ADJUSTED PURE-PLAY PORTFOLIO REIT EQUITY INDEX
HISTORICAL PERFORMANCE OF PUBLIC AND PRIVATE REAL ESTATE INVESTMENT
1987 - 2005
by
Dongwook Kim
Bachelor of Architecture
Cornell University
Submitted to the Department of Architecture in Partial Fulfillment of the Requirements for the
Degree of
MASTER OF SCIENCE
In Real Estate Development
at the
Massachusetts Institute of Technology
September, 2007
©2007 Dongwook Kim
All rights reserved
The author hereby grants to MIT permission to reproduce and to distribute publicly paper and electronic
copies of this thesis document in whole or in part in any medium now known or hereafter created.
Signature of Author _____________________________________________________________
Department of Architecture
July 27, 2007
Certified by____________________________________________________________________
Henry O. Pollakowski,
Principal Research Associate, Center for Real Estate
Thesis Supervisor
Accepted by ___________________________________________________________________
David M. Geltner
Chairman, Interdepartmental Degree Program in
Real Estate Development
ADJUSTED PURE-PLAY PORTFOLIO REIT EQUITY INDEX
HISTORICAL PERFORMANCE OF
PUBLIC AND PRIVATE REAL ESTATE INVESTMENT
1987 - 2005
by
Dongwook Kim
Submitted to the Department of Architecture
On July 27, 2007 in Partial Fulfillment of the Requirements for the Degree of
Master of Science
In Real Estate Development
ABSTRACT
The public real estate market was initiated by the Real Estate Investment Trust Act of
1960. Since then, investors have been concerned with the assessment of performance
comparisons between publicly held assets and privately held assets. The main concern for
the assessment is to reveal historically which type of ownership provided the more efficient
vehicle for the investors. The National Council of Real Estate Investment Fiduciaries
(NCREIF) provides the investment performance of privately held commercial real estate,
and the National Association of Real Estate Investment Trust (NAREIT) provides that of
publicly held commercial real estate by REITs. However, direct comparison between the
two indexes is problematic due to the different characteristics of each market and the lack
of historical data for accurate assessment.
The primary purpose of this study is to adjust characteristics of commercial REIT assets
underlying one portfolio to match the characteristics of privately held commercial assets.
Since SNL data base provides hedonic data from 1995 and CRSP & Compustat merged
data base provides up to 2005 Q4, the sample period of this research is from 1995 Q1 to
2
2005 Q4. This quarterly assessment is conducted at the property sector (retail, apartment,
office and industrial), then at the aggregate level.
The main research of this thesis is to create adjusted REIT equity index that is derived
from the following treatments in the thesis. Pure-Play’ Portfolio Methodology will be applied to
replicate the performance of four real estate property-type sectors defined by NCREIF –
Implemented updated Equity to Total Asset ratio from De-leveraging REIT returns by WACC
formula based on CRSP and Compustat merged data to obtain the value weights of equity, debt
and total assets. As a proxy for the returns of debts held by REITs, Gilberto-Levy Historical
Mortgage Rate will be used as a proxy for the returns of debts held by REITs. Sector-Mix
Adjustment according to NCREIF sector weights. REIT index investment cost proxied by Vanguard
REIT fund expense (95-05) will be deducted from adjusted REIT equity index.
In this thesis, private real estate equity investment performance is represented by the MIT
Transaction Based Index (TBI) and NCREIF Property Index (NPI). Both TBI and NPI
returns are deducted by asset management fees estimated by the NFI-ODCE index
(NCREIF) over the same time period. Purpose of these adjustments is to improve
evaluation of publicly and privately held commercial real estate asset investment
performances relative to one another.
Preliminary comparison between NAREIT equity REIT index and NPI quarterly returns
from 1995-2005 was conducted to collect the mean return difference. Then the difference
after the treatments was compared to observe the effects of the author’s method.
The results demonstrate that at the aggregate level the difference between REIT and NPI
returns reduced from 1.08% to 0.74%, and the difference between REIT and TBI returns
reduced from 1.64% to 0.18%.
3
Thesis Supervisor: Henry O. Pollakowski
Title: Principal Research Associate
Acknowledgements
This thesis could not have been done without the help of the following individuals. I would
like to thank them for their valuable advice, encouragement and guidance.
Henry O. Pollakowski, Principle Research Associate, MIT Center for Real Estate:
David M. Geltner, Director, MIT Center for Real Estate:
Brad Case, Vice President, National Association of Real Estate Investment Trusts
Brandon Benjamin, Manager, National Association of Real Estate Investment Trusts
John Barwick, Manager, National Association of Real Estate Investment Trusts
Michael Giliberto, Managing Director, JP Morgan
Patrick Jengbin Tsai, MSRED 2007, MIT Center for Real Estate
Dan Kim, Research Staff, MIT Center for Real Estate
4
TABLE OF CONTENTS
ABSTRACT ..………………………………………………………….……………………………2
ACKNOWLEDGEMENTS ..…………………………………………………………….…………4
1. INTRODUCTION .……………………………………………………………………………….6
1.1 Background of the Public Real Estate Market………………………………………………6
1.2 Background of the Private Real Estate Market……………………………………….........8
1.3 Objectives……………………………………………………………………………………..11
2. LITERATURE REVIEW……………………………………………………………….………12
2.1 Privately versus Publicly Held Asset ………………………………………………………12
2.2 REIT-Based Pure-Play Portfolio…………………………………………………………….13
3. METHODOLOGIES……………………………………………………………………………14
3.1 Data Mining and Corrections………………………………………………………………..14
3.2 Definition of Pure-Play Portfolio…………………………………………………………….14
3.3 Pure-Play Construction Model………………………………………………………………15
3.4 Variance Minimization………………………………………………………………………..17
3.5 De-Leveraging Methodology through WACC formula……………………………………17
3.6 De-Leveraging Model………………………………………………………………………..18
3.7 Treatment of Management Expenses and Fees………………………………………….20
4. RESULT: COMPARISONS BY SETORS…………………………………………………...21
4.1 Retail and Office……………………………………………………………………………...21
4.2 Apartment and Industrial…………………………………………………………………….22
4.3 Summary of the Adjustment Effects by Property Sector…………………………………35
5. OVERALL COMPARISONS…………………………………………………………………..37
5.1 Aggregate Return Performance Comparisons…………………………………………….37
6. CONCLUSION………………………………………………………………………………….40
7. BIBLIOGRAPHY……………………………………………………………………………….42
Appendix…………………………………………………………………………………………..43
5
CHAPTER 1
Introduction
1.1 Background of the Public Real Estate Market:
The ‘Real Estate Investment Trusts Act’ in 1960 initiated a public market of real estate
through the creation of publicly traded REITs. The REIT industry began to trade actively in
the market in late 1960’s, when the Mortgage REIT boom arose. Market capitalization of
the REIT vehicle has grown significantly due to the Tax Reform Act in 1986 which allowed
for the abolition of double taxation and the approval of self-management (vertical
integration). During the early 1990’s, the privately traded real estate market suffered due to
insufficient liquidity and the discrepancy in valuation between the private and public
markets. Consequently, the environment of the public market encouraged many large
companies to go public. Kimco’s Initial Public Offering (IPO) in 1991 is perceived as the
beginning of the modern REIT era. It was the first large stable real estate company to
choose REIT status. Followed by a $330 million Taubman IPO in 1992, REITs launched a
new structure called the Umbrella Partnership REIT (UPREIT). The creation of UPREIT
was another incentive for publicly traded REITs to market and grow by allowing private
firms to go public without immediate tax liability for the existing owners. Furthermore, the
increase in the number of well-managed large real estate companies’ REIT IPOs and the
growth of market capitalizations of REITs attracted many institutional investors that
required incentives for their retained liquidity investments. The growth in institutional
ownership promoted a boom in REIT IPOs in 1993 and 1994, followed by secondary
security offerings (SEOs) in 1996 and 1997.
In 1998, the prosperity of REITs began to collapse with falling share prices. Investors were
skeptical of the soaring REIT premiums to Net Asset Value (NAV) relative to private real
estate market pricing. Unfortunately, the crash of the REIT market overlapped with the
initiation of the ‘dot com’ bubble when a large number of investors pulled their money out
from REITs to invest in ‘dot com’ stocks. It was a critical event for both the public and
private real estate markets that demonstrated the different characteristics of these two
markets. REIT share prices fell although there were only modest changes in the underlying
6
real estate properties. REIT investors eventually realized that REITs are a part of capital
markets and the REITs’ value could be affected by dynamics that are not directly related to
property markets.1 As a result, REIT share prices began to be determined by the Gordon
Growth Model (GGM), which is widely used for stock price valuation in capital markets.
REIT share prices consider ‘growth’ expectation of the firms by integrating the present
value of growth opportunity (PVGO).2 PVGO can be positive or negative depending upon
the expectation in the capital market and its influence return performance in index. This
growth factor does directly influence the prices in the private market, whose values are
directly exposed to cash flows associated with the asset.3
Figure 1. Historical Market Capitalization of REITs – Source: NAREIT
REITs Market Capitalization ($ millions)
1987 - 2005
300,000
250,000
200,000
150,000
100,000
50,000
19
87
19
88
19
89
19
90
19
91
19
92
19
93
19
94
19
95
19
96
19
97
19
98
19
99
20
00
20
01
20
02
20
03
20
04
20
05
0
Market Cap
1
David M. Geltner
Brealey, Myers, Allen
3
Riddiough, Moriarty, Yeatman
2
7
1.2 Background of Private Real Estate Market:
The private real estate market is characterized by its lack of liquidity. Privately held assets
are often held for long periods of time and possess incomparable characteristics that
cause difficulties in valuation. As a result, it is difficult to apply an asset valuation model
created for the public market to the private market due to the difficulty in obtaining correct
return data for the private market. The valuation of the privately held assets relies on the
expected cash flows of the underlying assets that correlate to the movement in capital
markets, which is not as significant as in publicly traded assets.
Various research has been carried out and methodologies have been developed to find
more correct measures to valuate those privately held assets. The NCREIF Property Index
(NPI) provides investment performances of privately held assets based on appraisal
values. Though NPI provides constructive information about the privately held assets,
appraisal values seem to have a smoothing behavior due to the conservative approach in
valuation that heavily relies on ex-post information. Unfortunately, NPI provides market
information slowly as appraisal valuations are usually conducted once a year whereas
public market values are updated instantaneously.
Adjustments for these concerns in appraisal values were considered by Geltner (1989).
His methods seek to correct for smoothed appraisal values by applying un-smoothing
reverse filters to achieve true values in pricing privately held assets. Although the
methodology reduced errors in appraisal value, related research by Fisher, Geltner and
Webb (1994) found that errors in value still remained and that un-smoothed data still
lagged behind publicly traded assets by more than one year.
8
Figure 2. Total Returns of REITs VS NCREIF – Source: NAREIT and NCREIF
Total Return Comparison
NAREIT vs NCREIF (NPI) 1987 - 2005
700
600
500
400
300
200
100
0
86
87
88
89
90
91
92
93
94
NAREIT
95
96
97
98
99
00
01
02
03
04
05
NPI
*100 invested at the end of 1986.
The Transactions-Based Index of Commercial Property Investment Performance (TBI)
developed by MIT CRE, measures values and returns on privately-held assets based on
transaction prices from the NCREIF Index database. As described on the MIT CRE
webpage, “This is a new type of index that offers advantages for some purposes over the
median-price or appraisal-based indexes previously available for commercial real estate in
the U.S. However, median price indexes are not true price-change indexes because the
properties that transact in one period are different from those that transacted in the previous
period.”4.
TBI adjusts NPI values by breaking down appraised values of properties into hedonic
variables. The basic TBI represents transaction prices that reflect variable liquidity in the
real estate marketplace over time.
4
http://web.mit.edu/cre/research/credl/tbi.html
9
Figure 3. Total Returns of REITs VS TBI – Source: NAREIT and TBI - MIT CRE
Total Return Comparison
NAREIT vs. TBI (Quaterly 95-1 ~ 05-4)
700
600
500
400
300
200
100
19
95
19 1
95
19 3
96
19 -1
96
19 3
97
19 1
97
19 3
98
19 1
98
19 3
99
19 1
99
20 3
00
20 1
00
20 3
01
20 1
01
20 -3
02
20 1
02
20 3
03
20 1
03
20 3
04
20 1
04
20 -3
05
20 1
05
-3
0
NAREIT
TBI
*100 invested at 1994-4.
10
1.3 Objectives:
Although certain unique characteristics remain causing problematic comparisons,
investors are often interested in observing comparisons of investment performances in
public and private real estate markets. This thesis will attempt to enhance the
comparability of the two markets by observing relative risk-adjusted performances through
the creation of an annual risk-adjusted Public Real Estate Market valuation method by
property type sectors; Office, Residential, Industry, and Retail.
The quarterly equity REIT index is comparable to NPI and TBI from 1995 to 2005, based
on REIT data identified by Compustat and the Center for Research in Security Prices
(CRSP) database. The four property sector indexes of ‘Pure-Play Portfolio’ developed by
Geltner and Kluger (1998) are applied to replicate the performances of the four real estate
property sectors defined by NCREIF. Then, firm returns included in ‘Pure-Play Portfolio’
are un-levered firm by firm through use of the WACC formula, and the Vanguard REIT
fund expense is deducted.
Both Transaction Based Index and NCREIF Property index represent public real estate
market performances in this thesis. By comparing both indexes to the adjusted REIT index
created, the author hopes to present a better measurement for the performance of
privately held properties.
11
CHAPTER 2
Literature Review
2.1 Privately versus Publicly Held Asset
The research on a different approach for enhancing performance comparisons between
public and private real estate was developed by Moriarty and Yeatman in their thesis
presented in 1999 “A Risk-Adjusted Performance History of Public and Private Market
Real Estate Investment” (MIT CRE). This approach was later developed by Riddiough,
Moriarty and Yeatman in their literature “Privately Versus Public Held Asset Investment
Performance” (2005) to present an improved approach that compares two markets by
creating an index that adjusts asset characteristics according to a benchmark index. Their
result during the sample period of 1980 to 1998 reflects annual returns of 10.44% for
publicly held assets and 7.36% for privately held assets; a 3.08% gap between the
investment performances of the two markets.
Pagliari, Scherer, and Monopoli published their research regarding public and private
market comparison in their article “Public versus Private Real Estate Equities: A More
Refined, Long-Term Comparison” (2005). Their broad approach is similar to the previous
two articles; adjustments for partial years, leverage and sector mix, but their approach
utilized different methodologies to derive adjusted returns. This article put emphasis on an
un-smoothing method for appraisal based on the NCREIF index to reflect more precise
market movements in the private market to match movements in public market. Their
approach finds publicly traded assets outperformed privately traded asset by a gap of
3.00% during the sample period of 1981 to 2001.
This thesis is conducted using different methodologies in process but similar in its broad
analyses. The major difference in the public market performance index is the methodology
for deriving ‘Pure’ performance in one property sector. Previous research defined core
sector REITs using a benchmark of 75% or more of book value invested in one sector.
This sector specific performance approach exposes the result to the idiosyncratic risks of
other sectors. As a result, REIT based ‘Pure-Play Portfolio’ developed by Geltner and
12
Kluger is used in this thesis to more precisely evaluate ‘Pure’ investment performances in
each sector.
2.2 REIT-Based Pure-Play Portfolio
The foundation of this thesis is derived from the “REIT-Based Pure-Play Portfolio”
developed by Geltner and Kluger (1998). Since publicly traded REITs commonly own
assets that are in more than one sector, target specific performances are difficult to
measure. This approach measures performance in one sector without direct exposure to
other sectors by composing a portfolio that replicates the performance of the target sector.
This thesis is based on the approach developed by Geltner and Kluger, but the author
attempts to improve on some of the methodologies. Similar to the methodology developed
by Geltner and Kluger, a self-constructed index adjusts for partial years, property types
and leverage, but the author’s approach differs in several aspects. Geltner and Kluger’s
research is conducted with a sample period of 1987-1996. However, during those years
the REIT market was not mature enough to have a sufficient number of REITs and the
sample therefore lacked sufficient data. The sufficiency of data is critical to the ‘Pure-Play
Portfolio’ because the feasibility of short position is limited. Therefore, a significant sample
size must be taken in a short/long position from one firm to account for idiosyncratic risks
in the portfolio.
The main aspect of the methodology that this thesis seeks to improve is the de-leveraging
method. The author conducted de-leveraging on a firm-by-firm basis including minority
interests (book value) found in the CRSP and Compustat merged database and converted
into common equity value when calculating common equity weight in total capital. The
intent was to address the OP unit issue in the UPREIT structure that was initiated in 1992.
Since minority interests on REIT balances actually represent the equity share of REIT
properties held by third parties, they should be included in equity when calculating the
leverage ratio at the property level. Geltner and Kluger’s research may have ignored this
issue because the UPREIT structure was not active during their sample period.
Another factor they have excluded was the treatment for fees and expenses, which will be
adjusted for both the public and private market indexes in this thesis.
13
CHAPTER 3
Methodologies
3.1 Data Mining and Corrections
Annual firm by firm data from 1995-20055 was obtained from the Compustat and CRSP
merged database by SIC code #6798(DNUM) and ticker symbols (SMBL). To obtain the
proportions of the REITs’ value derived from the four property type sectors defined by
NCREIF, sufficient accounting and structural data about the REITs’ assets were necessary.
As a result, these ticker symbols were employed to the SNL Sector-Focused hedonic
database to identify property type sectors held by the REITs. If the firm’s data was only
available in one database, it was assumed to be insufficient and eliminated.
Partial-year returns were excluded because REIT share prices often reflect factors
unrelated to asset fundamentals around the time the firms enter or leave an index. 6
Studies related to REIT IPO performance by Chan, Erickson, and Wang (2003) indicate
that short to medium underperformance dynamics prevail when firms enter and exit.
