Section_J_Volume_I_-_Mandatory_Requirement__5_Documentation_-_FIRM_NAME.xlsx

XLSX spreadsheet 36 KB Posted Jul 31, 2015

Attached to: Real Estate Investment Trust Investment Management Services
Solicitation number: PBGC01-RP-15-0028
Issued by: Pension Benefit Guaranty Corporation

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Section J Volume I - Mandatory Requirement 5

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File	Type	Posted
REIT_Industry_Questions_and_Answers_(Part_II).pdf	PDF	Sep 9, 2015
REIT_Industry_Questions_and_Answers_(Part_I).pdf	PDF	Sep 3, 2015
Section_J_Attachment_IV_REIT_Tables_-_FIRM_NAME.xlsx	XLSX spreadsheet	Jul 31, 2015
PBGC01-RP-15-0028_(29JUL2015).pdf	PDF	Jul 31, 2015
Section_J_Attachment_III_-_REIT_July_13_2015.docx	DOCX document	Jul 31, 2015
Section_J_Attachment_I_-_REIT_July_29_2015.docx	DOCX document	Jul 31, 2015
Section_J_Attachment_II_-_REIT_July_29_2015.docx	DOCX document	Jul 31, 2015

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Table 10 Table 10 - Rolling 36 Month Information Ratio Calculation

