The goal is to construct a portfolio with expected out-performance over 1% relative to benchmark and with a tracking error risk below 3%.

CHANGE ONLY THE NUMBER OF BUILDINGS (BLUE AREA) INPUTS Total Value Number of Offices 3 9 2 Edinburgh Glasgow Manchester London Birmingham Edinburgh Glasgow Manchester London Birmingham Retail 1 1 0 3 0 0 0 0 0 0 0 5 Number and value of buildings Value of building in Mill. Pounds 2 5 10 15 20 1 0 0 0 0 0 4 0 0 0 0 1 0 0 0 0 1 3 0 0 0 1 0 0 0 0 1 0 0 0 0 0 4 1 0 0 1 2 0 0 0 0 1 0 0 0 0 1 1 0 0 10 11 2 0 0 0 Actual total value Required total value buildings 2 5 1 7 1 1 5 3 1 2 20 2 2 30 12 5 15 28 100 100 FUND STRUCTURE RETURN AND RISK OUTPERFORMANCE Offices 8.62 0.05 8.57 -0.38 0.05 -0.43 Edinburgh Glasgow Manchester London Birmingham Edinburgh Glasgow Manchester London Birmingham Benchmark 5% 5% 5% 30% 5% 5% 10% 10% 20% 5% 100% % BREF 3% 9% 2% 20% 2% 2% 30% 12% 5% 15% 100% Bets -2% 4% -3% -10% -3% -3% 20% 2% -15% 10% 0% Expected return Gross Management costs Net Expected risk Structure Stock Total Retail Expected outperformance Gross Management costs Net Tracking error Structure Stock Total 9.30 5.03 10.57 3.03 5.03 5.87 PROBABILITY OF ACHIEVING RELATIVE PERFORMANCE OF: % probability -2.5 64% -2.0 61% -1.5 57% -1.0 54% -0.5 50% 0.0 47% 0.5 44% 1.0 40% 1.5 37% 2.0 34% 2.5 31% EXERCISE PARAMETERS: TO BE ADJUSTED ONLY BY TUTORS BENCHMARK MARKET RISK (Standard deviation) CORRELATION MATRIX Orca 5.0% % Retali 5.0% TOTAL 0.0 50% Glasgow Manchester London Retail Birmingham Edinburgh Glasgow Manchester London Edinburgh Glasgow Manchester Birmingham Offices OMICAS 5.04 Offices Edinburgh 1 0.9 0.6 0.5 0.3 London 10.0% 11. 5.0% ..!! 5.0% CIN 1 0.6 0.5 0.3 Birmingham TOTAL 1 0.4 0.3 1 0.3 100% 1 Retall Edinburgh Glasgow Manchester London Birmingham Edinburgh Glasgow Manchester London Birmingham 16 14 16 12 18 14 12 14 14 10 16 Retail Edinburgh Glasgow Manchester London Birmingham Edinburgh Glasgow Manchester London Birmingham 1 0.4 0.4 1 0.1 0 1 0.8 EXPECTED RETURN Offices Edinburgh Glasgow Manchester London Birmingham 1 0.8 0.5 0.3 1 0.4 0.3 0.1 0.1 1 0.3 0.3 Retail fi 10 4 4 10 + 2 4 12 6 Retoli PROPERTY SPECIFIC RISK ONICAS Edinburgh Glasgow 25 Manchester London 15 Birminghan 25 2! 5 MANAGEMENT COSTS 1% of capital value) Value 1 % 0.250% 16 15 20 2. 0.177% 5 0.112* 10 0.0785 . BREF CURRENT STRUCTURE Number and value of buildings 5 a 10 I! Offices 1 1 0 11 0 15 1 O 1 0 I! 0 0 2 1 1 1 1 1 1 D 1 1 Value Mill. Pounds Edinburgh Glasgow Manchester Londoni Birmingham Edinburgh Glasgow Manchester London Biriningham Number of 20 Total value buildings 01 11 7 2 2 0 2 1 2 3 7 1 2 0 2 1 . 