Running Head: REAL ESTATE PROJECT 1

Running head: REAL ESTATE PROJECT 1
Real Estate Project

Student’s Name
Institutional Affiliation
REAL ESTATE PROJECT 2
Real Estate Project
1. INTRODUCTION
Portfolio investors are interested not only on the returns of a security but also the risk
characteristics and the diversification effects that the security has in a specific portfolio. We
attempt to demystify these security characteristics by analyzing past data of 4 different
securities-Two REITs and two Equities.
Our paper starts off with a brief description of our securities under coverage. Two REITs were
chosen, Camden Properties trust and Avalon Bay community. Two equity securities were also
chosen; Activation Blizzard from the gaming industry and Abbott laboratories from the
pharmaceutical industry.
We thereafter proceed to look at their Risk and return characteristics between 2003 to date. Our
analysis on this is segmented into three periods’ Pre-crisis period, crisis period and post-crisis
period. We compare the performance of each security with that of the S&P 500. We uncover
some interesting patterns and attempt to explain them using some fundamental analysis on the
industries as well as the specific securities. We thereafter look at the cross correlation of the
securities with each other and with the index. Again here interesting patterns on correlations
between the periods is observed. We also attempt to explain these patterns using some past
research.
Lastly we create 3 portfolios to try and examine the diversification characteristics of our selected
securities. We find it interesting that equities have a better risk adjusted returns compared to
REITs. We conclude with our main finding from the analysis and a list of our sources of
information.
2. SECURITY SELECTION AND DESCRIPTION

The following securities were selected for our analysis
 Activision Blizzard
 Abbott Laboratories
 Camden Property Trust
 Avalon Bay Community
Below is a description of each of the securities named above.

2.1. Activision Blizzard

Activision Blizzard, Inc. develops and distributes content and services on video game consoles,
personal computers (PC), and mobile devices. The company operates through three segments:
Activision Publishing, Inc.; Blizzard Entertainment, Inc.; and King Digital Entertainment. The
company serves retailers and distributors, including mass-market retailers, first party digital
storefronts, consumer electronics stores, discount warehouses, and game specialty stores through
third-party distribution and licensing arrangements in the United States, Australia, Brazil,
Canada, China, France, Germany, Ireland, Italy, Japan, Malta, Mexico, the Netherlands,
Romania, Singapore, South Korea, Spain, Sweden, Taiwan, and the United Kingdom. It was
incorporated in 1979 and is headquartered in Santa Monica, California. Below is an overview of
the company’s financials and Market info.
Stock Quote and Chart (Currency: USD)

Revenue (US$) 7.017 billion
Operating income (US$) 1.309 billion
Net income (US$) 0.274 billion
Total assets (US$) 18.668 billion
Total equity (US$) 9.462 billion
Number of employees 9625
Market Cap (mm) 40,105.9
Shares Out. (mm) 763.1
Float % 98.9%
Shares Sold Short (mm) 21.6
Dividend Yield % 0.6%
Diluted EPS Excl. Extra Items 0.76
P/Diluted EPS Before Extra 69.38x
Avg 3M DlyVlm (mm) 8.76
Beta 5Y 1.11
Market Info as at Nov-29-2018 12:00 AM, Financials as at Dec 2017
(Source: S&P, Company financials, my own estimates)
2.2. Abbott Laboratories

Abbott Laboratories discovers, develops, manufactures, and sells health care products
worldwide. The company is divided into the Pharmaceutical Products segment, Diagnostic
Products segment, Nutritional Products segment and the Cardiovascular and Neuromodulation
Products segment. The Company also provides blood and flash glucose monitoring systems. The
company was founded in 1888 and is headquartered in Abbott Park, Illinois.Below is an
overview of the company’s financials and Market info.
Revenue (US$) 27.39 billion

Operating income (US$) 1.73 billion
Net income (US$) 477 million
Total assets (US$) 76.25 billion
Total equity (US$) 31.10 billion
Number of employees ~99,000
Shares Out. (mm) 1,756.3
Float % 99.2%
Shares Sold Short (mm) 14.7
Beta 5Y 1.41

(Source: S&P, Company financials, my own estimates)
2.3. Camden Property Trust

Camden Property Trust, an S&P 400 Company, is a real estate company engaged in the
ownership, management, development, redevelopment, acquisition, and construction of
multifamily apartment communities. Camden owns interests in and operates 159 properties
containing 54,480 apartment homes across the United States. Upon completion of 8 properties
currently under development, the Company’s portfolio will increase to 56,858 apartment homes
in 167 properties. Camden was recently named by FORTUNE® Magazine for the eleventh
consecutive year as one of the “100 Best Companies to Work For” in America, ranking #24.
Below is an overview of the company’s financials and Market info.