3.2 Definition of Pure-Play Portfolios
Synopsis of REIT based Pure-Play Portfolio: The Case of Property Types, Geltner and
Kluger. (1998).
Pure-Play portfolio is defined as the optimal combination of long and short positions in
publicly traded REITs to replicate the performance of the target real estate sector without
direct exposure to the non-target sector. The ‘Pure-Play Portfolio’ method allows for
measurement of historical performances through the procedure of deriving unlevered
returns to the underlying properties held by the REITs broken out by the property types:
Office, Residential, Industrial, and Retail as defined by NCREIF. The basic idea was to
adjust the risk characteristics of the REIT assets underlying one portfolio to match the risk
characteristics of underlying assets in another portfolio.
5
6
SNL Sector-Focused database available from 1995, and Compustat and CRSP database available to 2005.
Riddiough, Moriarty, and Yeatman. (2005).
14
Various combinations in REITs can replicate exposure to one target sector. However, an
optimal combination that minimizes random volatility or idiosyncratic risks should be
investigated and chosen. Idiosyncratic risk is defined as REIT specific risk and type
specific risk. By defining and diversifying the idiosyncratic risk, Pure-Play return
components that are the same for any investment in a targeted sector can be extracted. A
REIT return is defined by its Pure-Play components and idiosyncratic components.
The Pure-Play portfolio method is effective under these relative conditions7 :
1. The feasibility of short positions is conducted including the liquidity of the portfolio and
the required amount of the short position.
2. Sufficient data should be available to construct more diversified portfolios.
3. The exposure of firms to the target sector should be sufficiently stable over time so that
the portfolios do not require readjustment frequently.
3.3 Pure-Play Construction Model
The basic model can be described by modeling one REIT that invests in one property type
(R=retail). The return of this REIT can be broken down by its true return and idiosyncratic
return.
* ‘r’ is true return and ‘e’ is idiosyncratic return
The basic model is applied to a number of n REITs, which are made up of just two
property types; retail and office. Thus, the sum of weights in the two types should be one.
The pure play portion of each return is the same for any investments in the given property
type.
7
Geltner, Kluger 1998
15
To construct a portfolio from the information available from many REITs, the return of the
portfolio would be function of n number of REITs
The return components are split into separate idiosyncratic components. In the next step,
construction of a Pure-Play Portfolio that targets the office sector will be conducted with
several of the constraints in equation (4). The sum of the weights to the office investment
should be one and the sum of weights to the retail investment should be zero. This
constraint can be expressed by
Several combinations that meet the above conditions can exist, but only one optimal
solution that minimizes the idiosyncratic variance should be identified by the Pure-Play
portfolio. Since the variance of Pure-Play return components is the same regardless of the
different weights, idiosyncratic variance should be minimized when the variance of the
portfolio return is minimized. The tables below are examples of two different Pure-play
portfolios that consist of three REITs investing in two property types.
Table 1. Example of Pure-Play portfolio
16
Although both portfolios target one property type by 100% exposure to office and 0%
exposure to retail, the total idiosyncratic exposures in each portfolio varies due to the
change in weights in each REIT.
The optimal portfolio can be achieved by minimizing portfolio return variances. There are
several ways to conduct this minimization, but in this research, The Excel solver function
method will be used to compute the large data set available.
3.4 Variance Minimization by STATA Data Analysis and Statistical Software
To find the optimal weights that minimize idiosyncratic variance, STATA Data Analysis and
Statistical Software are used to identify the optimal solution with the specified constraints.
*Constraints.
Table 2. Number of REITs included in Pure-Play Portfolio
Year
#
of
REITs
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
20
21
33
43
38
51
44
79
112
107
Year
#
of
REITs
1997
1998
1999
2000
2001
2002
2003
2004
2005
77
85
88
91
53
54
57
56
62
*Refer to appendix A for company names and data.
3.5 De-Leveraging Methodology through WACC formula.
TBI (NCREIF) is used as a proxy for private real estate investment performance. NCREIF
index returns reflect on an un-levered basis, while the REIT index reflects returns on firms
that are levered. Leverage increases volatility and returns of investment that make direct
comparisons problematic. To enhance the comparability to the NCREIF index (NPI, TBI),
REIT returns are delivered firm by firm.
17
In order to obtain de-levered performances of the REITs included in the Pure-Play Portfolio,
a weighted average cost of capital calculation is used in this thesis. With the aim of
removing leverage effects, value components were input into the formula below on a firm
by firm basis to obtain weights in debt and equity. Weights are determined as a percent of
total assets.
VASSET = VDEBT + VPE + VCS + VMI
“DEBT”
“EQUITY”
Firm by Firm Accounting and Market Data in each component is listed below, and the
values reflect the average of the previous year’s amount and the current year’s amount.
Since these values represent REITs holding at the end of the year, the previous year’s
value reflects the beginning value of the current year. Thus, this methodology concluded
that it is more appropriate to use the average value of the two years to reflect the current
year’s value.
3.6 De-Leveraging Model
Components included in Debt
VDEBT (Compustat):
Book Value of ‘Long-term Debt’ and ‘Debt in current Liabilities’ will be used to approximate
market value.
VPE (Compustat):
Preferred Stock Value + Preferred Dividend Amount
Preferred Stock is treated as debt in this thesis due to its similar characteristics:
-Preferred stock pays specific dividends that are paid before any dividends are paid to
common stockholders and take precedence over common stock.
-Preferred stock does not give the voting rights of common stockholders.
18
-Preferred stock pays a fixed dividend that does not fluctuate, although the company does.
Components included in Equity
VCS (CRSP):
(Number of Outstanding Common Stocks * Common Stock Closing Price) + Common
Dividend Amount.
VMI (CRSP):
Since the minority interest on the REIT balance actually represents the equity share of
REIT properties held by third parties, it should be included in equity when calculating the
leverage ratio at the property level. Weights found in Debt and Equity are employed to
Pure-Play Portfolio returns in each firm to obtain un-levered returns by calculating a return
on assets through the use of the WACC formula.
RASSET = WD*RDEBT + WE*REQUITY
WD = (VDEBT + VPE) / VASSET
WE= (VCS + VMI) / VASSET
RDEBT (Return on Debt) is approximated by historical Gilberto-Levy Mortgage Rates by four
property type sectors in each year.
RASSET (Return on Asset) is approximated by returns on ‘Pure-Play Portfolio’.
19
3.7 Treatment of Management Expenses and Fees
Private Market Index:
NPI returns include asset management that fees paid by investors. In this thesis, NCREIF
Fund Index – Historical. The Open End Diversified Core Equity Management Fee ratio was
used as an approximation of asset management fees and deducted from NPI and TBI
returns in each quarter.
Public Market Index:
REIT investment fees paid by the investors are approximated by Historical annual data of
Vanguard REIT Fund expense ratios. The annual returns were only available so the data
was spread out to approximate quarterly expense ratios, then deducted from Pure-Play
REIT returns.
Table 3. NFI-ODCE Management Fee
Year
1995 1
1995 2
1995 3
1995 4
1996 1
1996 2
1996 3
1996 4
1997 1
1997 2
1997 3
1997 4
1998 1
1998 2
1998 3
1998 4
1999 1
1999 2
1999 3
1999 4
2000 1
2000 2
2000 3
2000 4
2001 1
2001 2
2001 3
2001 4
2002 1
2002 2
2002 3
2002 4
2003 1
2003 2
2003 3
2003 4
2004 1
2004 2
2004 3
2004 4
2005 1
2005 2
2005 3
2005 4
Expense Ratio
0.09%
0.09%
0.09%
0.09%
0.09%
0.09%
0.09%
0.09%
0.06%
0.06%
0.06%
0.06%
0.06%
0.06%
0.06%
0.06%
0.07%
0.07%
0.07%
0.07%
0.08%
0.08%
0.08%
0.08%
0.08%
0.08%
0.08%
0.08%
0.07%
0.07%
0.07%
0.07%
0.06%
0.06%
0.06%
0.06%
0.06%
0.06%
0.06%
0.06%
0.05%
0.05%
0.05%
0.05%
Average
0.07%
Table 4. Vanguard REIT Index Fund Expense
Year
1995 1
1995 2
1995 3
1995 4
1996 1
1996 2
1996 3
1996 4
1997 1
1997 2
1997 3
1997 4
1998 1
1998 2
1998 3
1998 4
1999 1
1999 2
1999 3
1999 4
2000 1
2000 2
2000 3
2000 4
2001 1
2001 2
2001 3
2001 4
2002 1
2002 2
2002 3
2002 4
2003 1
2003 2
2003 3
2003 4
2004 1
2004 2
2004 3
2004 4
2005 1
2005 2
2005 3
2005 4
Fee Ratio
0.26%
0.26%
0.26%
0.25%
0.25%
0.25%
0.25%
0.26%
0.26%
0.25%
0.25%
0.24%
0.24%
0.24%
0.24%
0.23%
0.24%
0.24%
0.25%
0.26%
0.26%
0.27%
0.27%
0.26%
0.27%
0.27%
0.28%
0.27%
0.27%
0.27%
0.28%
0.27%
0.27%
0.28%
0.27%
0.27%
0.27%
0.27%
0.27%
0.27%
0.26%
0.26%
0.27%
0.27%
Average
0.26%
20
CHAPTER 4
Result: Comparisons by Sectors
4.1 Retail and Office
The result after the adjustment for the apartment and industrial sectors came out as
expected. De-leveraging and Pure-Play effect minimized the differences between the two
markets’ return performances significantly. The adjustments increased consistency
between public and private market by reducing the difference in mean return and volatility.
The difference in the return performances utilizing the NCREIF Property Index was
reduced in the retail sector from 1.37% to 0.58% and in the office sector from 1.30% to
0.40% (Quarterly). Also, the difference in the return performances utilizing the Transaction
Based Index was reduced in the retail sector from 0.65% to - 0.14% and in the office
sector from 0.70% to - 0.19%. The volatility of the public market index was significantly
reduced as represented by the smoothed NAREIT index and significantly lower standard
deviations found in all three sectors (Table 6, 8).
Though the difference in return performances increased after deducting REIT Index Fund
Expenses and Asset Management Fees from TBI and NPI, the author presumes those
adjustments make comparison more precise by reflecting the true characteristics of both
markets. The general movements of the performance are more consistent to each other
after the adjustments, confirming that the methodologies conducted in this thesis were
constructive.
4.2 Apartment and Industrial
However, when the adjustments were applied to the apartment and industrial sectors, an
unexpected result occurred. After the de-leveraging and Pure-Play effect, the mean return
difference with both NPI and TBI increased in the industrial sector from 1.01% to 1.05%
and 0.68% to 0.72% respectively. In the apartment sector the difference with TBI
increased from 0.06% to -0.54%. (Table 6, 8).
21
There are several possible explanations for the less effective results in the two sectors. As
the NAREIT Sectored Index defines core sector REITs as 75% or more of book value
invested in that sector, initial NAREIT Sectored return performances had direct exposure
to other sectors that could have created idiosyncratic risks in the target sector. Also,
quarterly return data in the apartment and industrial sectors may have reflected poor
performances that when de-levered, could have increased the mean returns (negative
leverage effect). Lastly, due to the data limitation of utilizing a small sample size, some of
the large REITs in those sectors may have performed poorly and caused a result reflecting
biased mean returns in those sectors.
Although the mean return differences is less effective in the apartment and industrial
sectors, the volatility decreased across the property sectors as indicated by decreased
standard deviation in all four sectors.
22
Figure 4. Retail Sector Return Performance Cobmparisons - Plots
NAREIT vs. NPI (Base Value 100 in 1994-4) Quaterly
Cumulative Return (Before Adjustment)
Retail 1995-1 ~ 2005-4
600
500
400
300
200
100
19
95
-1
19
95
-3
19
96
-1
19
96
-3
19
97
-1
19
97
-3
19
98
-1
19
98
-3
19
99
-1
19
99
-3
20
00
-1
20
00
-3
20
01
-1
20
01
-3
20
02
-1
20
02
-3
20
03
-1
20
03
-3
20
04
-1
20
04
-3
20
05
-1
20
05
-3
0
NAREIT 100
NPI 100
Pure-Play vs.NPI (Base Value 100 in 1994-4)
Cumulative Return (After Adjustment)
Retail 1995-1 ~ 2005-4
600
500
400
300
200
100
19
95
-1
19
95
-3
19
96
-1
19
96
-3
19
97
-1
19
97
-3
19
98
-1
19
98
-3
19
99
-1
19
99
-3
20
00
-1
20
00
-3
20
01
-1
20
01
-3
20
02
-1
20
02
-3
20
03
-1
20
03
-3
20
04
-1
20
04
-3
20
05
-1
20
05
-3
0
PurePlay 100
NPI 100
23
NAREIT vs. TBI (Base Value 100 in 1994-4)
Cumulative Return (Before Adjustment)
Retail 1995-1 ~ 2005-4
600
500
400
300
200
100
19
95
-1
19
95
-3
19
96
-1
19
96
-3
19
97
-1
19
97
-3
19
98
-1
19
98
-3
19
99
-1
19
99
-3
20
00
-1
20
00
-3
20
01
-1
20
01
-3
20
02
-1
20
02
-3
20
03
-1
20
03
-3
20
04
-1
20
04
-3
20
05
-1
20
05
-3
0
NAREIT 100
TBI 100
Pure-Play vs. TBI (Base Value 100 in 1994-4)
Cumulative Return (After Adjustment)
Retail 1995-1 ~2005-4
600
500
400
300
200
100
19
95
-1
19
95
-3
19
96
-1
19
96
-3
19
97
-1
19
97
-3
19
98
-1
19
98
-3
19
99
-1
19
99
-3
20
00
-1
20
00
-3
20
01
-1
20
01
-3
20
02
-1
20
02
-3
20
03
-1
20
03
-3
20
04
-1
20
04
-3
20
05
-1
20
05
-3
0
PurePlay 100
TBI 100
24
Table 4. Retail Sector Return Performance Comparisons Data
YEAR
1995-1
1995-2
1995-3
1995-4
1996-1
1996-2
1996-3
1996-4
1997-1
1997-2
1997-3
1997-4
1998-1
1998-2
1998-3
1998-4
1999-1
1999-2
1999-3
1999-4
2000-1
2000-2
2000-3
2000-4
2001-1
2001-2
2001-3
2001-4
2002-1
2002-2
2002-3
2002-4
2003-1
2003-2
2003-3
2003-4
2004-1
2004-2
2004-3
2004-4
2005-1
2005-2
2005-3
2005-4
Average
STDEV
NAREIT
-0.92%
4.66%
2.04%
-0.67%
1.44%
7.02%
5.10%
17.97%
0.41%
5.90%
6.46%
3.30%
3.94%
-1.56%
-5.78%
-1.18%
-8.04%
8.17%
-7.61%
-4.01%
1.24%
7.61%
4.05%
4.07%
7.75%
12.63%
-3.01%
10.79%
9.06%
10.70%
-1.82%
2.13%
7.26%
11.52%
11.05%
10.49%
18.87%
-9.39%
11.70%
16.56%
-7.82%
17.56%
1.71%
1.43%
4.14%
7.18%
RETAIL
NPI
Diff.
1.75% -2.67%
1.46% 3.20%
1.32% 0.72%
-0.58% -0.09%
1.68% -0.24%
1.32% 5.70%
1.74% 3.36%
0.04% 17.93%
1.24% -0.83%
1.64% 4.26%
2.33% 4.13%
3.07% 0.23%
2.91% 1.03%
3.52% -5.08%
2.76% -8.54%
3.13% -4.31%
2.21% -10.25%
2.26% 5.91%
2.16% -9.77%
2.59% -6.60%
2.01% -0.77%
2.05% 5.56%
1.92% 2.13%
1.62% 2.45%
2.24% 5.51%
1.90% 10.73%
1.31% -4.32%
1.23% 9.56%
1.90% 7.16%
3.57% 7.13%
3.00% -4.82%
4.56% -2.43%
2.91% 4.35%
4.06% 7.46%
3.09% 7.96%
6.55% 3.94%
3.06% 15.81%
5.39% -14.78%
5.16% 6.54%
7.75% 8.81%
4.41% -12.23%
4.36% 13.20%
3.88% -2.17%
5.98% -4.55%
2.77%
1.65%
1.37%
5.53%
Pure-Play
0.81%
4.21%
3.35%
3.12%
-0.53%
4.62%
2.84%
14.95%
0.67%
5.19%
4.59%
1.82%
2.64%
1.27%
-1.67%
0.45%
-2.75%
3.33%
-2.95%
-2.08%
4.72%
2.97%
2.61%
5.03%
5.12%
6.70%
1.44%
4.33%
4.79%
8.48%
4.88%
1.05%
4.36%
7.58%
5.79%
5.61%
10.69%
-6.26%
6.51%
9.36%
-3.88%
10.72%
0.51%
0.80%
3.28%
4.10%
RETAIL
NPI
Diff.
1.49% -0.68%
1.20% 3.01%
1.06% 2.30%
-0.83% 3.95%
1.43% -1.96%
1.07% 3.55%
1.49% 1.35%
-0.22% 15.17%
0.98% -0.31%
1.39% 3.80%
2.08% 2.50%
2.83% -1.01%
2.67% -0.03%
3.28% -2.01%
2.52% -4.18%
2.90% -2.44%
1.97% -4.72%
2.02% 1.31%
1.91% -4.86%
2.33% -4.41%
1.75% 2.96%
1.78% 1.19%
1.65% 0.95%
1.36% 3.68%
1.97% 3.14%
1.63% 5.07%
1.03% 0.41%
0.96% 3.37%
1.63% 3.16%
3.30% 5.18%
2.72% 2.16%
4.29% -3.24%
2.64% 1.73%
3.78% 3.80%
2.82% 2.97%
6.28% -0.67%
2.79% 7.90%
5.12% -11.37%
4.89% 1.62%
7.48% 1.88%
4.15% -8.03%
4.10% 6.62%
3.61% -3.11%
5.71% -4.92%
2.51%
1.65%
0.77%
2.45%
RETAIL
NAREIT TBI
Diff.
