Total Return Index
Total Return Index-Assignment 1: PPA: 2020
Direct property sub-sectors
Period Direct property Office Retail Industrial Shares Bonds A-REITs 90-day Bills (%) Inflation
Dec-84 100 100 100 100 100 100 100 100
Dec-85 117 118 117 114 144 108 105 19.25 108
Dec-86 137 140 134 132 219 129 143 15.10 119
Dec-87 172 178 167 157 202 152 151 11.30 127
Dec-88 228 241 215 195 238 167 175 15.20 137
Dec-89 264 279 248 231 280 190 179 17.55 148
Dec-90 273 280 280 229 231 226 195 12.65 158
Dec-91 249 241 299 206 310 281 234 7.61 160
Dec-92 236 209 332 212 302 309 250 5.90 161
Dec-93 235 194 373 218 440 360 325 4.84 164
Dec-94 265 216 424 254 406 336 307 8.15 168
Dec-95 287 229 464 291 483 398 346 7.40 176
Dec-96 310 243 502 329 553 445 397 5.99 179
Dec-97 341 267 545 382 621 498 477 5.07 179
Dec-98 376 291 599 439 693 546 563 4.80 181
Dec-99 413 314 663 498 804 536 535 5.65 185
Dec-00 461 348 744 561 833 603 631 6.20 195
Dec-01 508 381 820 631 917 625 725 4.25 201
Dec-02 556 409 909 710 843 674 810 4.83 208
Dec-03 622 435 1062 818 977 688 882 5.47 212
Dec-04 705 472 1242 919 1246 759 1,165 5.41 218
Dec-05 795 520 1425 1037 1501 802 1,313 5.63 219
Dec-06 935 621 1678 1176 1876 821 1,760 6.39 231
Dec-07 1,113 799 1933 1359 2151 854 1,613 7.29 238
Dec-08 1,134 822 1949 1377 1283 1,011 721 4.39 247
Dec-09 1109 778 1955 1312 1791 990 668 3.88 252
Dec-10 1216 866 2329 1479 1897 1044 663 5.03 259
Dec-11 1351 958 2589 1635 1697 1184 652 4.51 267
Dec-12 1478 1051 2818 1797 2050 1251 878 3.11 273
Dec-13 1614 1147 3072 1998 2483 1212 941 2.63 280
Dec-14 1785 1262 3401 2258 2627 1427 1223 2.75 285
Dec-15 2034 1449 3812 2631 2666 1461 1371 2.34 290
Dec-16 2273 1642 4202 2908 2706 1495 1567 2.39 294
Dec-17 2545 1867 4639 3203 3010 1530 1657 1.87 299
Dec-18 2806 2126 4914 3663 2948 1570 1705 2.16 305
Dec-19 3016 2376 5000 4061 3636 1613 2035 0.98 310
Sheet1
TOTAL RETURN INDEX XXXXXXXXXX
Year Property REITs Stocks Bonds Cash (%) Questions
2008 100 100 100 100 1) Graph the XXXXXXXXXXperformance of property, REITs, stocks and bonds
2009 106 138 150 97 2.13 2) Calculate the various annual returns for all assets
2010 119 185 186 104 2.96 3) Calculate the average annual return for each asset for the following period
2011 133 186 191 111 3.19 (i) 2017
2012 148 202 211 116 3.16 (ii XXXXXXXXXX
2013 164 219 243 115 3.19 (iii XXXXXXXXXX
2014 182 233 232 120 3.72
2015 197 226 227 124 3.81 4) Calculate the average annual return and annual risk for XXXXXXXXXX
2016 211 241 228 128 3.41 5) Construct the inter-asset co
elation matrix for these assets
2017 225 271 258 136 3.43 6) Construct the risk-return diagram for these assets
7) Assess the risk-adjusted performance of each asset using the following measures:
(i) Risk to return ratio
(ii) Return to risk ratio
(iii) Sharpe ratio
8) Calculate the portfolio return and risk for the following mixed-asset portfolios:
(i) 60% stocks & 40% bonds
(ii) 50% stocks, 30% bonds & 20% property
(iii) Determine the 4-asset portfolio composition that gives the highest Sharpe ratio
(iv) Determine the 4-asset portfolio composition that provides the lowest investment risk if property and REITs are each upper-bound constrained at 15%
9) Calculate the beta and Treynor ratio for REITs by using stocks as the benchmark
10) Calculate the tracking e
or and information ratio for REITs by using stocks as the benchmark