0 Retail 0 2 0 0 2 0 L: 1 0 16 0 1 2 1 acel total value 100 16 SES ES : DO NOT CHANGE THIS SHEET e fuperiod SESSIS MATRIE CALCULATOR CORRELATION NATRIX Edinburgh Glasgow Manchest Lancken Binningham din tiloih Mall CR leledd .. VARIANCE COVARDANGE NATRIX Edinburah GLIW Nunchus Lenden Birmirgham R21311 BERDI Retall Edinburn Ly10am 42 *** 1 21 25 CH TA." Loncin Binningham in Burto! ligow - London Birming SONNE KAPLATONS: STRUCTURE Edirem! STERS STUUR 06 *** Jubah SEDA aks! CHANGE ONLY THE NUMBER OF BUILDINGS (BLUE AREA) INPUTS Total Value Number of Offices 3 9 2 Edinburgh Glasgow Manchester London Birmingham Edinburgh Glasgow Manchester London Birmingham Retail 1 1 0 3 0 0 0 0 0 0 0 5 Number and value of buildings Value of building in Mill. Pounds 2 5 10 15 20 1 0 0 0 0 0 4 0 0 0 0 1 0 0 0 0 1 3 0 0 0 1 0 0 0 0 1 0 0 0 0 0 4 1 0 0 1 2 0 0 0 0 1 0 0 0 0 1 1 0 0 10 11 2 0 0 0 Actual total value Required total value buildings 2 5 1 7 1 1 5 3 1 2 20 2 2 30 12 5 15 28 100 100 FUND STRUCTURE RETURN AND RISK OUTPERFORMANCE Offices 8.62 0.05 8.57 -0.38 0.05 -0.43 Edinburgh Glasgow Manchester London Birmingham Edinburgh Glasgow Manchester London Birmingham Benchmark 5% 5% 5% 30% 5% 5% 10% 10% 20% 5% 100% % BREF 3% 9% 2% 20% 2% 2% 30% 12% 5% 15% 100% Bets -2% 4% -3% -10% -3% -3% 20% 2% -15% 10% 0% Expected return Gross Management costs Net Expected risk Structure Stock Total Retail Expected outperformance Gross Management costs Net Tracking error Structure Stock Total 9.30 5.03 10.57 3.03 5.03 5.87 PROBABILITY OF ACHIEVING RELATIVE PERFORMANCE OF: % probability -2.5 64% -2.0 61% -1.5 57% -1.0 54% -0.5 50% 0.0 47% 0.5 44% 1.0 40% 1.5 37% 2.0 34% 2.5 31% EXERCISE PARAMETERS: TO BE ADJUSTED ONLY BY TUTORS BENCHMARK MARKET RISK (Standard deviation) CORRELATION MATRIX Orca 5.0% % Retali 5.0% TOTAL 0.0 50% Glasgow Manchester London Retail Birmingham Edinburgh Glasgow Manchester London Edinburgh Glasgow Manchester Birmingham Offices OMICAS 5.04 Offices Edinburgh 1 0.9 0.6 0.5 0.3 London 10.0% 11. 5.0% ..!! 5.0% CIN 1 0.6 0.5 0.3 Birmingham TOTAL 1 0.4 0.3 1 0.3 100% 1 Retall Edinburgh Glasgow Manchester London Birmingham Edinburgh Glasgow Manchester London Birmingham 16 14 16 12 18 14 12 14 14 10 16 Retail Edinburgh Glasgow Manchester London Birmingham Edinburgh Glasgow Manchester London Birmingham 1 0.4 0.4 1 0.1 0 1 0.8 EXPECTED RETURN Offices Edinburgh Glasgow Manchester London Birmingham 1 0.8 0.5 0.3 1 0.4 0.3 0.1 0.1 1 0.3 0.3 Retail fi 10 4 4 10 + 2 4 12 6 Retoli PROPERTY SPECIFIC RISK ONICAS Edinburgh Glasgow 25 Manchester London 15 Birminghan 25 2! 5 MANAGEMENT COSTS 1% of capital value) Value 1 % 0.250% 16 15 20 2. 0.177% 5 0.112* 10 0.0785 . BREF CURRENT STRUCTURE Number and value of buildings 5 a 10 I! Offices 1 1 0 11 0 15 1 O 1 0 I! 0 0 2 1 1 1 1 1 1 D 1 1 Value Mill. Pounds Edinburgh Glasgow Manchester Londoni Birmingham Edinburgh Glasgow Manchester London Biriningham Number of 20 Total value buildings 01 11 7 2 2 0 2 1 2 3 7 1 2 0 2 1 . 0 Retail 0 2 0 0 2 0 L: 1 0 16 0 1 2 1 acel total value 100 16 SES ES : DO NOT CHANGE THIS SHEET e fuperiod SESSIS MATRIE CALCULATOR CORRELATION NATRIX Edinburgh Glasgow Manchest Lancken Binningham din tiloih Mall CR leledd .. VARIANCE COVARDANGE NATRIX Edinburah GLIW Nunchus Lenden Birmirgham R21311 BERDI Retall Edinburn Ly10am 42 *** 1 21 25 CH TA." Loncin Binningham in Burto! ligow - London Birming SONNE KAPLATONS: STRUCTURE Edirem! STERS STUUR 06 *** Jubah SEDA aks