REIT-Based Pure-Play Portfolios:
The Case of Property Types and Geographic Locations
by
Eui-Hoe Kim
Bachelor in Architecture, 1997
Seoul National University, Korea
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, 2004
©2004 Eui-Hoe 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.
Signature of Author______________________________________________________
Department of Urban Studies and Planning
August 6, 2004
Certified by_____________________________________________________________
Henry O. Pollakowski
Visiting Scholar, Center for Real Estate
Thesis Supervisor
Accepted by_____________________________________________________________
David Geltner
Chairman, Interdepartmental Degree Program in
Real Estate Development
1
REIT-Based Pure-Play Portfolios:
The Case of Property Types and Geographic Locations
by
Eui-Hoe Kim
Submitted to the Department of Urban Studies and Planning
On August 6, 2004 in Partial Fulfillment of the Requirement for
the Degree of Master of Science in Real Estate Development
ABSTRACT
Over the last 20 years the REIT industry has made remarkable progress in terms of the
magnitude of market capitalization and management performance. However, it is difficult for
investors to precisely target their investments because publicly traded REITs diversify their
assets across property types and geographic locations. This research has explored the concept
and methodology of a REIT-based pure-play portfolio. This portfolio is defined as an optimal
combination of long and short positions in publicly traded REITs, such that the portfolio can
replicate the investment returns to a specified target sector without any direct exposure to other
sectors while minimizing the idiosyncratic risk component of the portfolio. This thesis
constructed pure-play portfolios across four property types and four geographic locations using
seven years of structural information on publicly traded REITs. For comparison with the
privately held property market, NCREIF sub-indices which represent also four property types
and four geographic locations are used. In addition to the construction of pure-play portfolios,
the performance indices of REIT-based pure-play portfolios and private property-based NCREIF
sub-indices are presented.
`
Thesis Supervisor:
Title:
Henry O. Pollakowski
Research Associate, Center for Real Estate
2
ACKNOWLEDGEMENTS
I would like to thank my advisor Henry Pollakowski for his constant advice and support
I would like to thank David Geltner for his comments and suggestions
I would like to thank Matthew Ostrower at Morgan Stanley for his support and insight
I would like to thank Paul Reeder at SNL financial and Jeff Fisher for their support
Last but not least, I would like to thank Mina and Taein for being there for me
3
TABLE OF CONTENTS
Abstract ------------------------------------------------------------------------------ 2
Acknowledgements ---------------------------------------------------------------- 3
Table of Contents ------------------------------------------------------------------- 4
Chapter 1: Introduction
Overview ---------------------------------------------------------------------------- 5
Definition of a Pure-Play Portfolio ---------------------------------------------- 6
Objectives of a Pure-Play Portfolio ---------------------------------------------- 7
Chapter 2: Methodology - Construction of the Pure-Play Portfolio
2-1. Basic Assumptions
Basic Model ------------------------------------------------------------------------- 8
Variance Minimization ------------------------------------------------------------ 11
2-2. Application of Two Methods
Method 1: Matrix Inverse Method ----------------------------------------------- 12
Method 2: Excel Solver Tool ----------------------------------------------------- 16
Comparison of Results ------------------------------------------------------------ 17
2-3. Other Considerations
Adjusting for Debt ----------------------------------------------------------------- 18
The Data ----------------------------------------------------------------------------- 18
Chapter 3: Application of Pure-play Portfolio
3-1. Property-Type Pure-play Portfolios
General Characteristics ------------------------------------------------------------ 22
Historical Index of Pure-Play Return -------------------------------------------- 23
Comparison with NCREIF Returns --------------------------------------------- 26
Comparison with NAREIT Property Returns ---------------------------------- 31
Lagged Correlation ---------------------------------------------------------------- 34
3-2. Geographic Location Pure-play Portfolios
General Characteristics ------------------------------------------------------------ 35
Historical Index of Pure-Play Return vs. NCREIF ---------------------------- 36
Contemporaneous Correlation and Lagged Correlation ---------------------- 40
Conclusion ------------------------------------------------------------------------------------------------------ 43
References ------------------------------------------------------------------------------------------------------- 44
APPENDIX-A -------------------------------------------------------------------------------------------------- 44
APPENDIX-B -------------------------------------------------------------------------------------------------- 46
4
CHAPTER 1 : Introduction
Overview
Over the last 20 years the REIT industry has made remarkable progress in terms of the
magnitude of market capitalization and management performance. REITs provide a way to
realize the economic benefits of underlying real estate assets, obtain stable, consistent income
and long-term growth while increasing portfolio diversification. Therefore, the correlation of
REIT returns to the returns of other stocks and bonds has declined significantly. However, many
investors and analysts are interested in obtaining pure-play return and historical performance
which are exposed to only one target sector such as a property type and a geographic location. It
is difficult for investors to precisely target their investments because publicly traded REITs hold
large number of individual properties which vary by property types or locations. Although the
REIT industry has specialized in its investments with regard to property type for the last 10 years,
it is impossible to achieve the portfolio which is exactly exposed to only one target sector by
investing in a group of REITs which represents the targeted property type. The construction of a
pure-play portfolio is a mechanism to address this issue in a systematic way. This thesis
demonstrates and applies the procedure of deriving unlevered returns to the underlying properties
held by the REITs, broken out by property type and geographic location.
In addition to construction of REIT-based pure-play portfolios, a comparison of performance
with privately owned properties is performed. In this case, the NCREIF sub index was used as a
proxy of performance of privately held real estate assets. As the REIT-based pure-play portfolio
is based on the public stock market and underlying property market while the NCREIF index is
based on the private property market, the comparison of performance between two markets can
help identify REIT-level management performance. We constructed pure-play portfolios for
property types and geographic locations for 7 years, 1997-2003.
5
Definition of a Pure-Play Portfolio
A REIT-based pure-play portfolio is defined as an optimal combination of long and short
positions in publicly traded REITs, such that the portfolio can replicate the investment returns to
a specified target sector without any direct exposure to other sectors. Here, the target sector can
be defined in terms of any attributes of property assets such as usage, location, and size. For
example, if we want to invest into REITs which are exposed only to office properties in the east
region, we can construct the pure-play portfolio whose performance is related to the target sector
without exposure to other attributes using a combination of long and short positions in REITs.
