The assignment uses the total return performance of direct property, shares, A-REITs, bonds and cash over 1985-2018.
Step 1: Download the excel file “Assessment 2 Total Return Index Data” above.
Step 2: Perform analysis using the data based on the questions below.
Step 3: Export analysis results (in tabulated form) into Microsoft Word and write comments for relevant questions. Please make sure tables are properly formatted and do not exceed printing boundary. Calculation working is not required.
Return performance 1985-2018
For this investment information:
1) Graph the performance trends of direct property, shares, A-REITs and bonds over this period; comment on relevant trends.
2) Graph the performance of office, retail and industrial property over this period; comment on relevant trends.
3) Calculate the various annual returns for 1985-2018.
4) Calculate the average annual returns for each investment for the following time periods:
- 2018 (1 year)
- 2016-2018 (3 years)
- 2014-2018 (5 years)
- 2009-2018 (10 years); comment.
5) Calculate the average annual return and risk for each of these investments for 1985-2018; comment.
Note: For 4 and 5 above, use the geometric mean not the arithmetic mean in calculating the average annual return.
6) Calculate the inter-asset correlation matrix for these investments over 1985-2018.
7) Comment on the inter-asset correlations concerning portfolio diversification; particularly the correlations between:
- direct property and A-REITs
- A-REITs and shares
- direct property and shares
- three property sectors
8)Construct the risk-return diagram for these investments.
9)Calculate the risk-return ratio and reward-to-risk ratio for these investments.
10)Calculate the Sharpe ratio for these investments.
11)Comment on their risk-adjusted performance.
12)Calculate and discuss the inflation-hedging characteristics for each of these investments.
13)Calculate the portfolio return and portfolio risk for the following mixed-asset portfolios:
- 50% shares / 50% bonds
- 50% shares / 50% property
- 50% bonds / 50% property
- 50% shares / 25% property / 25% bonds
- 40% shares / 20% property / 40% bonds
- 40% shares / 30% property / 30% bonds
- 25% shares / 25% A-REITs / 25% property / 25% bonds
14) Calculate the beta value and Treynor ratio for each of office, retail and industrial property; use Australian direct property as the market benchmark. Discuss the results for these three property sectors.
15) Calculate the beta value and Treynor ratio for A-REITs; use shares as the marketbenchmark; discuss.
16) Calculate the tracking error and information ratio for each of office, retail and industrial property; use Australian direct property as the market benchmark; discuss.
17) Calculate the tracking error and information ratio for A-REITs; use shares as the marketbenchmark; discuss.
This assignment should use Times New Roman 12 points font size and 1.5 spacing. Paragraph must be justified.
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