		In Percents		In Percent		In Percent	In Percent
				Monthly	Monthly	36 month	36 month	Information
		Portfolio	Benchmark	Excess Return (C)	Geometric Excess (D)	Annualized Excess (E)	T.E. (Std Dev of Alpha) (F)	Ratio
	Period Ending	(A)	(B)	((1+A/100)/(1+B/100))-1	(1+C/100)	((1+D1/100)(1+D2/100)…
(1+D35/100)(1+D36/100))^(1/3)-1		STDEV(C1:C36)*SQRT(12)	(E/F)
	7/31/02	-5.06	-5.41	0.37	1.0037
	8/31/02	0.35	0.09	0.26	1.0026
	9/30/02	-4.56	-3.96	-0.62	0.9938
	10/31/02	-4.58	-5.37	0.83	1.0083
	11/30/02	4.81	4.78	0.03	1.0003
	12/31/02	0.54	1.36	-0.81	0.9919
	1/31/03	-3.10	-2.91	-0.19	0.9981
	2/28/03	1.38	1.82	-0.43	0.9957
	3/31/03	1.95	2.43	-0.47	0.9953
	4/30/03	4.22	3.85	0.35	1.0035
	5/31/03	5.86	5.66	0.19	1.0019
	6/30/03	2.11	2.16	-0.05	0.9995
	7/31/03	5.35	5.32	0.03	1.0003
	8/31/03	0.52	0.83	-0.31	0.9969
	9/30/03	3.12	3.52	-0.38	0.9962
	10/31/03	1.98	1.48	0.49	1.0049
	11/30/03	4.30	4.41	-0.10	0.9990
	12/31/03	3.58	3.00	0.56	1.0056
	1/31/04	4.19	4.00	0.18	1.0018
	2/29/04	2.07	1.66	0.40	1.0040
	3/31/04	5.34	6.01	-0.63	0.9937
	4/30/04	-15.11	-14.64	-0.55	0.9945
	5/31/04	7.00	7.59	-0.55	0.9945
	6/30/04	2.86	2.99	-0.13	0.9987
	7/31/04	0.15	0.50	-0.35	0.9965
	8/31/04	8.20	8.26	-0.05	0.9995
	9/30/04	-0.11	-0.48	0.37	1.0037
	10/31/04	4.79	5.57	-0.74	0.9926
	11/30/04	4.43	4.45	-0.02	0.9998
	12/31/04	5.14	5.19	-0.05	0.9995
	1/31/05	-8.05	-8.82	0.84	1.0084
	2/28/05	2.58	3.23	-0.63	0.9937
	3/31/05	-2.16	-1.51	-0.65	0.9935
	4/30/05	5.63	6.00	-0.35	0.9965
	5/31/05	3.56	3.31	0.24	1.0024
	6/30/05	4.47	5.21	-0.71	0.9929
	7/31/05	6.63	7.63	-0.93	0.9907	-1.64	1.62	-1.01
	8/31/05	-4.21	-3.84	-0.39	0.9961	-1.85	1.61	-1.15
	9/30/05	-0.21	0.43	-0.64	0.9936	-1.86	1.61	-1.15
	10/31/05	-2.45	-2.12	-0.33	0.9967	-2.24	1.50	-1.49
	11/30/05	4.46	4.64	-0.18	0.9982	-2.31	1.50	-1.54
	12/31/05	-0.32	0.10	-0.42	0.9958	-2.18	1.46	-1.49
	1/31/06	6.98	7.84	-0.80	0.9920	-2.38	1.50	-1.58
	2/28/06	1.81	2.14	-0.32	0.9968	-2.34	1.50	-1.56
	3/31/06	5.42	5.12	0.29	1.0029	-2.09	1.51	-1.38
	4/30/06	-3.27	-3.78	0.53	1.0053	-2.03	1.54	-1.32
	…	…	…	…	…	…	…	…
	…	…	…	…	…	…	…	…
	5/31/06	-3.12	-2.77	-0.36	0.9964	-2.21	1.53	-1.45
	6/30/06	5.10	5.69	-0.56	0.9944	-2.38	1.54	-1.55
	7/31/06	2.97	3.55	-0.56	0.9944	-2.57	1.55	-1.66
	8/31/06	3.14	3.36	-0.21	0.9979	-2.54	1.55	-1.64
	9/30/06	2.33	1.95	0.38	1.0038	-2.29	1.58	-1.45
	10/31/06	6.56	6.30	0.24	1.0024	-2.38	1.55	-1.53
	11/30/06	4.52	4.77	-0.24	0.9976	-2.42	1.55	-1.56
	12/31/06	-1.19	-2.26	1.10	1.0110	-2.25	1.66	-1.35
	1/31/07	8.64	8.91	-0.24	0.9976	-2.39	1.65	-1.45
	2/28/07	-2.99	-2.24	-0.77	0.9923	-2.77	1.64	-1.68