Here, short positions in the portfolio are used to eliminate exposure to non-target sectors.
It is important to note that there can be many combinations which can meet the condition of
exposure to a target sector. For example, suppose that we can construct a pure-play portfolio
whose target is an office property by a 150% long position to REIT A, and a -50% short position
to REIT B. We could also construct another pure-play portfolio whose target sector is the same
by a 300% long position and a -100% short position to REIT A and B respectively. Therefore,
we have to choose the optimal portfolios among the possible combinations. The optimal pureplay portfolio is the one which minimizes random volatility, or idiosyncratic risk, while
maintaining pure exposure to the target.
Idiosyncratic risk is defined as a return component that is unique to each REIT and property type.
That is, a return of a REIT in one property type is made up of two components, the idiosyncratic
component and the pure-play component which is same for any investment in the given property
type. For instance, assume that REIT A makes an 11% return in an office property and REIT B
makes a 9% in an office property. If an aggregate-level pure-play office return is 10%, REIT A
has a +1% idiosyncratic component in its return and REIT B has a -1% idiosyncratic return.
However, as we do not know the aggregate pure-play return of office, say 10%, in advance, we
need to extract the pure-play return component by diversifying away the idiosyncratic
component. From the statistical point of view, the more assets and properties we hold in an office
property, the more diversification effects we can have and the more accurate a pure-play return
we can achieve. Note that the pure-play component of our REIT-based portfolio can reflect not
6
only the passive return of underlying assets, but also the REIT-level management effect of each
property type.
Objectives of a Pure-Play Portfolio
There are four main objectives for construction of REIT-based pure-play portfolios: speculation,
hedging, estimates of beta, and construction of historical index.
From an investment point of view, investors want to construct portfolios which are exposed to a
target sector or hedged against one sector. Since the assets of REITs are already diversified
across property sectors and geographic locations, it is difficult for investors to meet their needs
perfectly by simply investing in one or a group of REITs which represent their target sectors.
Once pure-play portfolios are constructed, we can estimate sectoral betas using the correlation
between targeted sectors and market. These sectoral betas can be used when estimating the cost
of capital in capital budgeting. For example, if we obtain the beta of REITs in west region as 2
against the total REIT market, the opportunity cost of capital of investing in west region can be
achieved from the risk-free rate and expected market return using Capital Asset Pricing Model
(CAPM). The last objective is to construct historical index using pure-play returns across time.
The historical index can help evaluate the performance of specified REIT sectors. In addition, we
can identify REIT-specific and target-specific management components by comparing across
several sectors that index with other indices of assets which are already constructed.
7
CHAPTER 2: Methodology - Construction of a Pure-Play Portfolio
2-1. Basic Assumptions
Basic Model
We can model the return of one REIT which invests only one property type: retail property. In
that case, we can break down the return component into the true return to that property type and
idiosyncratic return which can be thought of as random “noise.” This idiosyncratic return of the
REIT can be also regarded as the results of REIT-level asset management components and
financial leverage effects. This model is shown in equation (1) below:
~
ri = ~
rR + e~Ri
(1)
Where the “r” is a true return and the “e” is an idiosyncratic return.
Now, we can apply above relations to a set of n REITs, whose assets are made up of just two
property types: office properties and retail properties. Again, the return components can be broke
down into a pure-play return and a REIT-specific idiosyncratic return. The idiosyncratic return
components are different according to different companies and property types since the
idiosyncratic returns of large amount of assets should be smaller than those of small amount of
assets. On the contrary, the pure-play “true” return components are considered to be same across
the same property type by definition. For example, REIT A which holds $100 million assets in
office and $2 million in retail should have larger idiosyncratic components in retail property. By
the same token, REIT B which holds $2 million assets in office and $100 million in retail should
have larger idiosyncratic risks in an office property. However, the true return components of
same properties are same regardless of the absolute amount of assets. Therefore, the return to
REIT i is
~
ri = x Ri (~
rR + e~Ri ) + xOi (~
rO + e~Oi )
(2)
8
~
ri = Return to REIT i.
~
rR = Pure-play retail property return.
~
rO = Pure-Play office property return.
x Ri = Fraction of REIT i invested in retail property.
xOi = Fraction of REIT i invested in office property.
~
eRi = Idiosyncratic return to REIT i’s retail property.
~
eOi = Idiosyncratic return to REIT i’s office property.
Where xRi + xOi should be one because each REIT holds only office and retail properties. Again,
it is important to note that the pure-play portion of the return is the same for any investments in
the given property-type sector. The idiosyncratic components are uncorrelated with other random
variables and the expected value is zero.
Now, since the objective of a pure-play portfolio is to construct a portfolio from the information
on asset fractions of many REITs, we can think of investing in a number of companies. The
return of our portfolio would be
n
~
rP = ∑ wi ~
ri
(3)
i =1
where the weight wi is REIT i’s proportion of the total value of our portfolio. In other words, wi
is the weight of REIT i in our pure-play portfolio. From equations (2) and (3), the portfolio
return can be the equation below:
n
n
~
rP = ~
rO ∑ wi xOi + ~
rR ∑ wi x Ri +
i =1
i =1
n
∑ (w x
i =1
i
e~ + wi x Ri e~Ri )
Oi Oi
(4)
Note that in above equation we split the return components of a given property-type to handle the
processes more efficiently. Now as a next step, we have to construct the pure-play portfolio,
which is exposed only to the specified target sector, office or retail in this case, while minimizing
9
the idiosyncratic risks at the same time. For example, the office pure-play portfolio can be
achieved by constraining several terms in above equation. First, the sum of weights to office
investment should be one while the sum of weights to retail investment should be zero. Second,
we should come up with the one optimal solution which can minimize the idiosyncratic variance
since there can be several solutions that can meet the first conditions. Since the variance of pureplay return components, that is Var(rO) in this case, is same regardless of different weights, the
solution which minimizes the variance of a portfolio can also minimize the variance of an
idiosyncratic component. The first constraint can be expressed as below:
n
∑ wi xOi = 1
n
and
i =1
∑w x
i =1
i
Ri
=0
(5)
As mentioned above, the first part of the equation (5) makes sure that the portfolio is exposed
only to office property and the second part eliminates any exposure to the retail property. Table 1
shows simple case that explains the basic model of a pure-play portfolio. If we consider only
three REITs, each of which holds only two property sectors: office and property, we can
construct a pure-play portfolio using the equation (5). Note that in this example we can come up
with infinite solutions which can meet weight constraints since we have only three unknown
variables, w1, w2, and w3, while there are two equations related to these variables from the weight
constraints. In general, when the number of companies exceeds the number of sectors, there are
many ways to construct a pure-play portfolio. To obtain the optimal solution among the possible
numerous answers, we should apply the optimization procedure which can yield the minimum
variance solution.