Revenue 0.900 billion
Net income 0.196 billion
Total assets 6.173 billion
Total equity 3.484 billion
Number of employees 1,600
Implied Market Capitalization (mm) 9,122.7
Implied Shares Outstanding (mm) 97.3
Float % 98.7%
Beta 5Y 0.34
2.4. Avalon Bay community

As of September 30, 2018, the Company owned or held a direct or indirect ownership interest in
290 apartment communities containing 84,490 apartment homes in 12 states and the District of
Columbia, of which 19 communities were under development and 15 communities were under
redevelopment. The Company is an equity REIT in the business of developing, redeveloping,
acquiring and managing apartment communities in leading metropolitan areas primarily in New
England, the New York/New Jersey Metro area, the Mid-Atlantic, the Pacific Northwest, and the
Northern and Southern California regions of the United States.

Revenue 2.158 billion
Net income 0.876 billion
Total assets 18.414 billion
Total equity 10.388 billion
Number of employees 3,112
Implied Market Capitalization (mm) 25,927.1
Implied Shares Outstanding (mm) 137.9
Float % 99.7%
Beta 5Y 0.40
3. RISK AND RETURN ANALYSIS

A return, also known as a financial return, in its simplest terms, is the money made or lost on an
investment. Our analysis will restrict itself to only one kind of return-that is capital gains. This is
simply the change in price from one period to another. A risk on the other hand is a chance that
an investment’s annual return will be different from what was expected. Risks that affect a whole
market are called Unsystematic risk while those affecting a specific security are called
systematic. We will use standard deviation (measure of volatility) to measure the risk of a
security. The table below shows the average annual return and standard deviation for our 4
securities. The period under coverage is Oct 2003 to Dec 2017
Security type Security Name Average annual return Standard deviation
Equities Activision Blizzard 28.21% 32.94%
Abbott Laboratories 8.39% 14.24%
REITS Camden Property Trust 8.13% 26.65%
Avalon Bay community 11.23% 27.70%
Index S&P 500 8.98% 15.75%
The return was calculated by averaging the 1 year return of each security for the period 2003-
2017. Activision blizzard has the highest average return in its asset class and among all securities
analyzed. It outperformed the Index. Avalon Bay community also returned above the index. The
rest performed below the index. Camden property trust had the lowest return among the 4
securities. Activision Blizzard and Avalon Bay community were able to outperform the index
over the period.
Abbott Laboratories had the lowest standard deviation among the securities signifying low risk.
It was the only security to record a lower volatility than the S&P 500 index.
3.1. Pre-crisis, Crisis and Post Crisis return analysis

Three periods were analyzed in a bid to understand how the various securities performed. The
pre-crisis, crisis and post crisis returns were derived by calculating the compounded annual
return for the periods as described below;
 Pre-crisis- Oct2003 to June2007;