	3/31/07	-2.48	-2.56	0.08	1.0008	-2.53	1.63	-1.55
	4/30/07	0.19	-0.04	0.23	1.0023	-2.28	1.64	-1.39
	5/31/07	0.05	0.07	-0.02	0.9998	-2.10	1.63	-1.29
	6/30/07	-8.93	-9.39	0.51	1.0051	-1.90	1.68	-1.13
	7/31/07	-8.33	-7.85	-0.52	0.9948	-1.95	1.69	-1.16
	8/31/07	4.66	5.91	-1.18	0.9882	-2.33	1.78	-1.30
	9/30/07	4.19	3.91	0.27	1.0027	-2.36	1.77	-1.33
	10/31/07	0.54	1.14	-0.60	0.9940	-2.31	1.76	-1.31
	11/30/07	-8.97	-9.72	0.83	1.0083	-2.03	1.86	-1.10
	12/31/07	-4.63	-5.32	0.73	1.0073	-1.78	1.93	-0.93
	1/31/08	-0.45	-0.48	0.03	1.0003	-2.05	1.84	-1.11
	2/29/08	-4.05	-3.77	-0.29	0.9971	-1.94	1.82	-1.07
	3/31/08	4.28	6.65	-2.22	0.9778	-2.46	2.16	-1.14
	4/30/08	5.89	6.16	-0.26	0.9974	-2.42	2.16	-1.12
	5/31/08	0.83	0.22	0.60	1.0060	-2.31	2.19	-1.05
	6/30/08	-11.53	-11.08	-0.51	0.9949	-2.24	2.18	-1.03
	7/31/08	2.35	2.89	-0.52	0.9948	-2.11	2.14	-0.98
	8/31/08	2.06	2.27	-0.20	0.9980	-2.05	2.14	-0.96
	9/30/08	-1.12	-0.42	-0.70	0.9930	-2.07	2.14	-0.97
	10/31/08	-31.20	-32.38	1.75	1.0175	-1.39	2.41	-0.58
	11/30/08	-22.60	-24.55	2.59	1.0259	-0.49	2.87	-0.17
	12/31/08	15.92	17.70	-1.51	0.9849	-0.86	2.99	-0.29
	1/31/09	-16.58	-18.08	1.83	1.0183	0.01	3.15	0.00
	2/28/09	-19.61	-21.85	2.87	1.0287	1.07	3.55	0.30
	3/31/09	4.42	3.22	1.16	1.0116	1.36	3.60	0.38
	4/30/09	29.52	32.86	-2.51	0.9749	0.33	3.90	0.08
	5/31/09	1.99	2.63	-0.63	0.9937	0.24	3.91	0.06
	6/30/09	-2.48	-3.44	1.00	1.0100	0.76	3.93	0.19
	7/31/09	10.57	10.39	0.16	1.0016	1.00	3.92	0.26
	8/31/09	12.98	14.55	-1.37	0.9863	0.61	4.00	0.15
	9/30/09	6.19	7.09	-0.84	0.9916	0.20	4.03	0.05
	10/31/09	-5.18	-4.50	-0.71	0.9929	-0.12	4.05	-0.03
	11/30/09	7.36	6.91	0.42	1.0042	0.10	4.06	0.03
	12/31/09	6.84	6.91	-0.07	0.9993	-0.28	4.00	-0.07
	1/31/10	-5.33	-5.62	0.31	1.0031	-0.10	4.01	-0.03
	2/28/10	5.54	5.64	-0.10	0.9990	0.12	3.98	0.03
	3/31/10	9.44	10.15	-0.64	0.9936	-0.12	4.00	-0.03
	4/30/10	6.35	6.94	-0.55	0.9945	-0.38	4.01	-0.09
	5/31/10	-5.52	-5.34	-0.19	0.9981	-0.44	4.01	-0.11
	6/30/10	-4.87	-5.39	0.55	1.0055	-0.42	4.01	-0.10
	7/31/10	9.57	9.87	-0.28	0.9972	-0.34	4.00	-0.08
	8/31/10	-1.30	-1.32	0.02	1.0002	0.07	3.94	0.02
	9/30/10	4.65	4.54	0.10	1.0010	0.01	3.94	0.00
	10/31/10	3.91	4.70	-0.76	0.9924	-0.04	3.95	-0.01
	11/30/10	-1.69	-1.63	-0.06	0.9994	-0.34	3.92	-0.09
	12/31/10	4.57	4.74	-0.16	0.9984	-0.63	3.89	-0.16
	1/31/11	3.70	3.52	0.17	1.0017	-0.58	3.90	-0.15
	2/28/11	4.55	4.59	-0.04	0.9996	-0.50	3.89	-0.13
	3/31/11	-1.21	-1.43	0.22	1.0022	0.32	3.67	0.09
	4/30/11	4.72	5.83	-1.05	0.9895	0.05	3.72	0.01
	5/31/11	0.94	1.56	-0.61	0.9939	-0.35	3.72	-0.09
