Statistics

Magnolia Realty Advisors’ Alpha Fund was launched on November 7th of 2013. As of December 31, 2014, the Fund had produced 60 weeks of return data as depicted in the table below. Statistics were calculated on the weekly returns of the fund versus its benchmark.

Statistics Summary

– Magnolia Alpha Fund’s benchmark was an iShares ETF that tracked the NAREIT Industrial and Office REIT index (ticker FNIO) through September 2014 when it was discontinued. Thereafter the benchmark was the NARIET Industrial and Office REIT Index (symbol ^FN13).

– Magnolia’s Alpha Fund’s average weekly return was 0.51% versus it’s benchmark return of 0.31% or an average weekly outperformance of 0.20%

– The volatility of Magnolia’s Alpha Fund is slightly higher than that of its benchmark with a standard deviation of 1.65% versus its benchmark’s standard deviation of 1.57%

– The annualized alpha of Magnolia’s Alpha Fund is 12.98%

– The beta of Magnolia’s Alpha Fund is 0.8840

Test for Significant Difference

A statistical test was performed to determine if Magnolias’ Alpha Fund’s weekly returns are similar to those of its benchmark. For this test, the null hypothesis is that Magnolia’s returns are similar to those of its benchmark versus the alternative hypotheses that Magnolia’s returns are greater than its benchmark’s returns. For this test, the formula for the test statistic is:

Z= [(average Magnolia return) – (average benchmark return)] / [Standard deviation of the numerator]

The Standard deviation of the numerator = Square root {[(Variance of Magnolia returns ) + (Variance of Benchmark returns)- 2*Covariance(Magnolia returns, Benchmark returns)]/number of observations}

Test Results

– The test resulted in a Z value of 1.7079

– This Z value translates into a P value of 0.9564

12-31-14 stats