-0.92% 0.04% -0.96%
4.66% -0.33% 4.98%
2.04% 2.49% -0.45%
-0.67% -1.26% 0.58%
1.44% -2.00% 3.44%
7.02% 3.82% 3.20%
5.10% 5.34% -0.24%
17.97% 0.30% 17.67%
0.41% 1.66% -1.25%
5.90% 3.94% 1.96%
6.46% 8.74% -2.27%
3.30% 5.50% -2.20%
3.94% 5.29% -1.35%
-1.56% 1.77% -3.33%
-5.78% -0.33% -5.45%
-1.18% 9.19% -10.37%
-8.04% 2.60% -10.64%
8.17% -0.45% 8.62%
-7.61% 3.42% -11.03%
-4.01% 4.50% -8.50%
1.24% -2.66% 3.90%
7.61% -0.82% 8.43%
4.05% 1.76% 2.29%
4.07% -2.56% 6.63%
7.75% 0.13% 7.62%
12.63% 6.78% 5.85%
-3.01% 4.14% -7.15%
10.79% 0.69% 10.11%
9.06% 4.95% 4.11%
10.70% 4.76% 5.94%
-1.82% 6.40% -8.22%
2.13% 8.16% -6.03%
7.26% 0.89% 6.37%
11.52% 8.32% 3.20%
11.05% -6.73% 17.77%
10.49% 8.89% 1.60%
18.87% 6.09% 12.78%
-9.39% 6.99% -16.38%
11.70% 7.60% 4.10%
16.56% 5.27% 11.29%
-7.82% 1.24% -9.06%
17.56% 24.16% -6.61%
1.71% 7.75% -6.04%
1.43% 1.65% -0.21%
4.14%
7.18%
3.49%
4.86%
0.65%
2.32%
RETAIL
Pure-Play TBI
Diff.
0.81% -0.22% 1.03%
4.21% -0.58% 4.80%
3.35% 2.23% 1.12%
3.12% -1.51% 4.63%
-0.53% -2.25% 1.71%
4.62% 3.57% 1.05%
2.84% 5.09% -2.25%
14.95% 0.05% 14.91%
0.67% 1.40% -0.73%
5.19% 3.69% 1.50%
4.59% 8.49% -3.90%
1.82% 5.26% -3.44%
2.64% 5.05% -2.41%
1.27% 1.54% -0.26%
-1.67% -0.58% -1.09%
0.45% 8.96% -8.50%
-2.75% 2.36% -5.11%
3.33% -0.69% 4.02%
-2.95% 3.17% -6.12%
-2.08% 4.24% -6.32%
4.72% -2.92% 7.64%
2.97% -1.09% 4.05%
2.61% 1.49% 1.11%
5.03% -2.83% 7.86%
5.12% -0.14% 5.25%
6.70% 6.50% 0.20%
1.44% 3.87% -2.43%
4.33% 0.41% 3.91%
4.79% 4.68% 0.11%
8.48% 4.49% 3.99%
4.88% 6.12% -1.24%
1.05% 7.89% -6.84%
4.36% 0.62% 3.74%
7.58% 8.04% -0.47%
5.79% -7.00% 12.79%
5.61% 8.63% -3.02%
10.69% 5.82% 4.87%
-6.26% 6.72% -12.97%
6.51% 7.33% -0.82%
9.36% 5.00% 4.36%
-3.88% 0.98% -4.86%
10.72% 23.90% -13.18%
0.51% 7.49% -6.98%
0.80% 1.38% -0.58%
3.28%
4.10%
3.23%
4.86%
0.05%
-0.76%
*Asset Management Fee Deducted fromNPI
** Index Fund Expenses are Deducted fromNAREIT index
25
Figure 5. Apartment Sector Return Performance Comparisons – Plots
NAREIT vs. NPI (Base Value 100 in 1994-4)
Cumulative Return (Before Adjustment)
Apartment 1995-1 ~2005-4
600
500
400
300
200
100
19
95
-1
19
95
-3
19
96
-1
19
96
-3
19
97
-1
19
97
-3
19
98
-1
19
98
-3
19
99
-1
19
99
-3
20
00
-1
20
00
-3
20
01
-1
20
01
-3
20
02
-1
20
02
-3
20
03
-1
20
03
-3
20
04
-1
20
04
-3
20
05
-1
20
05
-3
0
NAREIT 100
NPI 100
Pure-Play vs.NPI (Base Value 100 in 1994-4)
Cumulative Return (After Adjustments)
Apartments 1995-1 ~ 2005-4
600
500
400
300
200
100
19
95
-1
19
95
-3
19
96
-1
19
96
-3
19
97
-1
19
97
-3
19
98
-1
19
98
-3
19
99
-1
19
99
-3
20
00
-1
20
00
-3
20
01
-1
20
01
-3
20
02
-1
20
02
-3
20
03
-1
20
03
-3
20
04
-1
20
04
-3
20
05
-1
20
05
-3
0
PurePlay 100
NPI 100
26
NAREIT vs. TBI (Base Value 100 in 1994-4)
Cumulative Return (Before Adjustment)
Apartment 1995-1 ~ 2005-4
600
500
400
300
200
100
19
95
-1
19
95
-3
19
96
-1
19
96
-3
19
97
-1
19
97
-3
19
98
-1
19
98
-3
19
99
-1
19
99
-3
20
00
-1
20
00
-3
20
01
-1
20
01
-3
20
02
-1
20
02
-3
20
03
-1
20
03
-3
20
04
-1
20
04
-3
20
05
-1
20
05
-3
0
NAREIT 100
TBI 100
Pure-Play vs. TBI (Base Value 100 in 1994-4)
Cumulative Return (After Adjustment)
Apartment 1995-1 ~2005-4
600
500
400
300
200
100
19
95
-1
19
95
-3
19
96
-1
19
96
-3
19
97
-1
19
97
-3
19
98
-1
19
98
-3
19
99
-1
19
99
-3
20
00
-1
20
00
-3
20
01
-1
20
01
-3
20
02
-1
20
02
-3
20
03
-1
20
03
-3
20
04
-1
20
04
-3
20
05
-1
20
05
-3
0
PurePlay 100
TBI 100
27
Table 5. Apartment Sector Return Performance Comparisons Data
YEAR
1995-1
1995-2
1995-3
1995-4
1996-1
1996-2
1996-3
1996-4
1997-1
1997-2
1997-3
1997-4
1998-1
1998-2
1998-3
1998-4
1999-1
1999-2
1999-3
1999-4
2000-1
2000-2
2000-3
2000-4
2001-1
2001-2
2001-3
2001-4
2002-1
2002-2
2002-3
2002-4
2003-1
2003-2
2003-3
2003-4
2004-1
2004-2
2004-3
2004-4
2005-1
2005-2
2005-3
2005-4
Average
STDEV
NAREIT
-5.18%
5.83%
4.96%
6.60%
3.73%
2.30%
4.48%
16.30%
1.40%
4.74%
9.27%
-0.01%
0.18%
-2.32%
-5.21%
-1.65%
-0.89%
14.46%
-4.59%
2.30%
1.70%
12.84%
10.21%
7.15%
-3.62%
9.15%
1.90%
1.36%
4.44%
0.75%
-11.55%
0.83%
-1.36%
9.81%
11.68%
3.74%
4.29%
2.16%
7.04%
18.13%
-9.23%
16.69%
3.43%
4.65%
Apartment
NPI
2.49%
2.66%
2.63%
3.41%
2.68%
2.85%
2.63%
2.91%
2.28%
2.90%
3.29%
3.85%
3.28%
3.23%
3.56%
3.33%
2.84%
2.50%
2.70%
3.19%
2.37%
2.90%
3.08%
4.01%
2.48%
2.75%
2.24%
1.55%
1.96%
1.83%
2.64%
2.03%
2.27%
2.26%
2.02%
2.10%
3.00%
2.73%
2.89%
3.87%
3.69%
5.77%
4.54%
5.80%
Diff.
-7.67%
3.17%
2.33%
3.19%
1.05%
-0.55%
1.85%
13.39%
-0.88%
1.84%
5.98%
-3.86%
-3.10%
-5.55%
-8.77%
-4.98%
-3.73%
11.96%
-7.29%
-0.89%
-0.67%
9.94%
7.13%
3.14%
-6.10%
6.40%
-0.34%
-0.19%
2.48%
-1.08%
-14.19%
-1.20%
-3.63%
7.55%
9.66%
1.64%
1.29%
-0.57%
4.15%
14.26%
-12.92%
10.92%
-1.11%
-1.15%
Pure-Play
-2.39%
6.87%
2.57%
5.71%
0.00%
2.54%
4.24%
10.77%
0.60%
5.18%
6.83%
-0.30%
1.41%
-0.28%
-2.51%
-1.76%
-0.04%
6.63%
-1.99%
0.96%
1.87%
7.56%
5.58%
6.26%
0.63%
5.15%
4.35%
0.29%
1.80%
3.82%
-0.83%
1.73%
0.49%
6.28%
5.64%
2.54%
3.73%
0.01%
4.91%
10.72%
-5.73%
10.88%
1.80%
2.87%
Apartment
NPI
2.23%
2.40%
2.37%
3.16%
2.43%
2.60%
2.38%
2.65%
2.02%
2.65%
3.04%
3.61%
3.04%
2.99%
3.32%
3.10%
2.60%
2.26%
2.45%
2.93%
2.11%
2.63%
2.81%
3.75%
2.21%
2.48%
1.96%
1.28%
1.69%
1.56%
2.36%
1.76%
2.00%
1.98%
1.75%
1.83%
2.73%
2.46%
2.62%
3.60%
3.43%
5.51%
4.27%
5.53%
Diff.
-4.62%
4.47%
0.20%
2.55%
-2.43%
-0.06%
1.86%
8.12%
-1.42%
2.53%
3.79%
-3.91%
-1.63%
-3.27%
-5.82%
-4.86%
-2.63%
4.37%
-4.43%
-1.97%
-0.25%
4.93%
2.77%
2.51%
-1.58%
2.68%
2.38%
-0.99%
0.11%
2.26%
-3.20%
-0.03%
-1.51%
4.30%
3.89%
0.71%
1.00%
-2.44%
2.29%
7.11%
-9.15%
5.37%
-2.48%
-2.66%
3.50%
6.54%
2.95%
0.88%
0.55%
5.66%
2.83%
3.70%
2.69%
0.88%
0.14%
2.82%
Apartment
NAREIT TBI
Diff.
-5.18% -6.56% 1.38%
5.83% 5.56% 0.27%
4.96% 4.39% 0.57%
6.60% 2.96% 3.64%
3.73% 3.79% -0.06%
2.30% 6.91% -4.61%
4.48% 5.03% -0.55%
16.30% 2.45% 13.85%
1.40% 6.33% -4.93%
4.74% 5.17% -0.43%
9.27% 6.06% 3.20%
-0.01% 5.34% -5.35%
0.18% 2.51% -2.33%
-2.32% 4.83% -7.15%
-5.21% 7.53% -12.74%
-1.65% -1.01% -0.64%
-0.89% 0.26% -1.16%
14.46% 4.08% 10.38%
-4.59% -1.09% -3.50%
2.30% 0.08% 2.22%
1.70% 1.74% -0.03%
12.84% 5.13% 7.72%
10.21% 4.63% 5.58%
7.15% 2.14% 5.01%
-3.62% 1.10% -4.71%
9.15% 8.25% 0.89%
1.90% 1.00% 0.90%
1.36% 1.27% 0.10%
4.44% 2.50% 1.95%
0.75% -1.05% 1.80%
-11.55% 1.40% -12.95%
0.83% 4.70% -3.86%
-1.36% 0.81% -2.18%
9.81% 1.03% 8.78%
11.68% 3.40% 8.28%
3.74% 1.99% 1.75%
4.29% 0.27% 4.02%
2.16% 5.42% -3.26%
7.04% 6.49% 0.55%
18.13% 3.24% 14.89%
-9.23% 9.39% -18.62%
16.69% 2.63% 14.06%
3.43% 15.97% -12.53%
4.65% 5.69% -1.04%
3.50%
6.54%
3.44%
3.53%
0.06%
3.01%
RETAIL
Pure-Play TBI
Diff.
0.81% -0.22% 1.03%
4.21% -0.58% 4.80%
3.35% 2.23% 1.12%
3.12% -1.51% 4.63%
-0.53% -2.25% 1.71%
4.62% 3.57% 1.05%
2.84% 5.09% -2.25%
14.95% 0.05% 14.91%
0.67% 1.40% -0.73%
5.19% 3.69% 1.50%
4.59% 8.49% -3.90%
1.82% 5.26% -3.44%
2.64% 5.05% -2.41%
1.27% 1.54% -0.26%
-1.67% -0.58% -1.09%
0.45% 8.96% -8.50%
-2.75% 2.36% -5.11%
3.33% -0.69% 4.02%
-2.95% 3.17% -6.12%
-2.08% 4.24% -6.32%
4.72% -2.92% 7.64%
2.97% -1.09% 4.05%
2.61% 1.49% 1.11%
5.03% -2.83% 7.86%
5.12% -0.14% 5.25%
6.70% 6.50% 0.20%
1.44% 3.87% -2.43%
4.33% 0.41% 3.91%
4.79% 4.68% 0.11%
8.48% 4.49% 3.99%
4.88% 6.12% -1.24%
1.05% 7.89% -6.84%
4.36% 0.62% 3.74%
7.58% 8.04% -0.47%
5.79% -7.00% 12.79%
5.61% 8.63% -3.02%
10.69% 5.82% 4.87%
-6.26% 6.72% -12.97%
6.51% 7.33% -0.82%
9.36% 5.00% 4.36%
-3.88% 0.98% -4.86%
10.72% 23.90% -13.18%
0.51% 7.49% -6.98%
0.80% 1.38% -0.58%
3.28%
4.10%
3.23%
4.86%
0.05%
-0.76%
*Asset Management FeeDeducted fromNPI
** Index Fund Expenses areDeductedfromNAREITindex
28
Figure 6. Office Sector Return Performance Comparisons – Plots
NAREIT vs. NPI (Base Value 100 in 1994-4)
Cumulative Returns (Before Adjustment)
Office 1995-1 ~ 2005-4
600
500
400
300
200
100
19
95
-1
19
95
-3
19
96
-1
19
96
-3
19
97
-1
19
97
-3
19
98
-1
19
98
-3
19
99
-1
19
99
-3
20
00
-1
20
00
-3
20
01
-1
20
01
-3
20
02
-1
20
02
-3
20
03
-1
20
03
-3
20
04
-1
20
04
-3
20
05
-1
20
05
-3
0
NAREIT 100
NPI 100
Pure-Play vs.NPI (Base Value 100 in 1994-4)
Cumulative Return (Before Adjustment)
Office 1995-1 ~2005-4
600
500
400
300
200
100
19
95
-1
19
95
-3
19
96
-1
19
96
-3
19
97
-1
19
97
-3
19
98
-1
19
98
-3
19
99
-1
19
99
-3
20
00
-1
20
00
-3
20
01
-1
20
01
-3
20
02
-1
20
02
-3
20
03
-1
20
03
-3
20
04
-1
20
04
-3
20
05
-1
20
05
-3
0
NAREIT 100
NPI 100
29
NAREIT vs. TBI (Base Value 100 in 1994-4)
Cumulative Return (Before Adjustment)
Office 1995-1 ~ 2005-4
600
500
400
300
200
100
19
95
-1
19
95
-3
19
96
-1
19
96
-3
19
97
-1
19
97
-3
19
98
-1
19
98
-3
19
99
-1
19
99
-3
20
00
-1
20
00
-3
20
01
-1
20
01
-3
20
02
-1
20
02
-3
20
03
-1
20
03
-3
20
04
-1
20
04
-3
20
05
-1
20
05
-3
0
NAREIT 100
TBI 100
Pure-Play vs. TBI (Base Value 100 in 1994-4)
Cumulative Return (After Adjustment)
Office 1995-1 ~ 2005-4
600
500
400
300
200
100
19
95
-1
19
95
-3
19
96
-1
19
96
-3
19
97
-1
19
97
-3
19
98
-1
19
98
-3
19
99
-1
19
99
-3
20
00
-1
20
00
-3
20
01
-1
20
01
-3
20
02
-1
20
02
-3
20
03
-1
20
03
-3
20
04
-1
20
04
-3
20
05
-1
20
05
-3
0
PurePlay 100
TBI 100
30
Table 6. Office Sector Return Performance Comparisons Data
YEAR
1995-1
1995-2
1995-3
1995-4
1996-1
1996-2
1996-3
1996-4
1997-1
1997-2
1997-3
1997-4
1998-1
1998-2
1998-3
1998-4
1999-1
1999-2
1999-3
1999-4
2000-1
2000-2
2000-3
2000-4
2001-1
2001-2
2001-3
2001-4
2002-1
2002-2
2002-3
2002-4
2003-1
2003-2
2003-3
2003-4
2004-1
2004-2
2004-3
2004-4
2005-1
2005-2
2005-3
2005-4
Average
STDEV
NAREIT
2.64%
10.91%
7.84%
13.06%
4.70%
6.22%
12.00%
21.88%
0.48%
4.88%
22.32%
0.08%
-2.23%
-6.25%
-11.76%
2.19%
-0.95%
11.54%
-8.18%
2.76%
6.01%
9.97%
13.42%
2.45%
-5.19%
11.57%
0.99%
-0.17%
5.21%
2.82%
-11.84%
-1.75%
2.13%
13.38%
5.35%
9.86%
9.04%
-5.88%
6.82%
12.46%
-3.34%
12.19%
4.69%
-0.37%
Office
NPI
1.91%
1.98%
2.17%
0.95%
2.67%
2.75%
2.57%
4.96%
3.04%
3.36%
3.87%
6.55%
5.48%
4.87%
3.82%
4.15%
2.77%
2.80%
3.16%
2.96%
2.66%
3.52%
3.32%
3.97%
2.35%
2.32%
1.46%
-0.03%
0.95%
0.81%
0.83%
0.22%
1.27%
1.48%
1.26%
1.70%
2.26%
2.38%
3.20%
3.73%
3.25%
4.78%
5.09%
5.25%
Diff.