Table 1: Example, Pure-play portfolio with two property types and three REITs
Share of Firm Assets
Office (xOi)
Retail (xRi)
Portfolio
Investment (wi)
Exposure to
Office
(wi × xOi)
Exposure to
Retail
(wi × xRi)
REIT 1
80.0%
20.0%
100.0%
80.0%
20.0%
REIT 2
20.0%
80.0%
-100.0%
-20.0%
-80.0%
REIT 3
40.0%
60.0%
100.0%
40.0%
60.0%
100.0%
100.0%
0.0%
Total
10
Variance Minimization
As explained above, there can be numerous solutions of a pure-play portfolio since usually the
number of firms that constitute a portfolio is bigger than that of property types. For example,
Table 2 computes the idiosyncratic components of a portfolio. When we invest 100%, -100%,
and 100% into REIT 1, REIT 2, and REIT 3 respectively, the total idiosyncratic exposure is
22.4%. However, if we change the weights into 119%, -62%, and 43% while meeting the office
and retail weight constraints, we can come up with 15.6% total idiosyncratic exposure in Table 3.
This result makes sense as the idiosyncratic risk of retail properties is larger than that of office
properties, the absolute weight value of REIT 2 which has a high fraction of the retail property
should be smaller than before.
Table 2: Example, Pure-play portfolio with two property types and three REITs
REIT 1
Share of Firm
Assets
Office
Retail
(xOi)
(xRi)
80.0%
20.0%
Idiosyncratic
Std.Dev
Office Retail
(σoi)
(σRi)
10.0% 20.0%
REIT 2
20.0%
80.0%
10.0%
REIT 3
40.0%
60.0%
10.0%
Portfolio
Investment
(wi)
Idiosyncratic
exposure
Exposure
to Office
(wi × xOi)
Exposure
to Retail
(wi × xRi)
100.0%
8.9%
80.0%
20.0%
20.0%
-100.0%
16.1%
-20.0%
-80.0%
20.0%
100.0%
12.6%
40.0%
60.0%
100.0%
*
100.0%
0.0%
Total
* Total idiosyncratic exposure =
3
∑ (x
oi
22.4%
wiσ oi ) 2 + ( x Ri wiσ Ri ) 2
1
Table 3: Example, Pure-play portfolio with two property types and three REITs
REIT 1
Share of Firm
Assets
Office
Retail
(xOi)
(xRi)
80.0%
20.0%
Idiosyncratic
Std.Dev
Office Retail
(σoi)
(σRi)
10.0% 20.0%
REIT 2
20.0%
80.0%
10.0%
REIT 3
40.0%
60.0%
10.0%
Total
Portfolio
Investment
(wi)
Idiosyncratic
exposure
Exposure
to Office
(wi × xOi)
Exposure
to Retail
(wi × xRi)
118.9%
10.6%
95.1%
23.8%
20.0%
-62.1%
10.0%
-12.4%
-49.7%
20.0%
43.2%
5.5%
17.3%
25.9%
100.0%
15.6%
100.0%
0.0%
11
To address this potential several solution issue, we should find the optimal solution which can
minimize the variance of idiosyncratic components, which in turn can minimize the variance of a
portfolio. There are two ways to achieve a minimum variance portfolio: matrix inverse method
and excel solver function method.
2-2. Application of Two Methods
Method 1: Matrix inverse method using Lagrangean Relaxation
First, by applying the weight constraints of the equation (5) to the equation (4), we can simplify
the portfolio return equation as below:
~
rP = ~
rO +
n
∑ (w x
i =1
i
e~ + wi x Ri e~Ri )
(6)
Oi Oi
Note that the idiosyncratic return part remains in the above equation. The variance of the
portfolio would be
Var (~
rP ) = Var (~
rO ) +
n
∑[w
i =1
2
i
x 2 OiVar (e~Oi ) + w 2 i x 2 RiVar (e~Ri )]
(7)
To get the minimum variance, Lagrangean relaxation method is used. Lagrangean relaxation is a
technique which was invented by Lagrange in 1797. This technique has been very useful in
conjunction with Branch and Bound method as to boundary solutions. Usually, this is an obvious
tool for getting lower bounds. Given the original problem, with some “fixed” variables, this
technique relaxes some of the constraints by inserting Largrange multiplier and performs subgradient optimization, which in turn will give a lower bound. From this relaxation assumption,
new function of L is created as below
12
L = Var (~
rO ) +
n
∑[w
i =1
2
i
⎛ n
⎞ ⎛ n
⎞
x 2 OiVar (e~Oi ) + w 2 i x 2 RiVar (e~Ri )] + a⎜ ∑ wi x Ri ⎟ + h⎜ ∑ wi xOi −1⎟ (8)
⎝ i =1
⎠ ⎝ i =1
⎠
where a and h are Lagrange multipliers. Note that the value of the new equation (8) is the same
n
as the equation (7) since we assumed that ∑ wi xOi = 1 and
i =1
n
∑w x
i =1
i
Ri
= 0 in the equation (5). To
get the minimum of L, the first derivatives according to different weights, δL/ δwj (for j =1, . . ,n),
should be equal to zero. Therefore, we can get the following n different equations as below:
[2 w j x 2 OjVar (e~Oj ) + 2w j x 2 RjVar (~
eRj )] + a ( x Rj ) + h( xOj ) = 0 (for j =1, . . ,n)
(9)
Now we have n + 2 linear equations (n in equations (9) and two in equation (5)) with n + 2
unknown variables (n weights and two in a and h). All we have to do is solve the n + 2 linear
equations by using basic algebra.
