Month

1989
January
February
March
April
May
June
July
August
September
October
November
December
1990 January
February
March
April
May
June
July
August
September
October
November
December

Investment Return Date (in %)
Vanguard Index
California
500 Trust
REIT

Beta
Standard Deviation

7.32
-2.47
2.26
5.18
4.04
-0.59
9.01
1.86
-0.40
-2.34
2.04
2.38
-6.72
1.27
2.61
-2.50
9.69
-0.69
-0.32
-9.03
-4.89
-0.41
6.44
2.72

-28.26
-3.03
8.75
-1.47
-1.49
-9.09
10.67
-9.38
10.34
-14.38
-14.81
-4.35
-5.45
5.00
9.52
-0.87
0.00
4.55
3.48
0.00
-13.04
0.00
1.50
-2.56

Brown
Group
9.16
0.73
-0.29
2.21
-1.08
-0.65
2.22
0.00
1.88
-7.55
-12.84
-1.70
-15.21
7.61
1.11
-0.51
12.71
3.32
3.17
-14.72
-1.91
-12.50
17.26
-8.53

0.15
9.23

1.16
8.17

Covariance between California and Brown
Covariance with market
3.00

11.84
23.66

4.61

.

005406905 Adjusted R Square -0.119599 22 1949.4821 660.232617 0.59618 0.227475 0.6561697663 0.1473514325 0.63436 22 873.078525 0.34583 0.3012602853 24 ANOVA df Regression Residual Total Intercept X Variable 1 SS MS F 1 660.42608 0.324125 -1.1633496457 0.SUMMARY OUTPUT Regression Statistics Multiple R 0.427871621 1.285238 4.5294 39.0735316602 R Square 0.4126438611 Observations 24 ANOVA df Regression Residual Total Intercept X Variable 1 SS MS F 1 10.039801872 Standard Error 9.9538429844 1.70588 23 1534.59786 23 1959.732756 SUMMARY OUTPUT Regression Statistics Multiple R R Square 0.154228 1.59618 10.749 Coefficients Standard Error t Stat P-value -2.475573 0.153 88.000498 .97794 -1.4821 16.4305587622 Adjusted R Square 0.4046750696 Standard Error Observations 6.011 Coefficients Standard Error t Stat P-value -1.

59618 0.078525 0.039801872 Standard Error 9.153 88.011 Coefficients Standard Error t Stat P-value -1.4305587622 Adjusted R Square 0.59618 10.34583 0.732756 SUMMARY OUTPUT Regression Statistics Multiple R 0.3012602853 Observations 24 ANOVA df Regression Residual Total Intercept X Variable 1 SS MS F 1 660.285238 4.1473514325 0.97794 -1.4821 16.6561697663 R Square 0.749 Coefficients Standard Error t Stat P-value -2.227475 0.63436 22 873.5294 39.1633496457 0.59786 23 1959.000498 .475573 0.SUMMARY OUTPUT Regression Statistics Multiple R 0.4046750696 Standard Error 6.119599 22 1949.324125 -1.005406905 Adjusted R Square -0.232617 0.4821 660.70588 23 1534.427871621 1.9538429844 1.154228 1.4126438611 Observations 24 ANOVA df Regression Residual Total Intercept X Variable 1 SS MS F 1 10.0735316602 R Square 0.42608 0.

030988 -0.571803 1.Significance F 0.0% -6.0% -4.000498 Lower 95%Upper 95% Lower 95.736285 1.736285 1.792223 -4.732756 Lower 95%Upper 95% Lower 95.754897 .571803 1.529868 1.699909 0.674125 -6.754897 0.0% Upper 95.792223 0.529868 1.030988 Significance F 0.674125 -0.0% Upper 95.699909 0.

0% -6.754897 .Significance F 0.571803 1.792223 -4.0% Upper 95.792223 0.736285 1.699909 0.529868 1.736285 1.030988 -0.000498 Lower 95%Upper 95% Lower 95.699909 0.754897 0.674125 -0.0% -4.529868 1.571803 1.030988 Significance F 0.674125 -6.0% Upper 95.732756 Lower 95%Upper 95% Lower 95.