0.73%
8.93%
5.67%
12.11%
2.03%
3.47%
9.43%
16.92%
-2.56%
1.52%
18.45%
-6.47%
-7.71%
-11.12%
-15.58%
-1.96%
-3.72%
8.74%
-11.34%
-0.20%
3.35%
6.45%
10.10%
-1.52%
-7.54%
9.25%
-0.47%
-0.14%
4.26%
2.01%
-12.67%
-1.97%
0.86%
11.90%
4.09%
8.16%
6.78%
-8.26%
3.62%
8.73%
-6.59%
7.41%
-0.40%
-5.62%
Pure-Play
0.65%
6.11%
3.95%
6.79%
1.45%
1.98%
7.45%
13.04%
2.80%
-0.10%
9.75%
6.43%
0.82%
-2.10%
-5.68%
2.74%
-4.79%
9.02%
-4.32%
3.53%
3.54%
6.96%
5.19%
6.67%
0.46%
3.15%
0.50%
3.44%
5.14%
6.40%
0.05%
0.80%
2.86%
5.65%
4.56%
4.95%
10.53%
-5.04%
2.97%
6.59%
-4.47%
7.83%
2.61%
2.06%
Office
NPI
1.65%
1.72%
1.91%
0.70%
2.42%
2.50%
2.32%
4.70%
2.78%
3.11%
3.62%
6.31%
5.24%
4.63%
3.58%
3.92%
2.53%
2.56%
2.91%
2.70%
2.40%
3.25%
3.05%
3.71%
2.08%
2.05%
1.18%
-0.30%
0.68%
0.54%
0.55%
-0.05%
1.00%
1.20%
0.99%
1.43%
1.99%
2.11%
2.93%
3.46%
2.99%
4.52%
4.82%
4.98%
Diff.
-1.00%
4.38%
2.04%
6.09%
-0.97%
-0.52%
5.13%
8.34%
0.02%
-3.20%
6.13%
0.12%
-4.42%
-6.74%
-9.25%
-1.18%
-7.32%
6.45%
-7.23%
0.83%
1.14%
3.71%
2.14%
2.97%
-1.62%
1.11%
-0.69%
3.75%
4.46%
5.86%
-0.50%
0.86%
1.87%
4.45%
3.57%
3.52%
8.54%
-7.14%
0.04%
3.12%
-7.45%
3.32%
-2.21%
-2.93%
4.13%
7.74%
2.83%
1.49%
1.30%
6.25%
3.16%
4.26%
2.57%
1.49%
0.60%
2.77%
Office
NAREIT TBI
Diff.
2.64% 3.44% -0.80%
10.91% 4.56% 6.35%
7.84% 6.95% 0.89%
13.06% 0.47% 12.59%
4.70% 1.57% 3.13%
6.22% 6.62% -0.41%
12.00% -2.07% 14.07%
21.88% 8.62% 13.26%
0.48% 7.54% -7.06%
4.88% 6.47% -1.59%
22.32% 8.68% 13.63%
0.08% 8.25% -8.18%
-2.23% 7.24% -9.47%
-6.25% 2.18% -8.43%
-11.76% -1.44% -10.32%
2.19% 2.00% 0.19%
-0.95% 2.76% -3.70%
11.54% 1.58% 9.96%
-8.18% 0.02% -8.20%
2.76% 0.64% 2.12%
6.01% 3.09% 2.91%
9.97% 3.79% 6.18%
13.42% 3.35% 10.07%
2.45% 0.92% 1.53%
-5.19% 2.74% -7.92%
11.57% -0.68% 12.25%
0.99% 0.59% 0.39%
-0.17% -1.29% 1.12%
5.21% 4.95% 0.26%
2.82% -1.86% 4.68%
-11.84% 7.85% -19.69%
-1.75% -0.39% -1.36%
2.13% 2.13% 0.00%
13.38% 0.82% 12.56%
5.35% 3.52% 1.82%
9.86% 1.57% 8.29%
9.04% 2.03% 7.01%
-5.88% 6.73% -12.61%
6.82% -0.43% 7.25%
12.46% 4.75% 7.71%
-3.34% 3.33% -6.67%
12.19% 10.78% 1.41%
4.69% 6.79% -2.10%
-0.37% 12.07% -12.44%
4.13%
7.74%
3.43%
3.53%
0.70%
4.21%
Office
Pure-Play TBI
Diff.
0.65% 3.18% -2.53%
6.11% 4.30% 1.81%
3.95% 6.68% -2.74%
6.79% 0.21% 6.58%
1.45% 1.32% 0.13%
1.98% 6.37% -4.39%
7.45% -2.32% 9.77%
13.04% 8.36% 4.67%
2.80% 7.28% -4.48%
-0.10% 6.22% -6.32%
9.75% 8.44% 1.31%
6.43% 8.01% -1.58%
0.82% 7.00% -6.18%
-2.10% 1.95% -4.05%
-5.68% -1.68% -3.99%
2.74% 1.77% 0.97%
-4.79% 2.51% -7.31%
9.02% 1.35% 7.67%
-4.32% -0.23% -4.09%
3.53% 0.39% 3.15%
3.54% 2.84% 0.70%
6.96% 3.52% 3.43%
5.19% 3.08% 2.11%
6.67% 0.66% 6.02%
0.46% 2.47% -2.01%
3.15% -0.95% 4.10%
0.50% 0.32% 0.18%
3.44% -1.57% 5.01%
5.14% 4.68% 0.47%
6.40% -2.13% 8.53%
0.05% 7.57% -7.52%
0.80% -0.66% 1.46%
2.86% 1.86% 1.00%
5.65% 0.54% 5.11%
4.56% 3.25% 1.30%
4.95% 1.30% 3.65%
10.53% 1.76% 8.77%
-5.04% 6.46% -11.50%
2.97% -0.70% 3.67%
6.59% 4.48% 2.11%
-4.47% 3.07% -7.53%
7.83% 10.52% -2.69%
2.61% 6.53% -3.91%
2.06% 11.80% -9.75%
3.16%
4.26%
3.16%
3.53%
0.00%
0.73%
*Asset Management Fee Deducted fromNPI
** Index Fund Expenses are Deducted fromNAREITindex
31
Figure 7. Industrial Sector Return Performance Comparisons – Plots
NAREIT vs. NPI (Base Value 100 in 1994-4)
Cumulative Retruns (Before Adjustment)
Industrial 1995-1 ~ 2005-4
600
500
400
300
200
100
19
95
-1
19
95
-3
19
96
-1
19
96
-3
19
97
-1
19
97
-3
19
98
-1
19
98
-3
19
99
-1
19
99
-3
20
00
-1
20
00
-3
20
01
-1
20
01
-3
20
02
-1
20
02
-3
20
03
-1
20
03
-3
20
04
-1
20
04
-3
20
05
-1
20
05
-3
0
NAREIT 100
NPI 100
Pure-Play vs.NPI (Base Value 100 in 1994-4)
Cumulative Return (After Adjustment)
Industrial 1995-1 ~ 2005-4
600
500
400
300
200
100
19
95
-1
19
95
-3
19
96
-1
19
96
-3
19
97
-1
19
97
-3
19
98
-1
19
98
-3
19
99
-1
19
99
-3
20
00
-1
20
00
-3
20
01
-1
20
01
-3
20
02
-1
20
02
-3
20
03
-1
20
03
-3
20
04
-1
20
04
-3
20
05
-1
20
05
-3
0
PurePlay 100
NPI 100
32
NAREIT vs. TBI (Base Value 100 in 1994-4)
Cumulative Return (Before Adjustment)
Industrial 1995-1 ~ 2005-4
600
500
400
300
200
100
19
95
-1
19
95
-3
19
96
-1
19
96
-3
19
97
-1
19
97
-3
19
98
-1
19
98
-3
19
99
-1
19
99
-3
20
00
-1
20
00
-3
20
01
-1
20
01
-3
20
02
-1
20
02
-3
20
03
-1
20
03
-3
20
04
-1
20
04
-3
20
05
-1
20
05
-3
0
NAREIT 100
TBI 100
Pure-Play vs. TBI (Base Value 100 in 1994-4)
Cumulative Return (After Adjustment)
Industrial 1995-1 ~ 2005-4
600
500
400
300
200
100
19
95
-1
19
95
-3
19
96
-1
19
96
-3
19
97
-1
19
97
-3
19
98
-1
19
98
-3
19
99
-1
19
99
-3
20
00
-1
20
00
-3
20
01
-1
20
01
-3
20
02
-1
20
02
-3
20
03
-1
20
03
-3
20
04
-1
20
04
-3
20
05
-1
20
05
-3
0
PurePlay 100
TBI 100
33
Table 7. Industrial Sector Return Performance Comparisons Data
YEAR
1995-1
1995-2
1995-3
1995-4
1996-1
1996-2
1996-3
1996-4
1997-1
1997-2
1997-3
1997-4
1998-1
1998-2
1998-3
1998-4
1999-1
1999-2
1999-3
1999-4
2000-1
2000-2
2000-3
2000-4
2001-1
2001-2
2001-3
2001-4
2002-1
2002-2
2002-3
2002-4
2003-1
2003-2
2003-3
2003-4
2004-1
2004-2
2004-3
2004-4
2005-1
2005-2
2005-3
2005-4
Average
STDEV
NAREIT
-1.38%
5.43%
1.98%
9.59%
2.09%
4.53%
7.64%
19.47%
-0.23%
1.89%
11.13%
5.36%
0.58%
-3.35%
-3.48%
-5.93%
-2.25%
10.71%
-6.94%
3.17%
3.02%
11.92%
9.48%
1.89%
-4.32%
9.45%
-4.13%
7.00%
9.56%
10.21%
-3.27%
0.45%
2.66%
7.48%
10.68%
9.02%
12.41%
-5.47%
7.40%
17.50%
-11.74%
12.26%
7.40%
6.99%
4.05%
6.82%
Industrial
NPI
Diff.
3.05% -4.43%
3.03% 2.40%
2.93% -0.95%
2.76% 6.83%
3.17% -1.08%
2.68% 1.85%
3.74% 3.90%
3.33% 16.14%
3.11% -3.34%
3.68% -1.79%
4.40% 6.73%
3.84% 1.52%
3.71% -3.13%
4.65% -8.00%
3.68% -7.16%
2.98% -8.91%
2.56% -4.81%
2.84% 7.87%
2.96% -9.90%
2.83% 0.34%
2.47% 0.55%
3.63% 8.29%
3.46% 6.02%
3.83% -1.94%
2.59% -6.91%
3.37% 6.08%
2.03% -6.16%
1.18% 5.82%
1.89% 7.67%
1.25% 8.96%
1.87% -5.14%
1.76% -1.31%
2.07% 0.59%
1.32% 6.16%
2.26% 8.42%
2.40% 6.62%
2.41% 10.00%
2.74% -8.21%
2.76% 4.64%
3.72% 13.78%
2.83% -14.57%
7.28% 4.98%
3.99% 3.41%
4.91% 2.08%
3.04%
1.07%
1.01%
5.75%
Pure-Play
9.05%
8.34%
10.21%
-0.20%
-1.19%
3.65%
8.45%
17.83%
4.00%
5.90%
15.64%
4.16%
-3.36%
-5.32%
-6.18%
0.47%
-1.45%
9.94%
-6.06%
-0.09%
1.64%
14.19%
9.05%
4.43%
-2.91%
7.90%
1.92%
1.25%
5.74%
4.93%
-4.01%
-0.12%
0.64%
15.07%
4.32%
8.82%
10.41%
-6.21%
9.40%
10.76%
-4.69%
12.70%
4.16%
1.87%
Industrial
NPI
2.79%
2.77%
2.67%
2.51%
2.92%
2.43%
3.49%
3.07%
2.85%
3.43%
4.15%
3.60%
3.47%
4.41%
3.44%
2.75%
2.32%
2.60%
2.71%
2.57%
2.21%
3.36%
3.19%
3.57%
2.32%
3.10%
1.75%
0.91%
1.62%
0.98%
1.59%
1.49%
1.80%
1.04%
1.99%
2.13%
2.14%
2.47%
2.49%
3.45%
2.57%
7.02%
3.72%
4.64%
Diff.
6.26%
5.57%
7.54%
-2.71%
-4.11%
1.22%
4.97%
14.76%
1.15%
2.47%
11.48%
0.56%
-6.83%
-9.73%
-9.62%
-2.27%
-3.77%
7.33%
-8.77%
-2.67%
-0.58%
10.83%
5.85%
0.87%
-5.24%
4.80%
0.17%
0.34%
4.12%
3.96%
-5.60%
-1.61%
-1.15%
14.03%
2.33%
6.69%
8.26%
-8.68%
6.91%
7.31%
-7.25%
5.69%
0.44%
-2.77%
4.02%
6.37%
2.78%
1.08%
1.24%
5.29%
Industrial
NAREIT TBI
Diff.
-1.38% 3.95% -5.33%
5.43% 4.61% 0.81%
1.98% 1.67% 0.31%
9.59% 6.43% 3.17%
2.09% 0.21% 1.88%
4.53% 0.95% 3.58%
7.64% 7.23% 0.40%
19.47% 0.37% 19.11%
-0.23% 5.52% -5.76%
1.89% 6.58% -4.69%
11.13% 6.31% 4.82%
5.36% 10.07% -4.71%
0.58% -6.07% 6.64%
-3.35% 9.45% -12.80%
-3.48% 3.12% -6.60%
-5.93% -3.51% -2.42%
-2.25% 5.59% -7.84%
10.71% 0.44% 10.27%
-6.94% 5.12% -12.06%
3.17% -2.97% 6.14%
3.02% 3.47% -0.45%
11.92% 7.14% 4.79%
9.48% 6.79% 2.69%
1.89% 0.64% 1.25%
-4.32% 4.06% -8.39%
9.45% 3.86% 5.59%
-4.13% 0.26% -4.40%
7.00% -1.52% 8.53%
9.56% -2.68% 12.24%
10.21% 3.24% 6.97%
-3.27% 4.22% -7.49%
0.45% 5.54% -5.09%
2.66% -3.31% 5.97%
7.48% 7.71% -0.23%
10.68% 7.98% 2.70%
9.02% 2.52% 6.51%
12.41% 3.48% 8.93%
-5.47% 6.14% -11.60%
7.40% -0.39% 7.79%
17.50% 2.47% 15.03%
-11.74% -1.59% -10.15%
12.26% 26.01% -13.75%
7.40% 2.28% 5.12%
6.99% 0.03% 6.96%
4.05%
6.82%
3.37%
5.10%
0.68%
1.72%
Industrial
Pure-Play TBI
Diff.
9.05% 3.69% 5.36%
8.34% 4.36% 3.99%
10.21% 1.41% 8.80%
-0.20% 6.17% -6.38%
-1.19% -0.04% -1.15%
3.65% 0.69% 2.96%
8.45% 6.98% 1.47%
17.83% 0.11% 17.73%
4.00% 5.26% -1.26%
5.90% 6.33% -0.43%
15.64% 6.07% 9.57%
4.16% 9.83% -5.67%
-3.36% -6.31% 2.95%
-5.32% 9.21% -14.53%
-6.18% 2.88% -9.06%
0.47% -3.75% 4.22%
-1.45% 5.34% -6.80%
9.94% 0.20% 9.74%
-6.06% 4.86% -10.93%
-0.09% -3.23% 3.13%
1.64% 3.21% -1.58%
14.19% 6.87% 7.33%
9.05% 6.52% 2.53%
4.43% 0.38% 4.05%
-2.91% 3.80% -6.71%
7.90% 3.59% 4.31%
1.92% -0.01% 1.93%
1.25% -1.80% 3.04%
5.74% -2.95% 8.69%
4.93% 2.97% 1.97%
-4.01% 3.94% -7.95%
-0.12% 5.27% -5.39%
0.64% -3.59% 4.23%
15.07% 7.43% 7.64%
4.32% 7.71% -3.39%
8.82% 2.25% 6.57%
10.41% 3.21% 7.20%
-6.21% 5.86% -12.07%
9.40% -0.67% 10.06%
10.76% 2.20% 8.56%
-4.69% -1.85% -2.83%
12.70% 25.75% -13.05%
4.16% 2.01% 2.15%
1.87% -0.23% 2.11%
4.02%
6.37%
3.11%
5.10%
0.91%
1.27%
*Asset Management Fee Deducted fromNPI
** Index Fund Expenses are Deducted fromNAREIT index
34
4.3 Summary of the Adjustment Effect by Property Sector
Pure-Play Index versus NPI
The creation of an adjusted ‘Pure-Play’ index and comparisons were performed in an effort
to adjust the characteristics of the public real estate market return performance index
according to characteristics of NCREIF index. The ‘Pure-Play Portfolio’ methodology
adjusts using the leverage effect of REIT performances and measures isolated
performance in four property type sectors without direct exposure to the other sectors.
Overall, the result of the ‘Pure-Play’ adjustment minimized the difference between public
and private market performances but effectiveness varies among the results. One
explanation for this result may be that the sample sector performed extremely poorly
during the sample period removing leverage effect and increases in return performances.