However, we need to generalize the n + 2 equations because the number of REITs considered in
analysis tends to be quite high and the number of property sectors or the number of other target
categories is different according to the situation. Suppose that there are t categories in pure-play
portfolios and you want to construct a portfolio in property category 1. Hi would be defined as
below:
t
H i = 2∑ x 2 ki Var (e~ki )
(10)
k =1
If we substitute the equation (10) into the equation (9) and define t more variables as in the
equation (8), we can achieve generalized matrix system of pure-play equations as the equation
(11) below.
13
⎡H1
⎢0
⎢
⎢0
⎢
⎢ M
⎢0
⎢
⎢ x11
⎢x
⎢ 21
⎢ M
⎢x
⎣ t1
0
H2
0
M
0
x12
x 22
L
0
x11
0 L
H3 L
0
x12
0
M
x13
0 L Hn
x13 L x1n
x 23 L x 2 n
x1n
0
M
O
M
M
xt 2
xt 3
L
x 21 L xt1 ⎤ ⎡ w1 ⎤ ⎡0⎤
x 22 L xt 2 ⎥⎥ ⎢⎢ w2 ⎥⎥ ⎢0⎥
⎢ ⎥
x 23 L xt 3 ⎥ ⎢ w3 ⎥ ⎢0⎥
⎥⎢ ⎥ ⎢ ⎥
M
M ⎥ ⎢ M ⎥ ⎢M⎥
x 2 n L xtn ⎥ ⎢ wn ⎥ = ⎢0⎥
⎥⎢ ⎥ ⎢ ⎥
0 L 0 ⎥ ⎢ h ⎥ ⎢1⎥
0 L 0 ⎥ ⎢ a 2 ⎥ ⎢0 ⎥
⎥⎢ ⎥ ⎢ ⎥
M
M ⎥ ⎢ M ⎥ ⎢M⎥
0 L 0 ⎥⎦ ⎢⎣ at ⎥⎦ ⎢⎣0⎥⎦
M
M
0
0
M
xtn
0
(11)
Therefore, our portfolio weights of a target property sector can be achieved as below:
⎡ w1 ⎤ ⎡ H 1
⎢w ⎥ ⎢ 0
⎢ 2⎥ ⎢
⎢ w3 ⎥ ⎢ 0
⎢ ⎥ ⎢
⎢ M ⎥ ⎢ M
⎢ wn ⎥ = ⎢ 0
⎢ ⎥ ⎢
⎢ h ⎥ ⎢ x11
⎢ a ⎥ ⎢x
⎢ 2 ⎥ ⎢ 21
⎢ M ⎥ ⎢ M
⎢a ⎥ ⎢x
⎣ t ⎦ ⎣ t1
0
0
0
x11
x12
x13
O M
L Hn
L x1n
L x2n
M
L xtn
M
x1n
0
0
M
0
0
H2
0
0 L
0 L
H3 L
M
0
x12
x 22
M
xt 2
M
0
x13
x 23
M
xt 3
−1
x 21 L xt1 ⎤ ⎡0⎤
x 22 L xt 2 ⎥⎥ ⎢0⎥
⎢ ⎥
x 23 L xt 3 ⎥ ⎢0⎥
⎥ ⎢ ⎥
M
M ⎥ ⎢M ⎥
x 2 n L xtn ⎥ ⎢0⎥
⎥ ⎢ ⎥
0 L 0 ⎥ ⎢1⎥
0 L 0 ⎥ ⎢0 ⎥
⎥ ⎢ ⎥
M
M ⎥ ⎢M ⎥
0 L 0 ⎥⎦ ⎢⎣0⎥⎦
(12)
Due to the characteristics of matrix calculations and definitions of variables, we can derive t
target sets of portfolio weights by only seeing the upper-right t × n part of inverse matrix. If we
define the components of t × n matrix as Itn (for t=1,. ., t and n=1,. ., n), we can simplify the final
solution of pure-play portfolios as below:
⎡ SET 1 SET 2
⎢ w
w21
⎢ 11
⎢ w12
w22
⎢
w23
⎢ w13
⎢ M
M
⎢
w2 n
⎢⎣ w1n
L SET t ⎤
⎡
⎥
⎢I
L wt 1 ⎥
⎢ 11
⎥
⎢ I 12
L wt 2
⎥ = ⎢
L wt 3 ⎥
⎢ I 13
⎢ M
M ⎥
⎥
⎢
L wtn ⎥⎦
⎢⎣ I 1n
I 21
L
I 22
L
I 23
M
L
I 2n
L
14
⎤
I t1 ⎥⎥
I t2 ⎥
⎥
I t3 ⎥
M ⎥
⎥
I tn ⎥⎦
(13)
To solve the matrix inverse, we used GAUSS which is a specialized matrix calculation program
due to the huge size of the matrix.
Estimates of Idiosyncratic Variance
All data that is necessary to construct linear equations can be obtained directly from the
structural information of each REIT except for the idiosyncratic variance, Var (e~ ) . Therefore,
ki
we need to estimate the idiosyncratic variance of each REIT from the structural information. In
fact, precise value about the individual REIT idiosyncratic variances across sectors might be
difficult to obtain. However, the pure-play portfolio weights are a function of the relative
idiosyncratic variances instead of the absolute values. In other words, relative idiosyncratic
amounts are enough to obtain the optimal weights. To show this, divide both sides of the
equation (7) by a constant, Y.
rO )
Var (~
rP ) Var (~
=
+
Y
Y
n
∑ [ w 2 i x 2 Oi
i =1
Var (~
eOi )
Var (e~Ri )
+ w 2 i x 2 Ri
]
Y
Y
(14)
If the same Lagrangean relaxation procedure is applied as before to the above equation (14), we
can see that the same portfolio weights can meet the conditions of a pure-play portfolio as below.
[2 w j x 2 OjVar (e~Oj ) + 2w j x 2 RjVar (e~Rj )] + aY ( x Rj ) + hY ( xOj ) = 0
(15)
The only difference between the equation (9) and (15) is Lagrangean multipliers, aY and hY,
which do not have any effects on the optimal solution. From above relationship, we could prove
that the relative idiosyncratic variance is enough to obtain the optimal pure-play weights.