	6/30/11	-2.95	-3.35	0.42	1.0042	-0.04	3.72	-0.01
	7/31/11	0.07	1.75	-1.65	0.9835	-0.42	3.83	-0.11
	8/31/11	-5.25	-5.64	0.42	1.0042	-0.22	3.84	-0.06
	9/30/11	-10.75	-11.09	0.38	1.0038	0.14	3.82	0.04
	10/31/11	13.46	14.71	-1.09	0.9891	-0.80	3.73	-0.21
	11/30/11	-3.75	-3.93	0.19	1.0019	-1.58	3.39	-0.47
	12/31/11	4.04	4.74	-0.66	0.9934	-1.29	3.30	-0.39
	1/31/12	6.62	6.47	0.14	1.0014	-1.84	3.10	-0.59
	2/29/12	-0.73	-1.12	0.40	1.0040	-2.63	2.56	-1.03
	3/31/12	4.50	5.24	-0.70	0.9930	-3.24	2.43	-1.33
	4/30/12	2.57	2.93	-0.35	0.9965	-2.53	2.04	-1.24
	5/31/12	-4.21	-4.56	0.37	1.0037	-2.20	2.05	-1.07
	6/30/12	5.56	5.57	-0.01	0.9999	-2.53	1.93	-1.31
	7/31/12	2.15	1.90	0.25	1.0025	-2.50	1.94	-1.29
	8/31/12	0.14	-0.18	0.32	1.0032	-1.95	1.83	-1.06
	9/30/12	-0.99	-1.83	0.86	1.0086	-1.39	1.88	-0.74
	10/31/12	-0.54	-0.90	0.37	1.0037	-1.04	1.87	-0.56
	11/30/12	-0.61	-0.39	-0.22	0.9978	-1.25	1.84	-0.68
	12/31/12	3.05	3.82	-0.74	0.9926	-1.47	1.88	-0.78
	1/31/13	3.92	3.54	0.37	1.0037	-1.45	1.88	-0.77
	2/28/13	1.16	0.95	0.21	1.0021	-1.35	1.89	-0.72
	3/31/13	3.00	2.78	0.21	1.0021	-1.07	1.88	-0.57
	4/30/13	5.65	6.56	-0.85	0.9915	-1.17	1.91	-0.61
	5/31/13	-6.52	-5.89	-0.67	0.9933	-1.33	1.94	-0.69
	6/30/13	-2.41	-1.66	-0.76	0.9924	-1.76	1.93	-0.91
	7/31/13	0.23	0.82	-0.58	0.9942	-1.86	1.95	-0.96
	8/31/13	-6.34	-6.86	0.56	1.0056	-1.69	1.99	-0.85
	9/30/13	3.29	3.26	0.03	1.0003	-1.71	1.99	-0.86
	10/31/13	3.83	4.06	-0.22	0.9978	-1.53	1.95	-0.78
	11/30/13	-4.73	-5.27	0.57	1.0057	-1.32	1.99	-0.66
	12/31/13	0.95	0.61	0.34	1.0034	-1.16	2.01	-0.58
	1/31/14	3.58	3.88	-0.29	0.9971	-1.31	2.01	-0.65
	2/28/14	4.68	5.04	-0.34	0.9966	-1.41	2.01	-0.70
	3/31/14	0.14	0.93	-0.78	0.9922	-1.74	2.04	-0.85
	4/30/14	2.98	3.55	-0.55	0.9945	-1.57	1.98	-0.79
	5/31/14	2.77	2.52	0.24	1.0024	-1.29	1.97	-0.66
	6/30/14	1.07	1.00	0.07	1.0007	-1.41	1.95	-0.72
	7/31/14	-0.18	0.10	-0.28	0.9972	-0.95	1.73	-0.55
	8/31/14	3.43	2.83	0.58	1.0058	-0.90	1.75	-0.51
	9/30/14	-5.82	-5.83	0.01	1.0001	-1.02	1.73	-0.59
	10/31/14	8.42	10.71	-2.07	0.9793	-1.34	1.99	-0.67
	11/30/14	2.64	2.07	0.56	1.0056	-1.22	2.02	-0.60
	12/31/14	0.76	1.89	-1.11	0.9889	-1.37	2.08	-0.66
	1/31/15	6.84	6.52	0.30	1.0030	-1.32	2.09	-0.63
	2/28/15	-10.75	-11.09	0.38	1.0038	-1.32	2.09	-0.63
	3/31/15	13.46	14.71	-1.09	0.9891	-1.45	2.14	-0.68
	4/30/15	-3.75	-3.93	0.19	1.0019	-1.27	2.14	-0.60
	5/31/15	4.04	4.74	-0.66	0.9934	-1.61	2.14	-0.75
	6/30/15	6.62	6.47	0.14	1.0014	-1.56	2.15	-0.73
	AVERAGE					-1.31	2.49	-0.71

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