Also, due to definition of NAREIT sector index, there may have been other sector
performances included in the index reflecting idiosyncratic risks. Although the difference
increased after adjustment for the fees and expenses, the resultant value should reflect
more accurate comparisons between private and public markets as deducting those fees
and expenses adjust for the actual characteristics of both markets.
Table 8. Summary Table by Sectors –Comparison with NPI
Summary of Pure-Play Effect by Property Sector
Adjustments
Before
After Pure-Play
After Asset Management Fee
After REIT Index Inv. Cost
Adjustments
Before
After Pure-Play
After Asset Management Fee
After REIT Index Inv. Cost
Retail
Difference
Avg. Return (95 -05)
REIT
NPI
Value
4.14%
2.77%
1.37%
3.35%
2.77%
0.58%
3.35%
2.51%
0.84%
3.28%
2.51%
0.77%
Apartment
Difference
Avg. Return (95-05)
REIT
NPI
Value
3.50%
2.95%
0.55%
2.90%
2.95%
-0.05%
2.90%
2.69%
0.21%
2.83%
2.69%
0.14%
Office
Avg. Return (95 -05)
Difference
REIT
NPI
Value
4.13%
2.83%
1.30%
3.23%
2.83%
0.40%
3.23%
2.57%
0.67%
3.16%
2.57%
0.60%
Industrial
Avg. Return (95-05)
Difference
REIT
NPI
Value
4.05%
3.04%
1.01%
4.09%
3.04%
1.05%
4.09%
2.78%
1.31%
4.02%
2.78%
1.24%
35
Pure-Play Index versus TBI
Compared to the Transaction-Based Index (TBI), the Pure-Play Index reveals smaller
differences between the two markets than the differences reflected when compared with
NPI, and the standard deviation in TBI is less. The result indicates that TBI is more
accurate than NPI in terms of its proximity to public real estate market performance. One
interpretation of the result is that TBI tracks movement of the public market more closely
by including only properties where the transactions were actually incurred.
Table 9. Summary Table by Sectors (TBI)
Summary of Pure-Play Effect by Property Sector
Adjustments
Before
After Pure-Play
After Asset Management Fee
After REIT Index Inv. Cost
Adjustments
Before
After Pure-Play
After Asset Management Fee
After REIT Index Inv. Cost
Retail
Difference
Avg. Return (95 -05)
REIT
TBI
Value
4.14%
3.49%
0.65%
3.35%
3.49%
-0.14%
3.35%
3.23%
0.12%
3.28%
3.23%
0.05%
Apartment
Difference
Avg. Return (95-05)
REIT
TBI
Value
3.50%
3.44%
0.06%
2.90%
3.44%
-0.54%
2.90%
3.18%
-0.28%
2.83%
3.18%
-0.35%
Office
Avg. Return (95 -05)
Difference
REIT
TBI
Value
4.13%
3.43%
0.70%
3.23%
3.43%
-0.19%
3.23%
3.16%
0.07%
3.16%
3.16%
0.00%
Industrial
Avg. Return (95-05)
Difference
REIT
TBI
Value
4.05%
3.37%
0.68%
4.09%
3.37%
0.72%
4.09%
3.11%
0.98%
4.02%
3.11%
0.91%
36
CHAPTER 5
Overall Comparisons
5.1 Aggregate Return Performance Comparisons
Public Market Representatives: NAREIT Index and Pure-Play Index.
Private Market Representatives: NPI versus TBI
To assess the adjustment effects on the aggregate return performances of the public and
private markets, NAREIT and Pure-Play return indexes by property type were aggregated
according to sector weights in the NCREIF index using a weighted average calculation.
Overall, the results were as expected. The historical performances of the public and
private markets are more similar after the adjustments. After the sector adjustment,
NAREIT returns increased from 1.72% to 4.14% (weighted average return by sector
weights in NPI) then after ‘Pure-Play Portfolio’ methodology was implemented and the
difference between the public and private markets performance decreased from 1.33% to
0.54% (NPI) and from 0.78% to - 0.02%(TBI). The decreased differences indicate that the
adjustments made in this thesis minimize the difference between public and private market
performance valuation as expected.
The difference is significantly less when the Pure-Play Index is compared to TBI than
when compared to NPI. Consequently, TBI seems to be more accurate than NPI in terms
of its proximity to public market performance.
Table 10. Summary Table – Aggregate Analysis, Quarterly Return
Summary of Pure-Play Effect by Property Sector
Adjustments
Before
After Sector Adjustments
After Pure-Play
After Asset Management Fee
After REIT Index Inv. Cost
Aggregate
Difference
Avg. Return (95 -05)
TBI
NAREIT
NPI
REIT - NPI REIT-TBI
1.72%
2.81%
3.36%
-1.08%
-1.64%
4.14%
2.81%
3.36%
1.33%
0.78%
3.35%
2.81%
3.36%
0.54%
-0.02%
3.35%
2.54%
3.10%
0.81%
0.25%
3.28%
2.54%
3.10%
0.74%
0.18%
37
Figure 8. Aggregate Return Performance Comparisons – Plots
NAREIT vs. NPI vs. TBI (Base Value 100 in 1994-4)
Aggregate Cumulative Return (Before Adjustment)
1995-1 ~ 2005-4
600
500
400
300
200
100
19
95
-2
19
95
-4
19
96
-2
19
96
-4
19
97
-2
19
97
-4
19
98
-2
19
98
-4
19
99
-2
19
99
-4
20
00
-2
20
00
-4
20
01
-2
20
01
-4
20
02
-2
20
02
-4
20
03
-2
20
03
-4
20
04
-2
20
04
-4
20
05
-2
20
05
-4
0
REIT Index NAREIT
REIT Index NPI
REIT Index TBI
Pure-Play vs. NPI vs. TBI (Base Value 100 in 1994-4)
Aggregate Cumulative Return (After Adjustment)
1995-1 ~ 2005-4
600
500
400
300
200
100
19
95
-2
19
95
-4
19
96
-2
19
96
-4
19
97
-2
19
97
-4
19
98
-2
19
98
-4
19
99
-2
19
99
-4
20
00
-2
20
00
-4
20
01
-2
20
01
-4
20
02
-2
20
02
-4
20
03
-2
20
03
-4
20
04
-2
20
04
-4
20
05
-2
20
05
-4
0
REIT Index PurePlay
REIT Index NPI
REIT Index TBI
38
Table 11. Aggregate Return Performance Comparisons Data
YEAR
NAREIT Equity NAREIT
-2.12%
-0.55%
3.81%
6.68%
2.69%
4.17%
2.13%
6.39%
1.07%
2.90%
2.47%
5.67%
4.65%
7.66%
16.58%
19.24%
-0.80%
0.47%
3.32%
4.66%
10.38%
13.01%
0.17%
1.97%
-1.76%
0.41%
-5.99%
-3.87%
-12.01%
-7.84%
-4.43%
-0.62%
-6.56%
-3.03%
8.11%
11.03%
-10.01%
-7.25%
-3.44%
1.00%
0.45%
3.62%
8.44%
10.24%
5.67%
9.88%
1.22%
3.61%
-1.29%
-1.84%
9.08%
11.00%
-4.45%
-0.59%
2.89%
3.65%
6.57%
6.69%
3.30%
5.44%
-10.59%
-8.30%
-1.57%
-0.07%
-1.09%
2.56%
11.27%
11.09%
7.78%
8.81%
8.31%
8.63%
10.56%
10.90%
-7.16%
-4.98%
6.82%
8.05%
13.41%
15.46%
-8.13%
-7.12%
13.08%
14.38%
2.49%
4.27%
0.19%
2.48%
2.81%
1.07%
NPI
2.12%
2.04%
2.03%
1.01%
2.38%
2.22%
2.46%
2.59%
2.31%
2.79%
3.38%
4.62%
4.10%
4.20%
3.48%
3.57%
2.60%
2.62%
2.80%
2.88%
2.42%
3.08%
2.95%
3.38%
2.39%
2.48%
1.68%
0.75%
1.51%
1.63%
1.77%
1.71%
1.95%
2.10%
1.98%
2.93%
2.61%
3.17%
3.49%
4.67%
3.53%
5.34%
4.49%
5.47%
3.36%
2.73%
TBI
0.80%
2.70%
3.95%
1.15%
0.32%
4.71%
3.17%
3.35%
4.97%
5.48%
7.85%
7.31%
3.79%
3.64%
1.00%
2.37%
2.77%
1.29%
1.53%
0.99%
1.52%
3.48%
3.73%
0.25%
2.07%
3.44%
1.34%
-0.46%
2.94%
0.59%
5.64%
3.41%
0.55%
3.75%
2.30%
3.36%
2.85%
6.42%
2.71%
4.14%
3.12%
15.12%
8.02%
6.08%
1.72%
6.80%
3.89%
6.49%
Aggregate Returns Before Adjustments
1995-1
1995-2
1995-3
1995-4
1996-1
1996-2
1996-3
1996-4
1997-1
1997-2
1997-3
1997-4
1998-1
1998-2
1998-3
1998-4
1999-1
1999-2
1999-3
1999-4
2000-1
2000-2
2000-3
2000-4
2001-1
2001-2
2001-3
2001-4
2002-1
2002-2
2002-3
2002-4
2003-1
2003-2
2003-3
2003-4
2004-1
2004-2
2004-3
2004-4
2005-1
2005-2
2005-3
2005-4
Average
STDEV
-0.56%
Difference
NAREIT-NPI NAREIT - TBI
-2.67%
-1.35%
4.64%
3.97%
2.14%
0.22%
5.38%
5.24%
0.52%
2.59%
3.45%
0.96%
5.20%
4.48%
16.65%
15.89%
-1.84%
-4.50%
1.87%
-0.83%
9.63%
5.16%
-2.65%
-5.34%
-3.69%
-3.38%
-8.07%
-7.50%
-11.32%
-8.83%
-4.19%
-2.99%
-5.63%
-5.80%
8.41%
9.74%
-10.05%
-8.78%
-1.88%
0.00%
1.20%
2.10%
7.16%
6.76%
6.93%
6.15%
0.23%
3.36%
-4.23%
-3.92%
8.52%
7.55%
-2.27%
-1.93%
2.90%
4.12%
5.18%
3.75%
3.81%
4.85%
-10.07%
-13.94%
-1.78%
-3.48%
0.61%
2.01%
8.99%
7.35%
6.83%
6.51%
5.70%
5.27%
8.29%
8.05%
-8.15%
-11.40%
4.56%
5.34%
10.79%
11.33%
-10.65%
-10.25%
9.04%
-0.74%
-0.22%
-3.75%
-2.99%
-3.60%
1.09%
Net Pure-Play
1.66%
5.74%
4.49%
4.00%
-0.02%
3.23%
5.35%
14.08%
1.88%
3.40%
8.66%
3.58%
0.71%
-1.44%
-4.28%
1.00%
-2.99%
7.26%
-3.93%
1.03%
3.15%
7.21%
5.15%
5.77%
0.88%
5.05%
1.60%
2.53%
4.51%
5.98%
-0.12%
0.78%
2.19%
8.03%
4.91%
5.31%
9.18%
-4.59%
5.29%
8.77%
-4.67%
9.98%
2.21%
1.85%
2.54%
1.07%
Net NPI
1.86%
1.78%
1.77%
0.76%
2.13%
1.97%
2.21%
2.33%
2.05%
2.54%
3.13%
4.38%
3.86%
3.96%
3.24%
3.34%
2.36%
2.38%
2.55%
2.62%
2.16%
2.81%
2.68%
3.12%
2.12%
2.21%
1.40%
0.48%
1.24%
1.36%
1.49%
1.44%
1.68%
1.82%
1.71%
2.66%
2.34%
2.90%
3.22%
4.40%
3.27%
5.08%
4.22%
5.20%
3.10%
2.73%
0.66%
0.10%
Difference
Net TBI
PurePlay-NPI PurePlay - TBI
0.54%
-0.20%
1.12%
2.45%
3.96%
3.30%
3.69%
2.73%
0.80%
0.89%
3.25%
3.11%
0.07%
-2.15%
-0.09%
4.46%
1.26%
-1.23%
2.92%
3.14%
2.43%
3.09%
11.74%
10.98%
4.71%
-0.17%
-2.83%
5.23%
0.86%
-1.83%
7.60%
5.52%
1.06%
7.07%
-0.80%
-3.49%
3.54%
-3.15%
-2.84%
3.40%
-5.40%
-4.83%
0.75%
-7.52%
-5.03%
2.14%
-2.34%
-1.14%
2.52%
-5.34%
-5.51%
1.06%
4.88%
6.20%
1.28%
-6.48%
-5.21%
0.74%
-1.60%
0.29%
1.26%
0.99%
1.89%
3.21%
4.40%
4.00%
3.46%
2.46%
1.68%
-0.01%
2.65%
5.78%
1.81%
-1.24%
-0.92%
3.17%
2.84%
1.88%
1.06%
0.20%
0.54%
-0.74%
2.05%
3.27%
2.67%
3.27%
1.83%
0.32%
4.62%
5.66%
5.36%
-1.62%
-5.49%
3.14%
-0.65%
-2.35%
0.27%
0.51%
1.91%
3.47%
6.20%
4.56%
2.03%
3.20%
2.88%
3.09%
2.65%
2.22%
2.58%
6.84%
6.60%
6.14%
-7.48%
-10.73%
2.43%
2.08%
2.86%
3.87%
4.36%
4.90%
2.86%
-7.93%
-7.53%
14.86%
4.90%
-4.88%
7.75%
-2.01%
-5.54%
5.81%
-3.35%
-3.96%
Aggregate Returns After Adjustments
3.20%
4.07%
NFI-ODCE
Asset Mgt. Fees
Ratio
0.26%
0.26%
0.26%
0.25%
0.25%
0.25%
0.25%
0.26%
0.26%
0.25%
0.25%
0.24%
0.24%
0.24%
0.24%
0.23%
0.24%
0.24%
0.25%
0.26%
0.26%
0.27%
0.27%
0.26%
0.27%
0.27%
0.28%
0.27%
0.27%
0.27%
0.28%
0.27%
0.27%
0.28%
0.27%
0.27%
0.27%
0.27%
0.27%
0.27%
0.26%
0.26%
0.27%
0.27%
0.25%
0.01%
39
CHAPTER 6
Conclusion
The purpose in the creation of the thesis index was to assimilate the advantageous
characteristics of public real estate investment valuation to the private real estate market
using NPI and TBI. The goal was to conduct apple-to-apple comparisons between the
performances of public and private real estate investments. Thus, the difference between
the initial NAREIT index and NPI(TBI) were measured to assess the effect of the
adjustments conducted in this thesis. It was expected that the initial index comparison
would reveal some deviation due to the different characteristics of each market, followed
by a comparison between the Pure-Play Portfolio index and NPI(TBI) to evaluate the
efficacy of the adjustments made in the creation of the new index.
Property type sectors defined in NCREIF; ‘Retail’, ‘Apartment’, ‘Office’ and ‘Industry’
should represent different characteristics and risks with regards to cash flows because
these property types contain different lease terms, capital improvements, types and credits
of tenants due to nature of the market and its underlying assets . To isolate returns in each
sector, the ‘Pure-Play Portfolio’ methodology was performed to measure performance in
the four property type sectors without direct exposure to the other sectors. Though
NAREIT provides the property type sector index, it lacks ‘Pure-Play’ as it defines the core
sector index as the performance of REITs that maintain a minimum of 75% of their asset
value in one property type. De-leveraging in ‘Pure-Play Portfolio’ Methodology was
performed with the value weights obtained from the calculation using the WACC formula.
Fees and expenses associated with the investment type represented significant
differences in the in the two indices. Due to the different structure of publicly held asset
management and privately held assets, NAREIT returns and NCREIF returns reflected
performances associated with the different types and amounts of fees. To adjust for the
fees associated with internally managed REITs, the Vanguard REIT Index Fund Expenses
from 1995 -2005 were deducted from Pure-Play returns. NFI-ODCE asset management
fees from NCREIF were deducted from both NPI and TBI as a proxy for private market
asset management fees.
40
First, the thesis index was compared in each sector to assess the efficacy of the
adjustments made during the study of this thesis. Then, aggregate NAREIT and Pure-Play
performance were compared to NPI and TBI based on NCREIF sector weights to assess
the overall adjustment effect.
Overall results were as expected in both analyses by the sectors and at the aggregate
level. At the aggregate level, the difference between the historical performance of the
public and private markets is minimized after the adjustments. After sector adjustments,
NAREIT returns increase from 1.72% to 4.14%.
Then, after the ‘Pure-Play Portfolio’
methodology was implemented, the difference between public and private market
performances decreased from 1.33% to 0.54% (NPI) and from 0.78% to 0.02%(TBI). The
decreased differences indicate that the adjustments made in this thesis reduce public and
private market return performance differences as expected. The difference increases after
adjustment for the fees and expenses, the resultant value should reflect more accurate
comparisons between private and public markets as deducting those fees and expenses
adjust for the actual characteristics of both markets.
The difference between the performance of public and private markets is significantly less
when the Pure-Play Index was compared to TBI than when compared to NPI. In terms of
mean return and volatility, TBI consistently illustrated closer performance with adjusted
REIT index. Thus, TBI should have advantage over NPI in terms of its proximity to public
market performance.
41
7. BIBLIOGRAPHY
D. Geltner and B. Kluger. 1998. REIT-Based Pure-Play Portfolios: The Case of Property
Types. Real Estate Economics 26(4): 581-612.
D. Geltner, N. Miller, J. Clayton, and P. Eichhotlz. 2007. Commercial Real Estate: Analysis
& Investments. Thompson South-Western: 585-626.
R. Brealey, S. Myers, F. Allen. 2006. Principles of Corporate Finance. McGraw-Hill Irwin
T. Riddiough, M. Moriarty, and P. Yeatman. 2005. Privately versus Publicly Held Asset
Investment Performance. Real Estate Economics 33(1): 121-146.