The next step is to estimate relative idiosyncratic variances. We assume that idiosyncratic
variances are inversely proportional to the dollar amounts of each REIT’s holdings in each
property type because the more assets they hold, the more idiosyncratic variances can be
15
diversified away. For example, if we think of REIT i and j which hold property types o and r, the
relationship between idiosyncratic variances across REITs would be
Var (e~bi ) A j x aj
=
Var (~
eaj ) Ai xbi
(16)
where Ai is the dollar value of REIT i’s assets. Therefore, we can define the relative idiosyncratic
variances of REIT in another way by inserting a constant, Z, as below
Var (e~bi ) =
Z
Ai xbi
and Var (e~aj ) =
Z
Ai x aj
(17)
Using the above equation, we can estimate the relative idiosyncratic variance of each REIT from
its structural information, which can finish the constructions of the linear equations.
Method 2: Excel Solver Tool
Excel solver tool can identify the optimal solution by trial and error methods given specified
constraints. Keep in mind that our objective is to find the optimal weights which lead to the
minimum idiosyncratic variance. From above assumptions in the equation (17), we can obtain
total relative idiosyncratic variance of REIT i, which holds t property sectors as below
Var (e~i ) =
t
2 2
~ ) = w 2 x 2 ⎛⎜ Z
w
x
Var
e
(
∑
i ti
ti
i ∑ ti ⎜
t =1
t =1
⎝ Ai xti
t
t
⎞
⎛ 1
⎟⎟ = Zwi2 ∑ xti2 ⎜⎜
t =1
⎠
⎝ Ai xti
⎞
⎟⎟
⎠
(18)
Therefore, the total portfolio-level amount of idiosyncratic variance would be
i ⎛
t
⎛ 1
Var (e~P ) = Z ∑ ⎜⎜ wi2 ∑ xti2 ⎜⎜
i =1 ⎝
t =1
⎝ Ai xti
⎞⎞
⎟⎟ ⎟
⎟
⎠⎠
(19)
16
Now, we defined the whole components necessary to run Solver tool. The input of Solver tool is
made up of three parts: target cells, changing cells, and constraints.
•
Target Cells:
Make sure that the total idiosyncratic variance, equation (19), should be
minimum amount.
•
Changing Cells:
Make sure that the weight cells, wi, should be changing cells.
•
Constraints
Input several constraints defined above. When an office property is a target,
∑ w =1, ∑ w x
i
i
Oi
= 1, and
∑w x
i
Ri
=0
It is important to note that the optimal portfolio weights which lead to the minimum idiosyncratic
variance has nothing to do with the magnitude of a constant Z.
Comparison of results
We applied the two methods to the same situation in an effort to check the accuracy of the two
methodologies. Table 4 shows the main assumption, where there are 5 REITs, each of which has
different amount of assets but holds only two property sectors.
Table 4: Main assumption in the comparison of the two methodologies
Asset
(Ai)
Share of Firm Assets
Relative Idiosyncratic Var.
Hi
REIT 1
500
10%
90%
100%
Office
(Z/(AixOi))
2.00
REIT 2
400
25%
75%
100%
1.00
0.33
0.50
REIT 3
300
50%
50%
100%
0.67
0.67
0.67
REIT 4
200
60%
40%
100%
0.83
1.25
1.00
REIT 5
100
90%
10%
100%
1.11
10.00
2.00
Office (xOi)
Retail (xRi)
Total
Total
17
Retail
(Z/(AixRi))
0.22
0.40
Table 5: Comparison of the two methodologies, Matrix Inverse and Solver Tool
Matrix Inverse (1)
Office
Retail
Solver Tool (2)
Office
Difference (2)-(1)
Retail
Office
Retail
REIT 1
-0.6028
0.8156
-0.6046
0.8156
-0.0017
0.0000
REIT 2
-0.0142
0.4113
-0.0125
0.4112
0.0017
-0.0002
REIT 3
0.5745
0.0071
0.5736
0.0074
-0.0008
0.0003
REIT 4
0.5390
-0.0757
0.5411
-0.0757
0.0021
-0.0001
REIT 5
0.5035
-0.1584
0.5023
-0.1584
-0.0012
-0.0001
Total
1.0000
1.0000
1.0000
1.0000
0.0000
0.0000
As we can see in above Table 5, the resulting sets of optimal weights from two methods have
negligible differences. In following analysis of pure-play portfolios, we mainly conducted the
Matrix Inverse method since there is higher volume of operations in the Excel tool method.
2-3. Other Considerations
Adjusting for Debt
Until now, we just assumed that REITs hold 100% equity in their assets. However, we have to
know unlevered property level returns of REITs in case they use debt among their assets. To
apply above solution to REITs which hold debt in their assets, we need to redefine several
variables using leverage ratios of REITs. Leverage ratios are obtained from balance sheet
information across REITs and years. (See Appendix A)
The Data
As we can see in above equation (13), only one matrix inverse procedure can lead to the total
pure-play portfolio weights as long as we are able to get the appropriate input information of the
matrix equation (11). In other words, one of the most critical parts in pure-play analysis is data
18
gathering. The data we need to fill out the matrix consist of three parts: balance sheet
information, return data, and asset breakdown data.
First, balance sheet data is needed to identify the amount of idiosyncratic variance terms across
REITs and to unlever REIT returns using leverage ratios. Second, return data is needed to obtain
the total portfolio return from pure-play weights across REITs. These two kinds of information
are easy to obtain from financial data base such as CRSP (Center for Research in Security Prices).
Finally, we need information on the fraction of assets across specified sectors such as property
types and locations. This final information is the most challenging part to obtain and, in turn, the
most critical part in the pure-play analysis. It is impossible to get perfectly precise asset
breakdown because the balance sheet information is related to the book value while the asset
breakdown should be based on their market values. Moreover, the marked to market real estate
value across time and REITs is private information, which is difficult to obtain from all REITs
directly. Instead, we used publicly available data from NAREIT (The National Association of
REITs) and the commercial data service firm, SNL financial. Since this data is based on the lease
area, we converted area information into market values by multiplying price per SF data by
property type and region from NCREIF (National Council of Real Estate Investment Fiduciaries).