 Crisis -July 2007 to March 2009
 Post-crisis -April 2009 to present;
The table below summarizes the 3 period returns for each of the securities.
Security type Security Name Pre-crisis return Crisis Return Post Crisis
return
Equities Activision 37.49% 6.37% 23%
Blizzard
Abbott 8.19% -6.12% 11%
Laboratories
REITS Camden Property 15.04% -46.08% 18%
Trust
Avalon Bay 29.06% -39.68% 16%
community
Index S&P 500 9.82% -29.22% 15%
All securities save of Abbott Laboratories were able to outperform the index in the Pre-crisis
period. REITs were able to do exceptionally well during the pre-crisis period.
As can be observed the two REITS Camden Property trust and Avalon Bay community were the
hardest hit during the crisis. This can be attributed to the crisis emanating from the housing
market and properties lost value in a significant way. Activision blizzard was the best performer
in all the three periods. Abbott laboratories returned -6% during the crisis period but was able to
outdo the benchmark which declined 29% over the period. REITS seem to have recovered well
after the crisis, with both REITS outperforming the Index post crisis period. Activision Blizzard
was still the best performer over the crisis period.
3.2. Why the two equities out-performed the market during the crisis.
Activision blizzard
Activision blizzard had a price return of 6.7% during the crisis period compared to a negative
29% returned by the S&P 500 index. This was an impressive performance. From the securities
analyzed, Activation Blizzard was the only security that returned a positive return over the crisis
period. We now discuss the possible reason for this.
There is an explanation for this. As other sectors were struggling to survive during the crisis
period, the gaming industry prospects were looking very positive. A significant transitioning was
happening in the way games were being developed and how they were to be delivered. Online
gaming was picking traction at a very high rate, new markets were opening up in Asia, and the
3D technology was being introduced in the gaming industry. Gaming developers were also
venturing into the new Mobile games that was luring previous gamers who had left the landscape
at the same time recruiting anyone who could hold a phone. Activision Blizzard at the time was
very well positioned to take advantage of the times emerging trends. It was specifically leading
in moving the gamers to online social and mobile games despite fears of how to monetize the
ventures. Virtual reality was also arriving in the gaming industry at the time and Activision
blizzard was leading in the experimentation of this technology. Also, Gamers in Asian markets
were spending at a healthier rate than in the US and Activision Blizzard venture into online
gaming positioned them favorably to take advantage of such new better markets.
Abbott laboratories
During the crisis period, Abbot laboratories was able to achieve a price return of negative 6.12%
compared to negative 29.2% by S&P 500 index. By all means this was an impressive
outperformance. We discuss the possible source of this.
As the crisis took a bite on financial markets, Global Pharma companies were also struggling to
post even single digit topline and bottom line growth. Abbott laboratories on the other hand had
followed a strategy of diversification of product portfolio in order to combat generic pressure in
the Pharmaceutical business. As a result, Abbott laboratories had been able at the time to achieve
a decent topline and bottom line growth of 15% and 6% respectively in 2017. This was despite
the generic competition faced by its key products, such as Omnicef and Biaxin. Abbott
laboratories had also embarked on a major restructuring and revamping drive and the market
expected the benefits of most of the company’s efforts to be reflected in 2009 numbers and
beyond. Analyst’s estimates at the time averaged CAGR of 11% and 13% in the topline and
bottom line respectively for the 2007-2009 period, which was something of a miracle on the
Global pharma space. The company’s return on operating assets was expected to expand from
30% as at end of 2006 to 46% by end of 2009.
3.3. Why the REITs performed poorly during the crisis period
As it has been documented severally, the financial crisis of 2008-2009 emanated from the
housing market where the housing market experienced a property price burst that was triggered
by defaults in the mortgage market. As both our REITs under coverage were in the business of
Multi-family apartment communities, they were posed to be affected in a significant way during
this period.
In January 2009, the National association of Real estate investments trusts (NAREIT) in
Washington reported that REITs in the US reported negative returns, including dividends, of
37.3% on average in 2008. The performance was largely in line with the broader indexes, such
as the S&P 500 stock index, which had declined 37% in 2008, the Russell 2000 Index, which
declined 33.8%, and the Nasdaq Composite Index, which had declined 40.5%. Within the REIT
sector, self-storage REITs performed the best, with positive total returns of 5.1%. This was
followed by health care REITs, which were off 12%. Hardest-hit were commercial-mortgage
REITs, which posted negative returns of 74.8%, industrial REITs, whose returns fell 67.5%, and
regional malls, which posted negative returns of 60.6%.
3.4. Pre-crisis, crisis and post crisis standard deviation.

Security type Security Name Pre-crisis S.D Crisis S.D Post Crisis S.D
Equities Activision 9.32% 13.6% 7.9%

Blizzard
Abbott 4.71% 5.0% 5.2%
Laboratories
REITS Camden 5.35% 13.1% 6.4%
Property Trust
Avalon Bay 5.63% 10.2% 5.9%
community
Index S&P 500 2.13% 5.9% 3.5%
Activision Blizzard also exhibited the highest standard deviation in all periods signifying its
highest risk. Generally, standard deviations increased during the crisis period, signifying the
increased volatility in price movements. After the crisis period, standard deviations generally
declined but never recovered to the pre-crisis levels.
4. CROSS CORRELATION OF THE SECURITIES.
4.1. Overall cross correlation

Avalon
Activation Abbott Camden bay S&P 500
Activation 1.00
Abbott 0.22 1.00
Camden 0.08 0.23 1.00
Avalon bay 0.17 0.21 0.87 1.00
S&P 500 0.35 0.41 0.61 0.59 1.00
We derived the overall cross correlations by looking at the correlation of monthly returns for
each of the security for the period October 2003 to November 2018. REITS and Equities have
very little correlation with each other, indicating an opportunity for diversification when
investing with the two. The two REITS had a high correlation with each other While the equities
had a low correlation with each other. It is quite surprising that the two REIT companies had a
higher correlation with the index than the equities. Very interesting.
4.2. Pre-crisis cross correlation

