August September October November December 1990 - January February March April May June July August September October November December Vanguard Index 500 Trust 7.32% -2.47% 2.26% 5.18% 4.04% -0.59% 9.01% 1.86% -0.40% -2.34% 2.04% 2.38% -6.72% 1.27% 2.61% -2.50% 9.69% -0.69% -0.32% -9.03% -4.89% -0.41% 6.44% 2.72% -28.26% -3.03% 8.75% -1.47% -1.49% -9.09% 10.67% -9.38% 10.34% -14.38% -14.81% -4.35% -5.45% 5.00% 9.52% -0.87% 0.00% 4.55% 3.48% 0.00% -13.04% 0.00% 1.50% -2.56% Brown Group 9.16% 0.73% -0.29% 2.21% -1.08% -0.65% 2.22% 0.00% 1.88% -7.55% -12.84% -1.70% -15.21% 7.61% 1.11% -0.51% 12.71% 3.32% 3.17% -14.72% -1.91% -12.50% 17.26% -8.53% MONTH California REIT 1989 - January February March April May June July August September October November December 1990 - January February March April May June July August September October November December Vanguard Index 500 Trust 7.32% -2.47% 2.26% 5.18% 4.04% -0.59% 9.01% 1.86% -0.40% -2.34% 2.04% 2.38% -6.72% 1.27% 2.61% -2.50% 9.69% -0.69% -0.32% -9.03% -4.89% -0.41% 6.44% 2.72% -28.26% -3.03% 8.75% -1.47% -1.49% -9.09% 10.67% -9.38% 10.34% -14.38% -14.81% -4.35% -5.45% 5.00% 9.52% -0.87% 0.00% 4.55% 3.48% 0.00% -13.04% 0.00% 1.50% -2.56% Brown Group 9.16% 0.73% -0.29% 2.21% -1.08% -0.65% 2.22% 0.00% 1.88% -7.55% -12.84% -1.70% -15.21% 7.61% 1.11% -0.51% 12.71% 3.32% 3.17% -14.72% -1.91% -12.50% 17.26% -8.53%