As explained above, very little information is required to construct a pure-play portfolio. We do
not need the statistical relationship between property returns and REIT returns. All we need is
the structural information on REITs and their balance sheet information to estimate the relative
magnitude of the idiosyncratic risk. In other words, the procedures of constructing pure-play
portfolios are very straightforward as long as the accuracy of data is guaranteed. In this research,
we followed an indirect path to obtain the structural information of REITs. More accurate and
market value-based information on REITs holding can lead to more reliable results.
19
CHAPTER 3: Application of Pure-play Portfolio
We applied above pure-play methodologies to construct REIT-based pure-play portfolios for
major property types (apartments, office, industrial, and retail) and geographic locations (east,
west, south, and midwest) for the period 1997-2003. For the analysis, we used area-based
property holding data from SNL financial and Morgan Stanley. We also used NCREIF market
value data to obtain value-based property holdings. For the geographic location, regional
breakdown of NCREIF was applied since our market values of properties can be organized
according to NCREIF regions. Property holdings and balance sheet data are on an annual basis;
we constructed annual pure-play portfolios across property types and geographic locations.
We started from publicly traded REITs across the period, which can be derived from NAREIT.
Among those REITs, about 50% of REITs were filtered out for the accuracy of analysis and the
relevance of information. The main considerations in the filtering process are as below.
Equity REITs: Equity REITs own and operate income-producing real estate but Mortgage
REITs lend money directly to real estate owners, or indirectly through acquisition of loans or
mortgage-backed securities. Hybrid REITs are companies that both own properties and make
loans to owners and operators. Even though there is technical way to adjust REIT investments
considering the percentage of mortgage in their assets, these mortgage REITs can introduce error
into the results because it is difficult to get the exact information on their mortgage holding
values and the accompanying returns.
Main-Property REITs: We exclude REITs which hold more than 10% of their property
holdings in property sectors such as health care, hotel, golf course, and self storage. It is not
possible to infer the values of those miscellaneous sectors from NAREIF information. In addition,
the other sectors would generate more short positions to get the pure-play portfolios of main
sectors, which, in turn, would magnify the idiosyncratic risk in the portfolio.
20
Adjustment: The remaining REITs after two tests are assumed to hold only major
property sectors, apartment, office, industrial, retail. Therefore, if one REIT hold 95% asset in
major sectors, the remaining 5% asset is distributed according to the proportions of asset in
major sectors.
We also excluded several REITs on which we cannot get structural information. This would not
make a major difference since the number of REITs whose data is unavailable is very small
compared to total number. In addition, the data of most major REITs which hold a large
magnitude of assets is available. The lists of REITs in pure-plays for geographic locations also
followed the same lists for property sectors of given year. Table 6 shows the summary of REITs
included in pure-play portfolios for 7 years. We can see the large increase in the average asset of
REITs compared to the number of REITs in the portfolios for 7 years. It is also important to note
that the average leverage ratio, average asset divided by average debt, is 2.61. Since we have to
achieve unlevered property level REITs returns, this high leverage ratios make the unlevered
REITs returns largely attributable to corporate bond index. The detailed explanation of REITs
leverage will be made in Appendix A.
Table 6 : Summary of Pure-Play Portfolios
Year
Number of
REITs
Total Asset
(Million $)
Total Debt
(Million $)
Av. Asset
(Million $)
Av. Debt
(Million $)
1997
1998
1999
2000
2001
2002
2003
Average
77
85
88
92
95
90
96
89
63,383
114,200
174,874
206,760
223,591
233,934
267,194
183,419
38,851
63,965
103,339
127,675
142,096
148,040
174,349
114,045
823
1,344
1,987
2,247
2,354
2,599
2,783
2,061
505
753
1,174
1,388
1,496
1,645
1,816
1,281
21
Av. Leverage
Ratio
2.58
2.27
2.44
2.61
2.74
2.72
2.88
2.61
3-1. Property-Type Pure-play Portfolios
General Characteristics
Table P1-P7 in Appendix B show the pure-play portfolios whose targets are major property
sectors, apartment, office, industrial, and industrial, for the period 1997-2003. Fourth and fifth
columns show total asset and leverage ratio (total asset divided by total equity) on a book-value
basis. The other parts explain the asset breakdown into property sectors and the final portfolio
weights. The positive signs in weights mean long positions and negative signs mean short
positions in their investments. As we can see, we should invest about 65% in bonds to obtain
property level REIT returns. Especially, retail pure-play portfolios need higher weights in bonds
since the REITs who specialize in retail sectors use higher leverage in their assets. The Ibbotson
corporate-bond total return index was used to represent bond returns in the portfolios since we
assumed that the general corporate bond index can represent the overall bond market regardless
of different industries.
The REITs industry has made a lot of progress over the past two decades in terms of the number
of REITs and specialization by property types. Specifically, after mid 90s a large number of
REITs tended to have specialized investment targets such as apartment and office. In other words,
many recent REITs are already individual pure play vehicles by themselves. We can see these
trends from their fractions of assets across property types. Except several REITs which
diversified well across property types, most REITs hold their specialized investment sectors.
These improvements in REITs industry make it possible to construct more effective pure-play
portfolios with small amount of short positions since large short positions act like leverage
within the portfolio, increasing idiosyncratic risk of the portfolio.
It is important to note that during the period 1997-2003 REIT industry has been stabilized in
terms of specialization and structure of investments. For instance, if we look at the pure-play
portfolio of apartment in 2003, the sum of short positions is only 1.37% with the lowest position
in one REIT 0.34%. Moreover, 96% of long positions are invested in residential REITs which
are classified by NAREIT. In other words, this result means that most REITs already hold pure-
22
play portfolio by themselves with regard to property types, so constructing pure-play portfolios
makes no big difference compared to investments in the specialized REITs according to the
target property types. In fact, if we compare pure-play portfolio index with NAREIF property
index adjusted with bond returns, we could come up with almost same index. This result will be
discussed in next section.
