Assessment Questions (40
Total return performance 1985-2019
By using the total return index:
Question No. 1 Graph the performance trends of direct property, shares, A- REITs and bonds over 1985-2019; comment on relevant trends?
Question No. 2 Graph the
performance trends of oﬀice, retail and industrial property sub-sectors over
1985-2019; comment on relevant trends.
Question No. 3 Calculate
the various annual returns for 1985-2019.
4 Based on the results in Question 3, calculate the average annual returns for each investment for the following time
2015-2019 (5 years)
2013-2019 (7 years)
Post-2000: 2000-2019; based on the average annual return
calculation, comment on their 2000-2019 performance in comparison to the
performance observed in the 1985-1999 period.
Question No. 5 Calculate the average annual return and risk for each of these investments for the full period: 1985-2019; comment.
Note: For 4 and 5 above, use the geometric mean, not the
arithmetic means in calculating the average annual return.
Question No. 6 Calculate the
correlation coeﬀicient and construct the
inter-asset correlation matrix for these assets over 1985- 2019.
Question No. 7. Based on the results in
Question 6, explain in-detail on the inter-asset correlations concerning
portfolio diversification for the following scenarios:
do A-REITs provide an effective property investment
exposure for investors?
are there any diversification benefits between the three direct property sub-sectors: oﬀice, retail and industrial?
if an investor has a traditional portfolio of shares and
bonds, would the inclusion of direct property enhance
Question No. 8 Based on the results in Question 6, discuss the inflation-
hedging characteristics of direct property, A-REITs, shares
9 Based on
the results in Question 5:
Construct the risk-return diagram for these investments.
Calculate the risk-to-return ratio and return-to-risk ratio for
Calculate the Sharpe ratio for these investments.
Comment on their risk-adjusted performance.
Question 10 onward, use the 2000-2019 annual returns
Question No. 10 By using the 20-year annual
returns over 2000-2019 and including the oﬀice, retail and
industrial property sub-sectors in a property-sector
calculate the portfolio return and risk with 45% oﬀice | 35%
retail | 20% industrial
determine the optimum composition of these three property
sub-sectors that gives the highest return-to-risk ratio performance.