M. Moriarty and P. Yeatman. 1999. A Risk-Adjusted Performance History of Public and
Private Market Real Estate Investment 1978 – 1997. Thesis. Massachusetts Institute of
Technology.
E. Kim. 2004. REIT-Based Pure-Play Portfolios: The Case of Property Types and
Geographic Locatopns. Thesis. Massachusetts Institute of Technology.
D. Geltner, J. Fisher, and H. Pollakowski. 2006. A Quarterly Transactions-Based Index
(TBI) of Institutional Real Estate Investment Performance and Movements in Supply and
Demand. Website of MIT Center for Real Estate - http://web.mit.edu/cre/research/credl/tbi.html
J. Pagliari, K. Scherer, and R. Monopoli. 2005. Public versus Private Real Estate Equities:
A More Refined, Long-Term Comparison. Real Estate Economics 33(1): 147-187.
D. Geltner and R. Barkham. 1995. Price Discovery in American and British Property
Markets. Real Estate Economics 23(1): 21-44.
M. Giliberto and A. Mengden. 1996. REITs and Real Estate: Two Markets Reexamined.
Real Estate Finance 13(1): 56-60.
M. Shiler, J. Webb, and N. Myer. 1999. Are REITs Real Estate? Journal of Real Estate
Portfolio Management 5(2): 171-181.
D. Geltner and D. Gatzlaff. 1998. A Transaction-Based Index of Commercial Property and
Its Comparison to the NCREIF Index. Real Estate Finance 15(1): 7-22
D. Downs and B. Slade. 1999. Characteristics of a Full-Disclosure, Transaction-Based
Index of Commercial Real Estate. Journal of Real Estate Portfolio Management 5(1): 95104.
42
APPENDIX
Company Ticker Symbols included in Pure-Play Portfolio
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
1987
Fullname
American Industrial Properties REIT
Bedford Property Investors, Inc.
Bradley Real Estate Trust
BRE Properties, Inc.
Chicago Dock and Canal Trust, The
Commercial Net Lease Realty, Inc.
EQK Realty Investors I
Federal Realty Investment Trust
First Union Real Estate Investments
HRE Properties
IRT Property Company
New Plan Realty Trust
Property Capital Trust
Prudential Realty Trust
Security Capital Pacific Trust
United Dominion Realty Trust, Inc.
Washington Real Estate Investment Trust
Weingarten Realty Investors
Wespac Investors Trust
Western Investment Real Estate Trust
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
1989
Fullname
American Industrial Properties REIT
Bedford Property Investors, Inc.
Bradley Real Estate Trust
Brandywine Realty Trust
BRE Properties, Inc.
Burnham Pacific Properties, Inc.
Commercial Net Lease Realty, Inc.
Federal Realty Investment Trust
First Union Real Estate Investments
HRE Properties (URSTADT BIDDLE PROPERTIES)
IRT Property Company
JMB Realty Trust
Koger Equities, Inc.
Landsing Pacific Fund, Inc.
Meridian Point Realty Trust VII Co.
MGI Properties
Mid-America Realty Investments, Inc.
MIP Properties, Inc.
MSA Realty Trust
New Plan Realty Trust
One Liberty Properties, Inc.
Pennsylvania Real Estate Investment Trust
Prudential Realty Trust
Real Estate Investment Trust of California
Santa Anita Realty Enterprises, Inc.(Meditrust)
Sierra Real Estate Equity Trust '84
Sizeler Property Investors, Inc.
Storage Equities, Inc.
United Dominion Realty Trust, Inc.
USP Real Estate Investment Trust
Washington Real Estate Investment Trust
Weingarten Realty Investors
Western Investment Real Estate Trust
Ticker
IND
BED
BTR
BRE
DOCKS
NNN
EQKR
FRT
FUR
UBA
IRT
NXL
PCT910
PRT.1
ASN
UDR
WRE
WRI
WPAC
WIR.
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
1988
Fullname
Bedford Property Investors, Inc.
Bradley Real Estate Trust
BRE Properties, Inc.
Burnham Pacific Properties, Inc.
Commercial Net Lease Realty, Inc.
EQK Realty Investors I
Federal Realty Investment Trust
First Union Real Estate Investments
HRE Properties (URSTADT BIDDLE PROPERTIES)
IRT Property Company
Meridian Point Realty Trust VI Co.
Mid-America Realty Investments, Inc.
New Plan Realty Trust
Property Capital Trust
Prudential Realty Trust
Security Capital Pacific Trust (Archstone)
Sizeler Property Investors, Inc.
United Dominion Realty Trust, Inc.
Washington Real Estate Investment Trust
Weingarten Realty Investors
Western Investment Real Estate Trust
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
1990
Fullname
American Industrial Properties REIT
Bedford Property Investors, Inc.
Bradley Real Estate Trust
Brandywine Realty Trust
BRE Properties, Inc.
Burnham Pacific Properties, Inc.
Commercial Net Lease Realty, Inc.
Continental Mortgage & Equity Trust
Copley Properties, Inc.
Cousins Properties Incorporated
EQK Realty Investors I
Federal Realty Investment Trust
First Union Real Estate Investments
HRE Properties (URSTADT BIDDLE PROPERTIES)
IRT Property Company
Koger Equities, Inc.
Landsing Pacific Fund, Inc.
Meridian Point Realty Trust IV Co.
Meridian Point Realty Trust VI Co.
Meridian Point Realty Trust VII Co.
MGI Properties
Mid-America Realty Investments, Inc.
MIP Properties, Inc.
MSA Realty Trust
National Income Realty Trust
New Plan Realty Trust
One Liberty Properties, Inc.
Parkway Texas Corporation
Pennsylvania Real Estate Investment Trust
Property Capital Trust
Prudential Realty Trust
Real Estate Investment Trust of California
Santa Anita Realty Enterprises, Inc.(Meditrust)
Security Capital Pacific Trust (Archstone)
Sierra Real Estate Equity Trust '84
Sizeler Property Investors, Inc.
Storage Equities, Inc.
United Dominion Realty Trust, Inc.
USP Real Estate Investment Trust
Washington Real Estate Investment Trust
Weingarten Realty Investors
Western Investment Real Estate Trust
Wetterau Properties Inc.
Ticker
IND
BED
BTR
BDN
BRE
3BPPNZ
NNN
FRT
FUR
UBA
IRT
JMBRS
KOG.1
LPF
MPG.1
MGI.4
MDI
MIP.
SSS.4
NXL
OLP
PEI
PRT.1
RCT.
MT.1
3SETC.
SIZ
PSA
UDR
USPTS
WRE
WRI
WIR.
Ticker
BED
BTR
BRE
3BPPNZ
NNN
EQKR
FRT
FUR
UBA
IRT
MPF.1
MDI
NXL
PCT910
PRT.1
ASN
SIZ
UDR
WRE
WRI
WIR.
Ticker
IND
BED
BTR
BDN
BRE
3BPPNZ
NNN
CMETS
COP.1
CUZ
EQKR
FRT
FUR
UBA
IRT
KOG.1
LPF
MPD
MPF.1
MPG.1
MGI.4
MDI
MIP.
SSS.4
NIRTS
NXL
OLP
PKY
PEI
PCT910
PRT.1
RCT.
MT.1
ASN
3SETC.
SIZ
PSA
UDR
USPTS
WRE
WRI
WIR.
9093B
43
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
1991
Fullname
Bedford Property Investors, Inc.
Bradley Real Estate Trust
Brandywine Realty Trust
BRE Properties, Inc.
Burnham Pacific Properties, Inc.
Commercial Net Lease Realty, Inc.
Copley Properties, Inc.
Cousins Properties Incorporated
Duke Realty Investments, Inc.
EastGroup Properties
EQK Realty Investors I
Federal Realty Investment Trust
First Union Real Estate Investments
HRE Properties (URSTADT BIDDLE PROPERTIES)
IRT Property Company
Koger Equities, Inc.
Landsing Pacific Fund, Inc.
Meridian Point Realty Trust IV Co.
Meridian Point Realty Trust VI Co.
Meridian Point Realty Trust VII Co.
Meridian Point Realty Trust VIII Co.
MGI Properties
MSA Realty Trust
New Plan Realty Trust
One Liberty Properties, Inc.
Pennsylvania Real Estate Investment Trust
Property Capital Trust
Prudential Realty Trust
Real Estate Investment Trust of California
Santa Anita Realty Enterprises, Inc.(Meditrust)
Security Capital Pacific Trust (Archstone)
Sierra Real Estate Equity Trust '84
Sizeler Property Investors, Inc.
United Dominion Realty Trust, Inc.
Washington Real Estate Investment Trust
Weingarten Realty Investors
Western Investment Real Estate Trust
Wetterau Properties Inc.
Ticker
BED
BTR
BDN
BRE
3BPPNZ
NNN
COP.1
CUZ
DRE
EGP
EQKR
FRT
FUR
UBA
IRT
KOG.1
LPF
MPD
MPF.1
MPG.1
MPH.1
MGI.4
SSS.4
NXL
OLP
PEI
PCT910
PRT.1
RCT.
MT.1
ASN
3SETC.
SIZ
UDR
WRE
WRI
WIR.
9093B
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
1992
Fullname
Burnham Pacific Properties, Inc.
Sierra Real Estate Equity Trust '84
Wetterau Properties Inc.
Security Capital Pacific Trust (Archstone)
Bedford Property Investors, Inc.
BRE Properties, Inc.
Berkshire Realty Co., Inc.
Bradley Real Estate Trust
Brandywine Realty Trust
Copley Properties, Inc.
Cousins Properties Incorporated
Duke Realty Investments, Inc.
EastGroup Properties
EQK Realty Investors I
EquiVest Inc.
Federal Realty Investment Trust
First Union Real Estate Investments
Income Opportunity Realty Trust
IRT Property Company
Kimco Realty Corporation
Koger Equities, Inc.
Landsing Pacific Fund, Inc.
Mid-America Realty Investments, Inc.
MGI Properties
Meridian Point Realty Trust IV Co.
Meridian Point Realty Trust VI Co.
Meridian Point Realty Trust VII Co.
Meridian Point Realty Trust VIII Co.
Merry Land & Investment Company, Inc.
Santa Anita Realty Enterprises, Inc.(Meditrust)
National Income Realty Trust
Commercial Net Lease Realty, Inc.
New Plan Realty Trust
One Liberty Properties, Inc.
Property Capital Trust
Pennsylvania Real Estate Investment Trust
Prudential Realty Trust
PS Business Parks, Inc.
Partners Preferred Yield, Inc.
Partners Preferred Yield III, Inc.
Partners Preferred Yield II, Inc.
Price REIT, Inc.
Sizeler Property Investors, Inc.
MSA Realty Trust
Transcontinental Realty Investors, Inc.
HRE Properties (URSTADT BIDDLE PROPERTIES)
United Dominion Realty Trust, Inc.
Vanguard Real Estate Fund II
Western Investment Real Estate Trust
Washington Real Estate Investment Trust
Weingarten Realty Investors
Ticker
3BPPNZ
3SETC.
9093B
ASN
BED
BRE
BRI.
BTR
BTR
COP.1
CUZ
DRE
EGP
EQKR
EVI.
FRT
FUR
IOT
IRT
KIM
KOG.1
LPF
MDI
MGI.4
MPD
MPF.1
MPG.1
MPH.1
MRY.1
MT.1
NIRTS
NNN
NXL
OLP
PCT910
PEI
PRT.1
PSB.
PYA.
PYB.
PYC.
RET.Z
SIZ
SSS.4
TCI
UBA
UDR
VRT.
WIR.
WRE
WRI
44
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
1993
Fullname
Berkshire Realty Co., Inc.
Bradley Real Estate Trust
Brandywine Realty Trust
BRE Properties, Inc.
Burnham Pacific Properties, Inc.
Commercial Net Lease Realty, Inc.
Copley Properties, Inc.
Cousins Properties Incorporated
EastGroup Properties
EQK Realty Investors I
Federal Realty Investment Trust
First Union Real Estate Investments
Income Opportunity Realty Trust
IRT Property Company
Kimco Realty Corporation
Koger Equities, Inc.
Kranzco Realty Trust
Meridian Point Realty Trust VIII Co.
Merry Land & Investment Company, Inc.
MGI Properties
Mid-America Realty Investments, Inc.
Monmouth Real Estate Investment Corp.
MSA Realty Trust
National Income Realty Trust
New Plan Realty Trust
One Liberty Properties, Inc.
Partners Preferred Yield II, Inc.
Partners Preferred Yield, Inc.
Pennsylvania Real Estate Investment Trust
Price REIT, Inc.
Property Capital Trust
Prudential Realty Trust
PS Business Parks, Inc.
Sizeler Property Investors, Inc.
South West Property Trust, Inc.
Taubman Centers, Inc.
United Dominion Realty Trust, Inc.
USP Real Estate Investment Trust
Vanguard Real Estate Fund II
Washington Real Estate Investment Trust
Weingarten Realty Investors
Wellsford Residential Property Trust, Inc.
Western Investment Real Estate Trust
Wetterau Properties Inc.
Ticker
BRI.
BTR
BDN
BRE
3BPPNZ
NNN
COP.1
CUZ
EGP
EQKR
FRT
FUR
IOT
IRT
KIM
KOG.1
KRT.1
MPH.1
MRY.1
MGI.4
MDI
MNRTA
SSS.4
NIRTS
NXL
OLP
PYC.
PYA.
PEI
RET.Z
PCT910
PRT.1
PSB.
SIZ
SWP
TCO
UDR
USPTS
VRT.
WRE
WRI
WRP
WIR.
9093B
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
1994
Fullname
Alexander Haagen Properties, Inc.
American Real Estate Investment Corporation
ASR Investments Corporation
Associated Estates Realty Corp.
Avalon Properties, Inc.
Banyan Strategic Realty Trust
Bedford Property Investors, Inc.
Berkshire Realty Company, Inc.
Brandywine Realty Trust
BRE Properties, Inc.
BRT Realty Trust
Burnham Pacific Properties, Inc.
Camden Property Trust
Carramerica Realty Corporation
CBL & Associates Properties, Inc.
CenterPoint Properties
Chateau Properties, Inc.
Colonial Properties Trust
Columbus Realty Trust
Commercial Net Lease Realty, Inc.
Continental Mortgage And Equity Trust
Cousins Properties Incorporated
Crown American Realty Trust
Developers Diversified Realty Corporation
Duke Realty Investments, Inc.
EastGroup Properties
EQK Realty Investors I
Equity Residential Properties Trust
Excel Realty Trust, Inc.
Federal Realty Investment Trust
First Union Real Estate Investments
G&L Realty Corp.
General Growth Properties, Inc.
Horizon Group, Inc.
HRE Properties (URSTADT BIDDLE PROPERTIES)
Income Opportunity Realty Trust
IRT Property Company
Irvine Apartment Communities
Kimco Realty Corporation
Koger Equity, Inc.
Kranzco Realty Trust, Inc.
Meridian Point Realty Trust VIII Co.
Merry Land & Investment Company, Inc.
MGI Properties
Mid-America Realty Investments, Inc.
Mid-Atlantic Realty Trust
Monmouth Real Estate Investment Corporation
National Income Realty Trust
New Plan Realty Trust
Oasis Residential, Inc.
Pennsylvania Real Estate Investment Trust
Post Properties, Inc.
Price REIT, Inc.
Property Capital Trust
Ramco-Gershenson Property Trust
Real Estate Investment Trust of California
Regency Realty Corporation
RFS Hotel Investors, Inc.
ROC Communities, Inc.
Saul Centers, Inc.
Security Capital Pacific Trust (Archstone)
Simon DeBartolo
Sizeler Property Investors, Inc.
South West Property Trust, Inc.
Spieker Properties, Inc.
Starwood Lodging Trust
Sun Communities, Inc.
Tanger Factory Outlet Centers, Inc.
Taubman Centers, Inc.
Town And Country Trust, The
Transcontinental Realty Investors, Inc.
Trinet Corporate Realty Trust, Inc.
United Dominion Realty Trust, Inc.
USP Real Estate Investment Trust
Vinland Property Trust
Vornado Realty Trust
Washington Real Estate Investment Trust
Weingarten Realty Investors
Western Investment Real Estate Trust
Ticker
ACH
ARL
ASR.
AEC
AVN.
BSRTZ
BED
BRI.
BTR
BRE
BRT
3BPPNZ
CPT
CRE
CBL
CNT
CPJ
CLP
CLB.1
NNN
CMETS
CUZ
CWN
DDR
DRE
EGP
EQKR
EQR
XEL.1
FRT
FUR
GLR
GGP
HGI
UBA
IOT
IRT
IAC
KIM
KOG.1
KRT.1
MPH.1
MRY.1
MGI.4
MDI
MRR
MNRTA
NIRTS
NXL
OAS
PEI
PPS
RET.Z
PCT910
RPT
RCT.
REG
RFS
ROC
BFS
ASN
SPG
SIZ
SWP
SPK
HOT
SUI
SKT
TCO
TCT
TCI
TRI.1
UDR
USPTS
TARR
VNO
WRE
WRI
WIR.
45
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
1995
Fullname
Agree Realty Corporation
Alexander Haagen Properties, Inc.
Ambassador Apartments, Inc.
American Real Estate Investment Corporation
Amli Residential Properties Trust
Apartment Investment And Management Company
Arbor Property Trust
ASR Investments Corporation
Associated Estates Realty Corp.
Avalon Properties, Inc.
Banyan Strategic Realty Trust
Bay Apartment Communities
Beacon Properties Corporation
Bedford Property Investors, Inc.
Berkshire Realty Company, Inc.
Brandywine Realty Trust
BRE Properties, Inc.
BRT Realty Trust
Burnham Pacific Properties, Inc.