For comparison, we can contrast the pure-play portfolio in 2003 with 1987 which was
constructed by David Geltner and Brian Kluger in 1998. In 1987, there is small number of REITs
in the industry and the REITs were less specialized with regard to property types compared to the
present. Therefore, we need to have very large amount of short position to eliminate non-target
property sectors, which makes a great deal of noise in the return components and increases
idiosyncratic risk. For example, the 1987 apartment portfolio demanded 95% of the portfolio be
invested in just four REITs, and the total of all the required short positions equals 67% of the
entire portfolio value.
Another issue we need to consider is the frequency of rebalancing of portfolios. Before mid 90s,
there was a big change in the REIT industry with regard to the number of REITs and
specialization by property types. Therefore, we need to rebalance our pure-play portfolio at least
every year. However, during the period of 1997-2003 in our analysis, it is less necessary to
rebalance the portfolios as frequently because of the stabilization of REITs industry.
Nevertheless, we rebalanced our portfolios on an annual basis since we performed pure-play
procedures to not only property sectors but also geographical locations, which are less stabilized
than property sectors. In addition, the big increase in total assets can have an impact on the pureplay weights.
Historical Index of Pure-Play Return
One of the main objectives of constructing pure-play portfolio is to compute the historical returns
and compare those returns with comparable returns. The analysis of investment performance by
property type can be very important for several perspectives. From a fundamental perspective,
23
disaggregating by property type can allow the richness in the study of the economic relationship
between underlying property markets and capital markets. From an investment analysis
perspective, property type has always been considered a major dimension for diversification of
real estate portfolios. NAREIT property index which has been constructed from 1993 by
classifying each REIT as representing a given property type has the same motivation. In addition
to the above considerations, the correlations between REIT pure-play returns with those of total
markets can help obtain the beta components with regard to overall market situations. For
instance, the relative volatility of pure-play portfolios across property types compared to the total
REIT market can represent the risk component of a given property type. That risk components
can be translated to market beta, which have an impact on the required cost of capital of
investment.
From the pure-play weights that we derived in table P1-P7 in Appendix B and the past return
components including corporate bond index, we can compute historical returns of REIT-based
pure-play portfolios for four property sectors. As explained above, the Ibbotson corporate-bond
total return index was used to represent bond returns. Table 7 shows the historical returns and
Index of pure-play portfolios for the period 1997-2003. The Index value of pure-play returns was
obtained by computing compound return of one dollar value invested in 1996. We can see that,
industrial and retail sectors outperformed apartment and office sectors for the past 7 years.
24
Table 7: Historical Index of Pure-Play Quarterly Returns vs. NCREIF unsmoothed Quarterly Returns, 1997~2003
Pure-Play Index Returns
Quarterly Total Return (%)
Year
Q
1996
4
1997
1
-0.3%
2
4.4%
3
7.0%
4
2.4%
1
2
1998
1999
2000
2001
2002
2003
APT
office
Indus
trial
NCREIF Index Returns (Unsmoothed)
Cumulative Total Value ($)
Retail
APT
office
Industr
ial
Quarterly Total Return (%)
Retail
APT
office
Industr
ial
Cumulative Total Value ($)
Retail
APT
Office
Indus
trial
Retail
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
-0.2%
-1.8%
1.00
1.01
1.00
0.98
0.7%
-0.5%
3.1%
1.3%
1.01
0.99
1.03
1.01
4.8%
4.1%
5.3%
1.04
1.06
1.04
1.04
3.8%
4.6%
4.3%
3.6%
1.05
1.04
1.07
1.05
10.7%
10.2%
5.4%
1.11
1.17
1.14
1.09
3.4%
7.2%
5.9%
3.3%
1.08
1.12
1.14
1.08
3.3%
5.9%
4.0%
1.14
1.21
1.21
1.14
5.3%
9.5%
4.2%
4.0%
1.14
1.22
1.19
1.13
1.5%
-0.6%
-0.3%
2.2%
1.16
1.20
1.21
1.16
1.1%
5.4%
2.7%
3.9%
1.15
1.29
1.22
1.17
0.5%
-1.9%
0.2%
2.4%
1.16
1.18
1.21
1.19
4.3%
4.5%
6.7%
3.7%
1.20
1.35
1.30
1.21
3
-0.5%
-4.7%
1.4%
1.5%
1.16
1.12
1.23
1.20
3.7%
2.1%
2.5%
2.4%
1.24
1.37
1.33
1.24
4
-0.7%
0.7%
-2.3%
1.1%
1.15
1.13
1.20
1.22
3.7%
5.2%
2.6%
3.5%
1.29
1.44
1.37
1.29
1
-1.9%
-2.2%
-4.2%
-4.4%
1.13
1.10
1.15
1.16
1.6%
0.7%
1.4%
3.9%
1.31
1.45
1.38
1.34
0.7%
2
4.6%
3.4%
3.6%
-0.4%
1.18
1.14
1.19
1.16
2.1%
3.1%
3.7%
2.0%
1.34
1.50
1.44
1.36
3
-2.5%
-4.8%
-4.0%
-2.7%
1.15
1.09
1.14
1.13
2.5%
3.2%
3.3%
2.7%
1.37
1.55
1.48
1.40
4
0.3%
0.3%
2.3%
-1.7%
1.16
1.09
1.17
1.11
4.3%
2.7%
2.1%
3.2%
1.43
1.59
1.51
1.44
1
2.0%
2.6%
2.3%
2.9%
1.18
1.12
1.20
1.14
0.9%
2.4%
2.9%
1.7%
1.44
1.63
1.56
1.47
2
5.6%
5.3%
6.8%
2.2%
1.25
1.18
1.28
1.17
3.4%
4.2%
4.3%
3.3%
1.49
1.69
1.62
1.52
3
6.0%
6.9%
6.4%
3.3%
1.32
1.26
1.36
1.20
2.6%
2.9%
3.7%
2.0%
1.53
1.74
1.68
1.55
4
6.4%
5.7%
4.1%
5.4%
1.40
1.33
1.42
1.27
5.2%
4.1%
4.9%
0.9%
1.61
1.81
1.77
1.56
1
2.0%
0.6%
0.4%
6.0%
1.43
1.34
1.42
1.35
0.1%
-0.1%
-0.2%
2.3%
1.62