50 9.75 -1.00 9.18 4.01 0.00 1.00 -13.32 -2.15 .34 -14.87 0.44 2.27 2.72 1.01 1.26 5.45 5.34 2.03 -4.52 -0.61 9.23 0.89 -0.48 0.04 -0.69 -0.32 -9.72 -28.01 Calculation of Various Measu Monthly Returns Month 1989 January February March April May June July August September October November December 1990 January February March April May June July August September October November December Standard Deviation Estimated Beta Vanguard Index 500 Trust California REIT 7.47 -1.99 0.59 9.09 10.Weight to Vanguard Index Weight to California REIT Weight to Brown Group 0.38 -14.55 3.81 -4.04 2.04 0.67 -9.49 -9.69 -0.03 8.86 -0.00 4.38 10.61 -2.41 6.56 4.40 -2.50 -2.38 -6.26 -3.47 2.35 -5.

.

48 9.86 -0.4694 2.55 2.5% Brown Brown Group 99% Vanguard 1% California REIT 9.0133 -4.64375 -0.50 17.21 7.55 -12.on of Various Measures of Risk ns Portfolio 99% vanguard 99% Vanguard 1% 0.1319 3.39 1.88135 2.84 -1.4684 6.34 -6.72 -1.29 -2.87 2.63735 8.28 -8.7561 1.68 9.31 2.41 6.6328 8.75 -0.94 1.32035 2.97 -0.34 -2.15 3.26 -8.42625 1.3349 -2.0016 0.4568 2.22 0.61 4.32 5.59 -0.48 9.48 2.44 2.98435 1.72 -0.28355 -9.2797 5.21 -1.11 -0.23 5.1513 -2.70 -15.99 -0.65 2.32595 -6.33 2.84 -0.59 1.59 8.5% california Brown Group and 0.16 0.96 -2.61 1.73 -0.4819 9.91 -12.38 -2.31 -6.98 -0.71 3.7945 -0.60 -2.63705 -2.46 1.9915 1.51 12.64 -0.91585 -0.94 -4.57 4.39 2.11 3.08 -0.09 -4.53 6.65 -0.67 7.32 3.17 -14.53 6.16 0.03 1.61 7.17 4.29 2.29 -9.71 1.00 1.80 1.98675 -0.9966 .68 -2.88 -7.65665 -0.89 2.

.

6964 8.232617 0.00886 23 479.9995938684 Adjusted R Square 0.SUMMARY OUTPUT Regression Statistics Multiple R 0.0941264386 Observations 24 ANOVA df Regression Residual Total Intercept X Variable 1 SS MS F 1 479.9314 Coefficients Standard Error t Stat P-value -0.64 22 0.004261 232.9998216218 0.227475 0.9995754079 Standard Error 0.34E-039 SUMMARY OUTPUT Regression Statistics Multiple R R Square Adjusted R Square 0.194915 0.9998135137 .7365 479.019779 -1.9914735143 0.7365 54147.0242787162 0.9999108069 0.9997969136 R Square 0.

002852 351.6651 132305.51E-043 .003971 23 489.012718 -1.7457 Coefficients Standard Error t Stat P-value -0.0195384298 0.9965535054 0.00274 363.6189 489.154228 1.4 22 0.9999168693 R Square 0.722584 0.0605246567 Observations 24 ANOVA df Regression Residual Total Intercept X Variable 1 SS MS F 1 484.475573 0.087353 0.6189 123311.080591 0.003663 23 484.0630126029 24 ANOVA df Regression Residual Total Intercept X Variable 1 SS MS F 1 489.9998261885 Standard Error 0.021908573 0.013241 -1.1573 9.0016334965 0.7379 4.7063 Coefficients Standard Error t Stat P-value -0.098994 0.9998337455 Adjusted R Square 0.79E-043 SUMMARY OUTPUT Regression Statistics Multiple R 0.6651 484.3 22 0.Standard Error Observations 0.

0% -0.016741 0.065299 0.34E-039 Lower 95%Upper 95% Lower 95.00031 0.Significance F 8.00031 .0% Upper 95.982637 1.982637 1.016741 -0.065299 0.

0% Upper 95.002235 0.007549 0.0% Upper 95.51E-043 Lower 95%Upper 95% Lower 95.046999 0.990872 1.048285 0.007549 Significance F 4.0% -0.048285 0.Significance F 9.004468 0.995718 1.007922 -0.046999 0.0% -0.995718 1.007922 0.002235 .79E-043 Lower 95%Upper 95% Lower 95.004468 -0.990872 1.