Question

Here are closing share prices (adjusted to include dividends) of 5 companies with past12 months of data and adjusted closing prices for the ASX200 index. Calculate, present and discuss the main summary statistics of monthly returns for each REIT and the overall market index. How does the risk and return characteristics of each REIT compare to the overall market index? Show your analysis process.

Date	AXJO	GMG	CHC	DXS	MGR	SGP
2019/10/1	6663.400	14.093	10.923	11.419	3.108	4.611
2019/11/1	6846.000	14.514	10.449	11.667	3.263	4.762
2019/12/1	6684.100	13.094	10.710	11.161	3.079	4.357
2020/1/1	7017.200	14.744	12.623	12.414	3.355	4.773
2020/2/1	6441.200	14.833	12.250	11.867	3.000	4.569
2020/3/1	5076.800	11.981	6.733	8.871	2.062	2.454
2020/4/1	5522.400	13.021	7.509	8.939	2.210	2.794
2020/5/1	5755.700	15.219	9.511	8.783	2.319	3.463
2020/6/1	5897.900	14.704	9.511	8.978	2.141	3.211
2020/7/1	5927.800	16.930	10.520	8.510	2.090	3.190
2020/8/1	6060.500	18.310	12.510	8.830	2.110	3.960
2020/9/1	5815.900	17.940	12.430	8.890	2.180	3.780

Answer 1

In order to statistically analyse the data provided in this case, we do the following main statistical calculation .

The Monthly return of the Index as well as for the stocks have been calculated as

Monthly Return % = ( Current month value / Prev month value )-1 expressed as a percentage.

The returns data were obtained as follows

Date	AXJO	Returns %	GMG	Returns %	CHC	Returns %	DXS	Returns %	MGR	Returns %	SGP	Returns %
01-10-2019	6663.4		14.093		10.923		11.419		3.108		4.611
01-11-2019	6846	2.74%	14.514	2.99%	10.449	-4.34%	11.667	2.17%	3.263	4.99%	4.762	3.27%
01-12-2019	6684.1	-2.36%	13.094	-9.78%	10.71	2.50%	11.161	-4.34%	3.079	-5.64%	4.357	-8.50%
01-01-2020	7017.2	4.98%	14.744	12.60%	12.623	17.86%	12.414	11.23%	3.355	8.96%	4.773	9.55%
01-02-2020	6441.2	-8.21%	14.833	0.60%	12.25	-2.95%	11.867	-4.41%	3	-10.58%	4.569	-4.27%
01-03-2020	5076.8	-21.18%	11.981	-19.23%	6.733	-45.04%	8.871	-25.25%	2.062	-31.27%	2.454	-46.29%
01-04-2020	5522.4	8.78%	13.021	8.68%	7.509	11.53%	8.939	0.77%	2.21	7.18%	2.794	13.85%
01-05-2020	5755.7	4.22%	15.219	16.88%	9.511	26.66%	8.783	-1.75%	2.319	4.93%	3.463	23.94%
01-06-2020	5897.9	2.47%	14.704	-3.38%	9.511	0.00%	8.978	2.22%	2.141	-7.68%	3.211	-7.28%
01-07-2020	5927.8	0.51%	16.93	15.14%	10.52	10.61%	8.51	-5.21%	2.09	-2.38%	3.19	-0.65%
01-08-2020	6060.5	2.24%	18.31	8.15%	12.51	18.92%	8.83	3.76%	2.11	0.96%	3.96	24.14%
01-09-2020	5815.9	-4.04%	17.94	-2.02%	12.43	-0.64%	8.89	0.68%	2.18	3.32%	3.78	-4.55%
Date	AXJO	Returns %	GMG	Returns %	CHC	Returns %	DXS	Returns %	MGR	Returns %	SGP	Returns %
Average Monthly Return		-0.90%		2.78%		3.19%		-1.83%		-2.47%		0.29%

The Variance and Standard deviation of the data are calculated as a measure to analyse the risk of the individual securities

The calculated variance and Std dev of the data are presented as follows

Date	AXJO	Returns %	GMG	Returns %	CHC	Returns %	DXS	Returns %	MGR	Returns %	SGP	Returns %
Average Monthly Return		-0.90%		2.78%		3.19%		-1.83%		-2.47%		0.29%
Variance		0.00668		0.01220		0.03584		0.00820		0.01312		0.03756
Standard deviation		0.08172		0.11044		0.18930		0.09055		0.11453		0.19381

Waterfall chart for the index AXJO

GMG CHC DXS MGR SGP

Compared to the overall market

· Based on monthly performance on average basis MGR is seen under performing % SGP is seen the most underperforming as can be seen for the lowest point of dip in the chart

· The average performance based on the monthly returns is best for CHC .

· The volatility in comparison to the market is seen to be highest in CHC as can be seen from the table and having the highest Standard deviation

Thanks