Avalon
Activation 1.00
Abbott 0.14 1.00
Camden 0.01 0.16 1.00
Avalon bay 0.07 0.10 0.81 1.00
S&P 500 0.41 0.00 0.37 0.39 1.00
Very little correlation can be observed between equities and REITS over the period, signifying
good diversification opportunities in the pre-crisis period. REITS remained highly correlated
with each other over this period. None of the securities chosen had a high correlation with the
Index.
4.3. Crisis period cross correlation

Avalon
Activation 1.00
Abbott 0.03 1.00
Camden (0.02) 0.54 1.00
Avalon bay 0.26 0.49 0.89 1.00
S&P 500 0.30 0.45 0.77 0.83 1.00
During the crisis period, there was a general increase in correlation of returns across all securities
save of Activation, whose correlation with other securities remained low. During a financial
crisis, securities tend to follow the same partten as far as returns are concerned. Activation
Blizzard seems to have very high diversification value. REITS increased their correlation with
both the Index and with Abbott Laboratories.
4.4. Post Crisis cross-correlations

Avalon
Activation 1.00
Abbott 0.32 1.00
Camden 0.16 0.14 1.00
Avalon bay 0.16 0.15 0.87 1.00
S&P 500 0.40 0.50 0.50 0.47 1.00
After the crisis as can be observed, Correlation between equity securities and the Index had
generally increased, while those of the REITS with the index had generally reduced. Correlation
between REIT securities remained high, and reduced with equity securities. This signifies the
high diversification benefits that the REITS have gained post crisis period.
4.5. Why Correlations increased during the Crisis period.

As noted earlier the crisis period, saw a general increase in correlation of returns across all
securities save of Activation, whose correlation with other securities remained low. During a
financial crisis, securities across all classes tend to follow the same pattern as far as returns are
concerned. (Correlate on their way downwards). REITs specifically increased their correlation
with both the Index and with Abbott Laboratories.
To explain this phenomenon in a better way, we will fall back on research done by Ioana
MOLDOVAN from Bucharest Academy of Economic Studies in his paper named Stock Markets
Correlation: before and during the Crisis Analysis. His paper was focused on how different
markets behave during normalcy and during times of crisis. Below is an extract from his paper
that can help explain this very interesting phenomenon
“Financial crises are characterized by sudden and simultaneous

materialization of risks that in periods of normality seemed independent.
As a result, the opportunities of risk sharing are significantly reduced
just when they are needed the most, and that can cause a substantial
threat to the global financial system. If in times of normality, the stock
markets are moderately correlated, the relationship between them
intensify when sudden prices declines occur (Mink, Mierau, 2009). This
is largely due to the occurrence of the phenomenon of shift contagion,
defined as a shift in the strength of the transmission of shocks from a
stock market in a one country to a stock market in another country
(Rigobon, 2002). Although the increased correlations between equity
markets imply a possible decrease in risk sharing possibilities, it is not
necessarily caused by an increased strength of the shock transmission
between stock markets. Some studies have shown that the transmission
power of the shocks does not change in times of crisis, compared with
normal intervals on stock markets (Mink, Mierau, 2009).
While Moldovan’s paper was focused on the co-relation between different international markets,
the same can be concluded for the correlation of different asset classes. During times of crisis,
there is an occurrence of the phenomenon of shift contagion, defined as a shift in the strength of
the transmission of shocks from one asset class to another
4.6. Price Movements Oct 2003 to Nov 2018

As can be observed below, the two equities Abbott Laboratories and Activation Blizzard have
generally moved against the market maintaining a gradual price increase over time. This
reinforces the cross correlation tables presented above. The REITs were severely affected during
the crisis period and generally declined with the market.
Price Movements Oct 2003 to date

250 3,500.00
3,000.00
200
2,500.00
150 Activation
2,000.00
Abbott
100 1,500.00 Camden
Avalon bay
1,000.00
50 S&P 500
500.00
0 -
3 4 5 6 6 7 8 9 9 0 1 2 2 3 1 5 15 16 17 1 8 18
00 00 0 0 00 00 00 00 0 0 00 01 0 1 01 01 01 20 , 20 l, 20 , 20 , 20 , 20
,v 2 g, 2 y, 2 b, 2 v, 2 g, 2 y, 2 b, 2 v, 2 g, 2 y, 2 b, 2 v, 2 g, 2 ,
n t r n t
No Au Ma Fe No Au Ma Fe No Au Ma Fe No Au Ja Oc Ju Ap Ja Oc
5. PORTFOLIO PERFORMANCE 2003 TO DATE