Cali Realty Corporation
Camden Property Trust
Carramerica Realty Corporation
CBL & Associates Properties, Inc.
CenterPoint Properties
Chateau Properties, Inc.
Colonial Properties Trust
Columbus Realty Trust
Commercial Net Lease Realty, Inc.
Continental Mortgage And Equity Trust
Cousins Properties Incorporated
Crescent Real Estate Equities, Inc.
Crown American Realty Trust
Developers Diversified Realty Corporation
Duke Realty Investments, Inc.
EastGroup Properties
EQK Realty Investors I
Equity Inns, Inc.
Equity Residential Properties Trust
Essex Property Trust, Inc.
Evans Withycombe Residential, Inc.
Excel Realty Trust, Inc.
Federal Realty Investment Trust
Felcor Suite Hotels, Inc.
First Industrial Realty Trust, Inc.
First Union Real Estate Investments
Franklin Real Estate Income Fund
G&L Realty Corp.
Gables Residential Trust
General Growth Properties, Inc.
Glimcher Realty Trust
Highwoods Properties, Inc.
Home Properties Of New York, Inc.
Horizon Group, Inc.
HRE Properties (URSTADT BIDDLE PROPERTIES)
Innkeepers USA Trust
IRT Property Company
Irvine Apartment Communities
Jameson Inns, Inc.
JDN Realty Corporation
JP Realty, Inc.
Kimco Realty Corporation
Koger Equity, Inc.
Kranzco Realty Trust, Inc.
Liberty Property Trust
Macerich Company, The
Malan Realty Investors, Inc.
Meridian Point Realty Trust VIII Co.
Merry Land & Investment Company, Inc.
MGI Properties
Mid-America Apartment Communities, Inc.
Mid-America Realty Investments, Inc.
Mid-Atlantic Realty Trust
Mills Corporation, The
Monmouth Real Estate Investment Corporation
National Income Realty Trust
New Plan Realty Trust
Oasis Residential, Inc.
Pacific Gulf Properties Inc.
Paragon Group, Inc.
Pennsylvania Real Estate Investment Trust
Post Properties, Inc.
Price REIT, Inc.
Prime Retail, Inc.
Ticker
ADC
ACH
AAH
ARL
AML
AIV
ABR.1
ASR.
AEC
AVN.
BSRTZ
AVB
BCN
BED
BRI.
BTR
BRE
BRT
3BPPNZ
CLI
CPT
CRE
CBL
CNT
CPJ
CLP
CLB.1
NNN
CMETS
CUZ
CEI
CWN
DDR
DRE
EGP
EQKR
ENN
EQR
ESS
EWR
XEL.1
FRT
FCH
FR
FUR
FIN.1
GLR
GBP
GGP
GRT
HIW
HME
HGI
UBA
KPA
IRT
IAC
JAMS
JDN
JPR
KIM
KOG.1
KRT.1
LRY
MAC
MAL
MPH.1
MRY.1
MGI.4
MAA
MDI
MRR
MLS
MNRTA
NIRTS
NXL
OAS
PAG
PAO
PEI
PPS
RET.Z
3PMRE
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
1996
Fullname
Alexander Haagen Properties, Inc.
Ambassador Apartments, Inc.
American Real Estate Investment Corporation
Amli Residential Properties Trust
Apartment Investment And Management Company
Arbor Property Trust
ASR Investments Corporation
Associated Estates Realty Corp.
Avalon Properties, Inc.
Banyan Strategic Realty Trust
Bay Apartment Communities
Beacon Properties Corporation
Bedford Property Investors, Inc.
Berkshire Realty Co., Inc.
Bradley Real Estate, Inc.
Brandywine Realty Trust
BRE Properties, Inc.
Burnham Pacific Properties, Inc.
Cali Realty Corporation
Camden Property Trust
CarrAmerica Realty Corporation
CBL & Associates Properties, Inc.
CenterPoint Properties
Chelsea GCA Realty, Inc.
Colonial Properties Trust
Columbus Realty Trust
Crescent Real Estate Equities, Inc.
Crown American Realty Trust
Developers Diversified Realty Corporation
Duke Realty Investments, Inc.
EastGroup Properties
Equity Inns, Inc.
Equity Residential Properties Trust
Essex Property Trust, Inc.
Evans Withycombe Residential, Inc.
Excel Realty Trust, Inc.
FelCor Suite Hotels, Inc.
First Industrial Realty Trust, Inc.
First Union Real Estate Investments
First Washington Realty Trust, Inc.
Franklin Select Realty Trust
Gables Residential Trust
General Growth Properties, Inc.
Glimcher Realty Trust
Highwoods Properties, Inc.
Home Properties of New York, Inc.
Horizon Group Inc.
Hospitality Properties Trust
HRE Properties (URSTADT BIDDLE PROPERTIES)
Income Opportunity Realty Investors
Innkeepers USA Trust
IRT Property Company
Irvine Apartment Communities
Jameson Inns, Inc.
JDN Realty Corporation
JP Realty, Inc.
Kimco Realty Corporation
Koger Equities, Inc.
Kranzco Realty Trust
Liberty Property Trust
Macerich Company, The
Malan Realty Investors, Inc.
Meridian Point Realty Trust VIII Co.
Merry Land & Investment Company
MGI Properties
Mid-America Apartment Communities
Mid-America Realty Investments, Inc.
Mid-Atlantic Realty Trust
Mills Corporation, The
Monmouth Real Estate Investment Corp.
National Income Realty Trust
New Plan Realty Trust
Oasis Residential, Inc.
Pacific Gulf Properties, Inc.
Patriot American Hospitality, Inc.
Pennsylvania Real Estate Investment Trust
Post Properties, Inc.
Price REIT
Prime Retail, Inc.
Property Capital Trust
Ramco-Gershenson Properties Trust
Reckson Associates Realty Corp.
Regency Realty Corporation
Ticker
ALX
AAH
ARL
AML
AIV
ABR.1
ASR.
AEC
AVN.
BSRTZ
AVB
BCN
BED
BRI.
BTR
BTR
BRE
3BPPNZ
CLI
CPT
CRE
CBL
CNT
CPG
CLP
CLB.1
CEI
CWN
DDR
DRE
EGP
ENN
EQR
ESS
EWR
XEL.1
FCH
FR
FUR
FRW
3FSNR
GBP
GGP
GRT
HIW
HME
HGI
HPT
UBA
IOT
KPA
IRT
IAC
JAMS
JDN
JPR
KIM
KOG.1
KRT.1
LRY
MAC
MAL
MPH.1
MRY.1
MGI.4
MAA
MDI
MRR
MLS
MNRTA
NIRTS
NXL
OAS
PAG
WYN.1
PEI
PPS
RET.Z
3PMRE
PCT910
RPT
RA
REG
46
84
85
86
87
88
89
90
91
92
93
94
95
96
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
Property Capital Trust
Ramco-Gershenson Property Trust
Real Estate Fund California
Regency Realty Corporation
RFS Hotel Investors, Inc.
ROC Communities, Inc.
Saul Centers, Inc.
Security Capital Industrial Trust
Security Capital Pacific Trust (Archstone)
Simon DeBartolo
Sizeler Property Investors, Inc.
South West Property Trust, Inc.
Spieker Properties, Inc.
Summit Properties Inc.
Sun Communities, Inc.
Tanger Factory Outlet Centers, Inc.
Taubman Centers, Inc.
Town And Country Trust, The
Transcontinental Realty Investors, Inc.
Trinet Corporate Realty Trust, Inc.
United Dominion Realty Trust, Inc.
Vornado Realty Trust
Walden Residential Properties, Inc.
Washington Real Estate Investment Trust
Weeks Corporation
Weingarten Realty Investors
Western Investment Real Estate Trust
Winston Hotels
PCT910
RPT
RCT
REG
RFS
ROC
BFS
PLD
ASN
SPG
SIZ
SWP.
SPK
SMT
SUI
SKT
TCO
TCT
TCI
TRI.1
UDR
VNO
WDN
WRE
WKS
WRI
WIR.
WXH
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
1997
Fullname
Acadia Realty Trust
Agree Realty Corporation
Alexander's, Inc.
Amli Residential Properties Trust
Apartment Investment & Management
Archstone-Smith Trust
Arden Realty Group, Inc.
Associated Estates Realty Corporation
AvalonBay Communities Inc.
Bedford Property Investors, Inc.
BODDIE NOELL PROPERTIES INC
Brandywine Realty Trust
BRE Properties, Inc.
Camden Property Trust
CarrAmerica Realty Corporation
CBL & Associates Properties, Inc.
CenterPoint Properties Trust
Colonial Properties Trust E
Commercial Net Lease Realty, Inc.
Corporate Office Properties Trust
Cousins Properties Incorporated E
Crescent Real Estate Equities Company E
Developers Diversified Realty
Duke Realty Corporation
EastGroup Properties, Inc.
Equity Residential
Essex Property Trust, Inc.
Federal Realty Investment Trust
First Industrial Realty Trust, Inc.
First Union Real Estate Investments E
Forest City Enterprises
Gables Residential Trust
General Growth Properties, Inc.
Glenborough Realty Trust Incorporated
Glimcher Realty Trust
Highwoods Properties, Inc.
Home Properties, Inc.
Income Opportunity Realty Investors
Kilroy Realty Corporation
Kimco Realty Corporation
KRANZCO REALTY TRUST
Lexington Corporate Properties, Inc.
Liberty Property Trust
Macerich Company, The
Mack-Cali Realty Corporation
Malan Realty Investors, Inc.
Manufactured Home Communities, Inc.
Mid-America Apartment Communities,
Mills Corporation, The
Monmouth Real Estate Investment Corp.
New Plan Excel Realty Trust, Inc.
One Liberty Properties, Inc.
AKR
ADC
ALX
AML
AIV
ASN
ARI
AEC
AVB
BED
BNP
BDN
BRE
CPT
CRE
CBL
CNT
CLP
NNN
OFC
CUZ
CEI
DDR
DRE
EGP
EQR
ESS
FRT
FR
FUR
FCE.A
GBP
GGP
GLB
GRT
HIW
HME
IOT
KRC
KIM
KRT.1
LXP
LRY
MAC
CLI
MAL
MHC
MAA
MLS
MNRTA
NXL
OLP
84
85
86
87
88
89
90
91
92
93
94
95
96
98
99
100
101
102
103
104
105
106
107
RFS Hotel Investors, Inc.
Security Capital Industrial Trust
Security Capital Pacific Trust (Archstone)
Simon DeBartolo Group, Inc.
Sizeler Property Investors, Inc.
Spieker Properties, Inc.
Starwood Lodging Trust
Summit Properties, Inc.
Sunstone Hotel Investors, Inc.
Tanger Factory Outlet Centers, Inc.
Taubman Centers, Inc.
Town and Country Trust, The
Transcontinental Realty Investors, Inc.
United Dominion Realty Trust, Inc.
Urban Shopping Centers, Inc.
Value Property Trust
Vornado Realty Trust
Walden Residential Properties, Inc.
Washington Real Estate Investment Trust
Weeks Corporation
Weingarten Realty Investors
Western Investment Real Estate Trust
Winston Hotels
RFS
PLD
ASN
SPG
SIZ
SPK
HOT
SMT
SHO
SKT
TCO
TCT
TCI
UDR
URB.
VLP
VNO
WDN
WRE
WKS
WRI
WIR.
WXH
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
1998
Fullname
Acadia Realty Trust
Agree Realty Corporation
Alexander's, Inc.
Alexandria Real Estate Equities, Inc.
AMB Property Corp.
Amli Residential Properties Trust
Apartment Investment & Management
Archstone-Smith Trust
Arden Realty Group, Inc.
Associated Estates Realty Corporation
AvalonBay Communities Inc.
Bedford Property Investors, Inc.
BODDIE NOELL PROPERTIES INC
Boston Properties, Inc.
Brandywine Realty Trust
BRE Properties, Inc.
Camden Property Trust
CarrAmerica Realty Corporation
CBL & Associates Properties, Inc.
CenterPoint Properties Trust
Colonial Properties Trust E
Commercial Net Lease Realty, Inc.
Cornerstone Realty Income Trust
Corporate Office Properties Trust
Cousins Properties Incorporated E
Crescent Real Estate Equities Company E
Developers Diversified Realty
Duke Realty Corporation
EastGroup Properties, Inc.
Equity Office Properties Trust
Equity Residential
Essex Property Trust, Inc.
Federal Realty Investment Trust
First Industrial Realty Trust, Inc.
First Union Real Estate Investments E
Forest City Enterprises
Gables Residential Trust
General Growth Properties, Inc.
Glenborough Realty Trust Incorporated
Glimcher Realty Trust
Highwoods Properties, Inc.
Home Properties, Inc.
HRPT Properties Trust
Income Opportunity Realty Investors
Kilroy Realty Corporation
Kimco Realty Corporation
Lexington Corporate Properties, Inc.
Liberty Property Trust
Macerich Company, The
Mack-Cali Realty Corporation
Malan Realty Investors, Inc.
Manufactured Home Communities, Inc.
AKR
ADC
ALX
ARE
AMB
AML
AIV
ASN
ARI
AEC
AVB
BED
BNP
BXP
BDN
BRE
CPT
CRE
CBL
CNT
CLP
NNN
TCR
OFC
CUZ
CEI
DDR
DRE
EGP
EOP
EQR
ESS
FRT
FR
FUR
FCE.A
GBP
GGP
GLB
GRT
HIW
HME
HRP
IOT
KRC
KIM
LXP
LRY
MAC
CLI
MAL
MHC
Ticker
Ticker
47
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
Parkway Properties, Inc.
Pennsylvania Real Estate Investment
Post Properties, Inc.
Prentiss Properties Trust
ProLogis Trust
PS Business Parks Inc.
Ramco-Gershenson Properties Trust
Realty Income Corporation
Reckson Associates Realty Corp.
Regency Centers Corporation
Rouse Company, The
Saul Centers, Inc.
Simon Property Group, Inc.
Sizeler Property Investors, Inc. E
Summit Properties Inc.
Sun Communities, Inc.
Tanger Factory Outlet Centers, Inc.
Tarragon Realty Investors, Inc.
Taubman Centers, Inc.
Town and Country Trust, The
Transcontinental Realty Investors, Inc
United Dominion Realty Trust, Inc.
Vornado Realty Trust E
Washington Real Estate Investment Trust E
Weingarten Realty Investors
PKY
PEI
PPS
PP
PLD
PSB
RPT
O
RA
REG
RSE
BFS
SPG
SIZ
SMT
SUI
SKT
TARR
TCO
TCT
TCI
UDR
VNO
WRE
WRI
Ticker
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
1999
Fullname
Acadia Realty Trust
Agree Realty Corporation
Alexander's, Inc.
Alexandria Real Estate Equities, Inc.
AMB Property Corp.
Amli Residential Properties Trust
Apartment Investment & Management
Archstone-Smith Trust
Arden Realty Group, Inc.
Associated Estates Realty Corporation
AvalonBay Communities Inc.
Bedford Property Investors, Inc.
BNP Residential Properties, Inc.
Boston Properties, Inc.
Brandywine Realty Trust
BRE Properties, Inc.
Camden Property Trust
CarrAmerica Realty Corporation
CBL & Associates Properties, Inc.
CenterPoint Properties Trust
Colonial Properties Trust E
Commercial Net Lease Realty, Inc.
Cornerstone Realty Income Trust
Corporate Office Properties Trust
Cousins Properties Incorporated E
Crescent Real Estate Equities Company E
Developers Diversified Realty
Duke Realty Corporation
EastGroup Properties, Inc.
Equity Office Properties Trust
Equity One, Inc.
Equity Residential
Essex Property Trust, Inc.
Federal Realty Investment Trust
First Industrial Realty Trust, Inc.
First Union Real Estate Investments E
Gables Residential Trust
General Growth Properties, Inc.
Glenborough Realty Trust Incorporated
Glimcher Realty Trust
Highwoods Properties, Inc.
Home Properties, Inc.
HRPT Properties Trust
Income Opportunity Realty Investors
Kilroy Realty Corporation
Kimco Realty Corporation
Kramont Realty Trust
AKR
ADC
ALX
ARE
AMB
AML
AIV
ASN
ARI
AEC
AVB
BED
BNP
BXP
BDN
BRE
CPT
CRE
CBL
CNT
CLP
NNN
TCR
OFC
CUZ
CEI
DDR
DRE
EGP
EOP
EQY
EQR
ESS
FRT
FR
FUR
GBP
GGP
GLB
GRT
HIW
HME
HRP
IOT
KRC
KIM
KRT
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
Mid-America Apartment Communities,
Mills Corporation, The
Monmouth Real Estate Investment Corp.
New Plan Excel Realty Trust, Inc.
One Liberty Properties, Inc.
Pan Pacific Retail Properties, Inc.
Parkway Properties, Inc.
Pennsylvania Real Estate Investment
Post Properties, Inc.
Prentiss Properties Trust
Prime Group Realty Trust
PS Business Parks Inc.
Ramco-Gershenson Properties Trust
Realty Income Corporation
Reckson Associates Realty Corp.
Regency Centers Corporation
Roberts Realty Investors, Inc.
Rouse Company, The
Saul Centers, Inc.
Simon Property Group, Inc.
Sizeler Property Investors, Inc. E
SL Green Realty Corp.
Summit Properties Inc.
Sun Communities, Inc.
Tanger Factory Outlet Centers, Inc.
Tarragon Realty Investors, Inc.
Taubman Centers, Inc.
Town and Country Trust, The
Transcontinental Realty Investors, Inc
United Dominion Realty Trust, Inc.
Vornado Realty Trust E
Washington Real Estate Investment Trust E
Weingarten Realty Investors
MAA
MLS
MNRTA
NXL
OLP
PNP
PKY
PEI
PPS
PP
PGE
PSB
RPT
O
RA
REG
RPI
RSE
BFS
SPG
SIZ
SLG
SMT
SUI
SKT
TARR
TCO
TCT
TCI
UDR
VNO
WRE
WRI
Ticker
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
2000
Fullname
Acadia Realty Trust
Agree Realty Corporation
Alexander's, Inc.
Alexandria Real Estate Equities, Inc.
AMB Property Corp.
AmeriVest Properties, Inc.
Amli Residential Properties Trust
Apartment Investment & Management
Archstone-Smith Trust
Arden Realty Group, Inc.
Associated Estates Realty Corporation
AvalonBay Communities Inc.
Bedford Property Investors, Inc.
Boston Properties, Inc.
Brandywine Realty Trust
BRE Properties, Inc.
Brookfield Property Corporation
Camden Property Trust
Capital Automotive REIT
CarrAmerica Realty Corporation
CBL & Associates Properties, Inc.
CenterPoint Properties Trust
Colonial Properties Trust
Commercial Net Lease Realty, Inc.
Cornerstone Realty Income Trust
Corporate Office Properties Trust
Cousins Properties Incorporated E
Crescent Real Estate Equities Company
Developers Diversified Realty Corporation
Duke Realty Corporation
EastGroup Properties, Inc.
Equity Office Properties Trust
Equity One, Inc.
Equity Residential
Essex Property Trust, Inc.
Federal Realty Investment Trust
First Industrial Realty Trust, Inc.
First Union Real Estate Investments
Forest City Enterprises, Inc.
Gables Residential Trust
General Growth Properties, Inc.
Glenborough Realty Trust Incorporated
Glenborough Realty Trust Incorporated
Glimcher Realty Trust
Highwoods Properties, Inc.
Home Properties, Inc.
HRPT Properties Trust
AKR
ADC
ALX
ARE
AMB
AMV
AML
AIV
ASN
ARI
AEC
AVB
BED
BXP
BDN
BRE
BPO
CPT
CARS
CRE
CBL
CNT
CLP
NNN
TCR
OFC
CUZ
CEI
DDR
DRE
EGP
EOP
EQY
EQR
ESS
FRT
FR
FUR
FCE.A
GBP
GGP
GLB
GLB
GRT
HIW
HME
HRP
48
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
Lexington Corporate Properties, Inc.
Liberty Property Trust
Macerich Company, The
Mack-Cali Realty Corporation
Malan Realty Investors, Inc.
Manufactured Home Communities, Inc.
Mid-America Apartment Communities,
Mills Corporation, The
Mission West Properties
Monmouth Real Estate Investment Corp.
New Plan Excel Realty Trust, Inc.
One Liberty Properties, Inc.
Pan Pacific Retail Properties, Inc.
Parkway Properties, Inc.
Pennsylvania Real Estate Investment
Post Properties, Inc.
Prentiss Properties Trust
Prime Group Realty Trust
ProLogis Trust
PS Business Parks Inc.
Ramco-Gershenson Properties Trust
Realty Income Corporation
Reckson Associates Realty Corp.
Regency Centers Corporation
Roberts Realty Investors, Inc.
Rouse Company, The
Saul Centers, Inc.
Simon Property Group, Inc.
Sizeler Property Investors, Inc. E
SL Green Realty Corp.
Summit Properties Inc.
Sun Communities, Inc.
Tanger Factory Outlet Centers, Inc.
Tarragon Realty Investors, Inc.
Taubman Centers, Inc.
Town and Country Trust, The
Transcontinental Realty Investors, Inc
United Dominion Realty Trust, Inc.
Vornado Realty Trust E
Washington Real Estate Investment Trust E
Weingarten Realty Investors
LXP
LRY
MAC
CLI
MAL
MHC
MAA
MLS
MSW
MNRTA
NXL
OLP
PNP
PKY
PEI
PPS
PP
PGE
PLD
PSB
RPT
O
RA
REG
RPI
RSE
BFS
SPG
SIZ
SLG
SMT
SUI
SKT
TARR
TCO
TCT
TCI
UDR
VNO
WRE
WRI
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
Income Opportunity Realty Investors
Keystone Property Trust
Kilroy Realty Corporation
Kimco Realty Corporation
Lexington Corporate Properties, Inc.
Liberty Property Trust
Macerich Company, The
Mack-Cali Realty Corporation
Malan Realty Investors, Inc.
Manufactured Home Communities, Inc.
Mid-America Apartment Communities,
Mills Corporation, The
Mission West Properties
Monmouth Real Estate Investment Corp.
New Plan Excel Realty Trust, Inc.
One Liberty Properties, Inc.
Pan Pacific Retail Properties, Inc.
Parkway Properties, Inc.
Pennsylvania Real Estate Investment
Post Properties, Inc.
Prentiss Properties Trust
Prime Group Realty Trust
ProLogis Trust
PS Business Parks Inc.
Ramco-Gershenson Properties Trust
Realty Income Corporation
Reckson Associates Realty Corp.
Roberts Realty Investors, Inc.
Rouse Company, The
Saul Centers, Inc.
Simon Property Group, Inc.
Sizeler Property Investors, Inc.
SL Green Realty Corp.
St. Joe Company
Summit Properties Inc.
Sun Communities, Inc.
Tanger Factory Outlet Centers, Inc.
Taubman Centers, Inc.
Town and Country Trust, The
Transcontinental Realty Investors, Inc
United Dominion Realty Trust, Inc.
Vornado Realty Trust E
Washington Real Estate Investment Trust
Weingarten Realty Investors
IOT
KTR
KRC
KIM
LXP
LRY
MAC
CLI
MAL
MHC
MAA
MLS
MSW
MNRTA
NXL
OLP
PNP
PKY
PEI
PPS
PP
PGE
PLD
PSB
RPT
O
RA
RPI
RSE
BFS
SPG
SIZ
SLG
JOE
SMT
SUI
SKT
TCO
TCT
TCI
UDR
VNO
WRE
WRI
49
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
2001
Fullname
AMB Property Corporation
Acadia Realty Trust
Agree Realty Corporation
Alexandria Real Estate Equities, Inc.
Archstone-Smith Trust
Associated Estates Realty Corporation
AvalonBay Communities, Inc.
BRE Properties, Inc.
Boston Properties, Inc.
Brandywine Realty Trust
CBL & Associates Properties, Inc.
Camden Property Trust
Colonial Properties Trust
Developers Diversified Realty Corporation
Duke Realty Corporation
EastGroup Properties, Inc.
Equity One, Inc.
Equity Residential
Essex Property Trust, Inc.
Federal Realty Investment Trust
First Industrial Realty Trust, Inc.
Forest City Enterprises, Inc.
General Growth Properties, Inc.
Glimcher Realty Trust
HMG/Courtland Properties, Inc.
Highwoods Properties, Inc.
Home Properties, Inc.
Kilroy Realty Corporation
Lexington Realty Trust
Liberty Property Trust
Macerich Company
Mack-Cali Realty Corporation
Mid-America Apartment Communities, Inc.
Mission West Properties, Inc.
One Liberty Properties, Inc.
PS Business Parks, Inc.
Parkway Properties, Inc.
Pennsylvania Real Estate Investment Trust
Post Properties, Inc.
Ramco-Gershenson Properties Trust
Regency Centers Corporation
Roberts Realty Investors, Inc.
SL Green Realty Corp.
Simon Property Group, Inc.
St. Joe Company
Tanger Factory Outlet Centers, Inc.
Taubman Centers, Inc.
UDR, Inc.
Urstadt Biddle Properties Inc.
Vornado Realty Trust
Washington Real Estate Investment Trust
Weingarten Realty Investors
Winthrop Realty Trust
1
2
3
4
5
6
7
8
9
10
11
12
13
14
2003
Fullname
AMB Property Corporation
Acadia Realty Trust
Agree Realty Corporation
Alexandria Real Estate Equities, Inc.
American Spectrum Realty, Inc.
Archstone-Smith Trust
Associated Estates Realty Corporation
AvalonBay Communities, Inc.
BRE Properties, Inc.
Boston Properties, Inc.
Brandywine Realty Trust
CBL & Associates Properties, Inc.
Camden Property Trust
Colonial Properties Trust
Ticker
AMB
AKR
ADC
ARE
ASN
AEC
AVB
BRE
BXP
BDN
CBL
CPT
CLP
DDR
DRE
EGP
EQY
EQR
ESS
FRT
FR
FCE.A
GGP
GRT
HMG
HIW
HME
KRC
LXP
LRY
MAC
CLI
MAA
MSW
OLP
PSB
PKY
PEI
PPS
RPT
REG
RPI
SLG
SPG
JOE
SKT
TCO
UDR
UBA
VNO
WRE
WRI
FUR
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
2002
Fullname
AMB Property Corporation
Acadia Realty Trust
Agree Realty Corporation
Alexandria Real Estate Equities, Inc.
Archstone-Smith Trust
Associated Estates Realty Corporation
AvalonBay Communities, Inc.
BRE Properties, Inc.
Boston Properties, Inc.
Brandywine Realty Trust
CBL & Associates Properties, Inc.
Camden Property Trust
Colonial Properties Trust
Developers Diversified Realty Corporation
Duke Realty Corporation
EastGroup Properties, Inc.
Equity One, Inc.
Equity Residential
Essex Property Trust, Inc.
Federal Realty Investment Trust
First Industrial Realty Trust, Inc.
Forest City Enterprises, Inc.
General Growth Properties, Inc.
Glimcher Realty Trust
HMG/Courtland Properties, Inc.
Highwoods Properties, Inc.
Home Properties, Inc.
Kilroy Realty Corporation
Lexington Realty Trust
Liberty Property Trust
Macerich Company
Mack-Cali Realty Corporation
Mid-America Apartment Communities, Inc.
Mission West Properties, Inc.
One Liberty Properties, Inc.
PS Business Parks, Inc.
Parkway Properties, Inc.
Pennsylvania Real Estate Investment Trust
Post Properties, Inc.
Presidential Realty Corporation
Ramco-Gershenson Properties Trust
Regency Centers Corporation
Roberts Realty Investors, Inc.
SL Green Realty Corp.
Simon Property Group, Inc.
St. Joe Company
Tanger Factory Outlet Centers, Inc.
Taubman Centers, Inc.
UDR, Inc.
Urstadt Biddle Properties Inc.
Vornado Realty Trust
Washington Real Estate Investment Trust
Weingarten Realty Investors
Winthrop Realty Trust
1
2
3
4
5
6
7
8
9
10
11
12
13
14
2004
Fullname
AMB Property Corporation
Acadia Realty Trust
Agree Realty Corporation
Alexandria Real Estate Equities, Inc.
American Spectrum Realty, Inc.
Archstone-Smith Trust
Associated Estates Realty Corporation
AvalonBay Communities, Inc.
BRE Properties, Inc.
Boston Properties, Inc.
Brandywine Realty Trust
CBL & Associates Properties, Inc.
Camden Property Trust
Colonial Properties Trust
Ticker
AMB
AKR
ADC
ARE
AQQ
ASN
AEC
AVB
BRE
BXP
BDN
CBL
CPT
CLP
Ticker
AMB
AKR
ADC
ARE
ASN
AEC
AVB
BRE
BXP
BDN
CBL
CPT
CLP
DDR
DRE
EGP
EQY
EQR
ESS
FRT
FR
FCE.A
GGP
GRT
HMG
HIW
HME
KRC
LXP
LRY
MAC
CLI
MAA
MSW
OLP
PSB
PKY
PEI
PPS
PDL.A
RPT
REG
RPI
SLG
SPG
JOE
SKT
TCO
UDR
UBA
VNO
WRE
WRI
FUR
Ticker
AMB
AKR
ADC
ARE
AQQ
ASN
AEC
AVB
BRE
BXP
BDN
CBL
CPT
CLP
50
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
Corporate Office Properties Trust
Developers Diversified Realty Corporation
Duke Realty Corporation
EastGroup Properties, Inc.
Equity One, Inc.
Equity Residential
Essex Property Trust, Inc.
Federal Realty Investment Trust
First Industrial Realty Trust, Inc.
Forest City Enterprises, Inc.
General Growth Properties, Inc.
Glimcher Realty Trust
HMG/Courtland Properties, Inc.
Highwoods Properties, Inc.
Home Properties, Inc.
Kilroy Realty Corporation
Lexington Realty Trust
Liberty Property Trust
Macerich Company
Mack-Cali Realty Corporation
Mid-America Apartment Communities, Inc.
Mission West Properties, Inc.
One Liberty Properties, Inc.
PS Business Parks, Inc.
Parkway Properties, Inc.
Pennsylvania Real Estate Investment Trust
Post Properties, Inc.
Presidential Realty Corporation
Ramco-Gershenson Properties Trust
Regency Centers Corporation
Roberts Realty Investors, Inc.
SL Green Realty Corp.
Saul Centers, Inc.
Simon Property Group, Inc.
St. Joe Company
Tanger Factory Outlet Centers, Inc.
Taubman Centers, Inc.
UDR, Inc.
Urstadt Biddle Properties Inc.
Vornado Realty Trust
Washington Real Estate Investment Trust
Weingarten Realty Investors
Winthrop Realty Trust
OFC
DDR
DRE
EGP
EQY
EQR
ESS
FRT
FR
FCE.A
GGP
GRT
HMG
HIW
HME
KRC
LXP
LRY
MAC
CLI
MAA
MSW
OLP
PSB
PKY
PEI
PPS
PDL.A
RPT
REG
RPI
SLG
BFS
SPG
JOE
SKT
TCO
UDR
UBA
VNO
WRE
WRI
FUR
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
Corporate Office Properties Trust
Developers Diversified Realty Corporation
Duke Realty Corporation
EastGroup Properties, Inc.
Equity One, Inc.
Equity Residential
Essex Property Trust, Inc.
Federal Realty Investment Trust
First Industrial Realty Trust, Inc.
First Potomac Realty Trust
Forest City Enterprises, Inc.
General Growth Properties, Inc.
Glimcher Realty Trust
Highwoods Properties, Inc.
Home Properties, Inc.
Kilroy Realty Corporation
Lexington Realty Trust
Liberty Property Trust
Macerich Company
Mack-Cali Realty Corporation
Mid-America Apartment Communities, Inc.
Mission West Properties, Inc.
One Liberty Properties, Inc.
PS Business Parks, Inc.
Parkway Properties, Inc.
Pennsylvania Real Estate Investment Trust
Post Properties, Inc.
Presidential Realty Corporation
Ramco-Gershenson Properties Trust
Regency Centers Corporation
Roberts Realty Investors, Inc.
SL Green Realty Corp.
Saul Centers, Inc.
St. Joe Company
Tanger Factory Outlet Centers, Inc.
Taubman Centers, Inc.
UDR, Inc.
Urstadt Biddle Properties Inc.
Vornado Realty Trust
Washington Real Estate Investment Trust
Weingarten Realty Investors
Winthrop Realty Trust
OFC
DDR
DRE
EGP
EQY
EQR
ESS
FRT
FR
FPO
FCE.A
GGP
GRT
HIW
HME
KRC
LXP
LRY
MAC
CLI
MAA
MSW
OLP
PSB
PKY
PEI
PPS
PDL.A
RPT
REG
RPI
SLG
BFS
JOE
SKT
TCO
UDR
UBA
VNO
WRE
WRI
FUR
51
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
2005
Fullname
AMB Property Corporation
Acadia Realty Trust
Agree Realty Corporation
Alexandria Real Estate Equities, Inc.
American Spectrum Realty, Inc.
Archstone-Smith Trust
Associated Estates Realty Corporation
AvalonBay Communities, Inc.
BRE Properties, Inc.
BioMed Realty Trust, Inc.
Boston Properties, Inc.
Brandywine Realty Trust
CBL & Associates Properties, Inc.
Camden Property Trust
Colonial Properties Trust
Corporate Office Properties Trust
Cousins Properties Incorporated
Developers Diversified Realty Corporation
Digital Realty Trust, Inc.
Duke Realty Corporation
EastGroup Properties, Inc.
Equity One, Inc.
Equity Residential
Essex Property Trust, Inc.
Federal Realty Investment Trust
Feldman Mall Properties, Inc.
First Industrial Realty Trust, Inc.
First Potomac Realty Trust
Forest City Enterprises, Inc.
General Growth Properties, Inc.
Glimcher Realty Trust
Highwoods Properties, Inc.
Home Properties, Inc.
Inland Real Estate Corporation
Kilroy Realty Corporation
Kite Realty Group Trust
Lexington Realty Trust
Liberty Property Trust
Macerich Company
Mack-Cali Realty Corporation
Mid-America Apartment Communities, Inc.
Mission West Properties, Inc.
One Liberty Properties, Inc.
PS Business Parks, Inc.
Parkway Properties, Inc.
Pennsylvania Real Estate Investment Trust
Post Properties, Inc.
Presidential Realty Corporation
ProLogis
Ramco-Gershenson Properties Trust
Regency Centers Corporation
Roberts Realty Investors, Inc.
SL Green Realty Corp.
Saul Centers, Inc.
St. Joe Company
Tanger Factory Outlet Centers, Inc.
Taubman Centers, Inc.
UDR, Inc.
Urstadt Biddle Properties Inc.
Vornado Realty Trust
Weingarten Realty Investors
Winthrop Realty Trust
Ticker
AMB
AKR
ADC
ARE
AQQ
ASN
AEC
AVB
BRE
BMR
BXP
BDN
CBL
CPT
CLP
OFC
CUZ
DDR
DLR
DRE
EGP
EQY
EQR
ESS
FRT
FMP
FR
FPO
FCE.A
GGP
GRT
HIW
HME
IRC
KRC
KRG
LXP
LRY
MAC
CLI
MAA
MSW
OLP
PSB
PKY
PEI
PPS
PDL.A
PLD
RPT
REG
RPI
SLG
BFS
JOE
SKT
TCO
UDR
UBA
VNO
WRI
FUR
52