Three virtual portfolios were created to try and understand the diversification effects of the
various securities in portfolios. Each of the securities in all the portfolios was given equal
weights and the returns and risks calculated accordingly.
The below formula was used to calculate portfolio returns.
Rp= W1*R1 +W2*R2 +W3*R3 +W4*R4
Where
Rp- returns of the whole portfolio
 W1 is Weight of security 1
 R1 is the return of security 1
5.1. Portfolio 1-Equity only portfolio
Average Weighted
Weighted
Security Name annual return Weights Standard
return
(2003-2017) deviation
Activision
28.21% 50.00% 14.11% 16.47%
Blizzard
Abbott
8.39% 50.00% 4.20% 7.12%
Laboratories
TOTAL 100.00% 18.30% 23.59%
5.2. Portfolio 2- REITS only portfolio
Average Weighted
Weighted
Security Name annual return Weights Standard
return
(2003-2017) deviation
Camden
8.13% 50.00% 4.07% 13.33%
Property Trust
Avalon Bay
11.23% 50.00% 5.62% 13.85%
community
TOTAL 100.00% 9.68% 27.18%
5.3. Portfolio 3- Equities and REITS portfolio

Security Security Average Weights Weighted Weighted
type Name annual return Standard
return deviation
(2003-2017)
Equities Activision
Blizzard 8.24%
28.21% 25.00% 7.05%
Abbott
Laboratories 3.56%
8.39% 25.00% 2.10%
REITS Camden
Property 6.66%
8.13% 25.00% 2.03%
Trust
Avalon Bay
community 6.93%
11.23% 25.00% 2.81%
TOTAL
100.00% 13.99% 25.38%
5.4. Portfolios’ return performance

As can be observed in the portfolio returns in the above tables, the Equities portfolio had the
highest returns over the period Oct 2003 to date, followed by the Equity and REITs portfolio and
lastly came the REIT only portfolio. This can be explained easily by the superior performance of
Activision Blizarrad in the pre crisis, crisis and post crisis period. REITS produced the worst
returns during the crisis period as was discussed earlier in the return analysis. All portfolios
however were able to outdo the index which returned 8.98% over the same period.
The equities only portfolio was the least affected by the crisis mainly due to the price resilience
of the 2 equities securities during the crisis period. As was discussed earlier, the two had the best
returns during the crisis period. The REIT only portfolio was the most affected during the crisis
period, since they had the least returns during that period.
5.5. Portfolio Standard deviation

The below formula was used to calculate portfolio’s Standard deviation.
SDp= W1*SD1 +W2*SD2 +W3*SD3 +W4*SD4
Where
SDp- Standard deviation of the whole portfolio
As can be observed on the table above, the equities portfolio again had the least standard
deviation over the three portfolios. This was followed by the all securities portfolio and lastly the
REIT only portfolio.
5.6. Portfolio’s Risk adjusted returns

Portfolio Returns Portfolio standard Average risk free
(Oct 2003-Nov- deviation (Oct rate (Oct 2003- Sharpe ratio
2018) 2003-Nov-2018) Nov-2018)
Portfolio 1-Equity
18.30% 23.59% 3.68% 0.62
only
Portfolio 2- REIT
9.68% 27.18% 3.68% 0.22
only
Portfolio 3 All
13.99% 25.38% 3.68% 0.41
securities
We used the 10 year Treasury bond as our risk free instrument. An average of 3.68% was gotten
for the period Oct 2003-Nov 2018. This was used to derive the Sharpe ratio using the formula;
(Rp-Rf)/Stdvp
Where;
 Rp is the portfolio return

 Rf-is the risk free return
 Stdvp is the Portfolio standard deviation.
As can be observed, the equities portfolio gave the most superior risk adjusted returns as it had a
Sharpe ratio of 0.62, followed by the all securities portfolio which had a Sharpe ratio of 0.41 and
last was the REIT only portfolio which gave a Sharpe ratio of 0.22.
6. CONCLUSION
Going by the data that we have analyzed it is very clear that the equities portfolio had the best
risk return characteristics over the period. The better performance can be attributed to both the
industries of the two securities selected and their specific fundamental traits. For Activision
Blizzard, it was favorably affected by being in the right industry at the right time and also for
employing certain strategies that helped investors value it better during the crisis period. As for
Abbott Laboratories, company specific strategies propelled it to better return performance over
the crisis period.
From the analysis REITs are viewed to have good diversification characteristics in times of
normalcy, but this tends to deteriorate during the times of crisis. A good question to ask
ourselves here is, what good is a diversification trait if it disappears when you need it most? The
whole point of diversifying is to minimize portfolio volatility in times of market declines.
That said, our analysis was not exhaustive and may not be reflective of true underlying
movements. I thereby recommend further empirical research on the topic area, to further
understand. For now we conclude that Equities offer the best risk adjusted returns and REITs are
good diversifiers as long as there is market normalcy.
References
Abbott Laboratories 2016 & 2017 Annual report
Activision Blizzard 2016 & 2017 Annual report
Avalon Bay Community 2016 & 2017 Annual report
Brean Murray & Carret & Co Global Gaming Annual Outlook January 12 2010
Camden Property Trust 2016 & 2017 annual report
FIRST GLOBAL Research Sector: Initiating Coverage Pharmaceuticals: Abbott Inc (ABT)-July 15 th 2008
https://www.nytimes.com/2008/12/14/realestate/commercial/14sqft.html
Multifamily REITs: Clearer skies past the Maelstrom, But it’s a long way through; Initiating
coverage of AIV, AVB, BRE & ESS- Christofer Hartung-Feb 21st 2003
S&P’s Capital IQ data base
Stock Markets Correlation: before and during the Crisis Analysis by Ioana MOLDOVAN

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2. SECURITY SELECTION AND DESCRIPTION

Below is a description of each of the securities named above.

2.1. Activision Blizzard

Stock Quote and Chart (Currency: USD)

2.2. Abbott Laboratories

Revenue (US$) 27.39 billion

Shares Out. (mm) 1,756.3

Shares Sold Short (mm) 14.7

Dividend Yield % 1.5%

Diluted EPS Excl. Extra Items 0.46

P/Diluted EPS Before Extra 160.29x

Avg 3M DlyVlm (mm) 6.65

Market Info as at Nov-29-2018 12:00 AM, Financials as at Dec 2017

2.3. Camden Property Trust

Stock Quote and Chart (Currency: USD)

2.4. Avalon Bay community

Stock Quote and Chart (Currency: USD)

3. RISK AND RETURN ANALYSIS

Security type Security Name Average annual return Standard deviation

Equities Activision Blizzard 28.21% 32.94%

Abbott Laboratories 8.39% 14.24%

REITS Camden Property Trust 8.13% 26.65%

Avalon Bay community 11.23% 27.70%

Index S&P 500 8.98% 15.75%

3.1. Pre-crisis, Crisis and Post Crisis return analysis

 Pre-crisis- Oct2003 to June2007;

3.4. Pre-crisis, crisis and post crisis standard deviation.

Equities Activision 9.32% 13.6% 7.9%

4. CROSS CORRELATION OF THE SECURITIES.

4.1. Overall cross correlation

4.2. Pre-crisis cross correlation

4.3. Crisis period cross correlation

4.4. Post Crisis cross-correlations

4.5. Why Correlations increased during the Crisis period.

“Financial crises are characterized by sudden and simultaneous

4.6. Price Movements Oct 2003 to Nov 2018

Price Movements Oct 2003 to date

5. PORTFOLIO PERFORMANCE 2003 TO DATE

The below formula was used to calculate portfolio returns.

Rp= W1*R1 +W2*R2 +W3*R3 +W4*R4

Rp- returns of the whole portfolio

5.1. Portfolio 1-Equity only portfolio

TOTAL 100.00% 18.30% 23.59%

5.2. Portfolio 2- REITS only portfolio

TOTAL 100.00% 9.68% 27.18%

5.3. Portfolio 3- Equities and REITS portfolio

100.00% 13.99% 25.38%

5.4. Portfolios’ return performance

5.5. Portfolio Standard deviation

SDp= W1*SD1 +W2*SD2 +W3*SD3 +W4*SD4

SDp- Standard deviation of the whole portfolio

5.6. Portfolio’s Risk adjusted returns

 Rp is the portfolio return

Activision Blizzard 2016 & 2017 Annual report

Avalon Bay Community 2016 & 2017 Annual report

Rp= W1R1 +W2R2 +W3R3 +W4R4

SDp= W1SD1 +W2SD2 +W3SD3 +W4SD4