1.81
1.76
1.60
2
4.0%
4.9%
4.3%
4.3%
1.49
1.40
1.48
1.40
3.8%
1.7%
3.8%
1.6%
1.68
1.84
1.83
1.62
3
3.0%
2.2%
0.1%
2.0%
1.53
1.43
1.48
1.43
1.6%
0.3%
0.9%
2.8%
1.70
1.85
1.85
1.67
4
1.6%
0.8%
3.4%
4.4%
1.56
1.45
1.53
1.50
1.3%
-1.9%
-0.7%
1.2%
1.72
1.81
1.83
1.69
1
1.9%
2.5%
4.4%
2.9%
1.59
1.48
1.60
1.54
2.1%
2.3%
2.7%
2.4%
1.76
1.85
1.88
1.73
2
3.1%
3.7%
7.3%
6.3%
1.64
1.54
1.72
1.64
1.7%
0.2%
1.0%
3.8%
1.79
1.86
1.90
1.79
3
0.9%
1.1%
2.9%
6.0%
1.65
1.55
1.77
1.73
3.9%
1.8%
2.6%
3.6%
1.86
1.89
1.95
1.86
4
1.6%
1.3%
1.8%
2.1%
1.68
1.57
1.80
1.77
1.1%
-1.5%
2.1%
5.4%
1.88
1.86
1.99
1.96
1
0.8%
1.9%
2.4%
3.6%
1.69
1.60
1.84
1.84
2.7%
3.1%
2.6%
6.0%
1.93
1.92
2.04
2.08
2
7.0%
8.6%
6.0%
7.2%
1.81
1.74
1.95
1.97
3.3%
1.3%
1.5%
4.2%
2.00
1.94
2.07
2.17
3
2.9%
0.6%
2.6%
1.5%
1.86
1.75
2.01
2.00
1.4%
2.1%
3.4%
0.4%
2.03
1.98
2.14
2.17
4
1.0%
4.0%
3.4%
2.7%
1.88
1.82
2.07
2.05
2.7%
1.7%
2.9%
9.6%
2.08
2.02
2.21
2.38
25
Comparison with NCREIF returns
The pure-play index is based on REIT and Bond returns, and therefore represents the economics
of public securities and bond market. In other words, REIT performance can be attributable to
underlying property market, stock market, and REIT-level management power such as asset
management and financial leverage. On the contrary, NCREIF index is based on the privately
held properties of institutional investors. NCREIF index is the most widely used benchmark of
appraisal-based total returns to commercial property of institutional investors. Therefore, the
performance of NCREIF index can be attributable to the economic of the underlying property
market although there are some smoothing and lagging effects caused by the appraisal process
and the index construction procedure.
Recent studies have suggested that there are interesting differences and similarities between
REIT returns index and appraisal-based returns index. Specifically, several recent studies have
suggested that REIT returns and appraisal based returns are fundamentally related, but with
REIT returns leading appraisal returns by one to three years. From the several perspectives
mentioned above, it is very interesting to compare REIT-based index with appraisal-based
NCREIF index.
The right eight columns in table 7 show NCREIF quarterly returns and compound return values
invested in 1996. The NCREIF returns have been unsmoothed using the procedures described in
Fisher, Geltner and Webb (1994). This unsmoothing technique is applied to correct for the effect
of appraisal smoothing and temporal aggregation. NCREIF returns consist of two components,
income returns and appreciation returns, and there are two ways to define the corresponding
income components: NOI based and Cash flow based. According to Michael, David, Willard,
Douglas (1995), if the bulk of the REIT share price appreciation reflects property development
and acquisitions that are largely externally financed, the comparable form of the NCREIF Index
appreciation returns should be the official NOI-based definition. If, on the other hand, the bulk of
the REIT share price appreciation reflects same-store property market value growth and routine
capital improvement expenditures that are internally financed (essentially, from the cash flow
generated by the REITs’ property holdings), then the cash flow based definition of appreciation
26
return in the NCREIF Index is best to use for comparability to REIT price appreciation. We used
cash flow based returns since we assumed that method would more accurately portray the actual
price path of properties over time given the reality of capital improvements to the properties.
Figure 1 shows the values of $1 invested to pure-play portfolios and NAREIF index at the end of
1996 for each property type which were computed in Table 7. The overall movements of the
index value are almost similar, but NCREIF returns outperformed REIT-based pure-play returns
by small amount. In particular, REIT portfolios suffered very lower returns in the period of
1997-1999 in every sector because of the general poor performance of REIT market. After that
period, REIT-based pure-play returns slightly outperformed NCREIF returns, decreasing the gap
between two indices. From the shape of index line and the summary statistics explained in next
section, we can see that the returns of REIT portfolio tend to be more volatile than NCREIF
returns, even though the REIT-based returns are unlevered and the NCREIF returns are
unsmoothed.
Figure 1 : Value of $1 invested at the end of 1996, REIT-based Pure-Play vs. NCREIF
Apartments
2.50
Value($)
2.00
1.50
1.00
0.50
0.00
03-4
03-2
27
02-4
NCREIF
02-2
Pure-Play
01-4
01-2
00-4
00-2
99-4
99-2
98-4
98-2
97-4
97-2
96-4
Quarter
Industrial
2.50
Value($)
2.00
1.50
1.00
0.50
0.00
01-4
02-2
02-4
03-2
03-4
01-4
02-2
02-4
03-2
03-4
01-2
00-4
00-2
99-4
99-2
98-4
98-2
97-4
97-2
96-4
Quarter
Pure-Play
NCREIF
Office
2.50
Value($)
2.00
1.50
1.00
0.50
0.00
01-2
00-4
00-2
99-4
99-2
98-4
98-2
97-4
97-2
96-4
Quarter
Pure-Play
NCREIF
We can also see that the best performance property sectors during the past 7 years are industrial
and retail sectors both in REIT pure-play index and NCREIF index.
28
Retail
3.00
Value($)
2.50
2.00
1.50
1.00
0.50
0.00
03-4
03-2
02-4
02-2
01-4
01-2
00-4
00-2
99-4
99-2
98-4
98-2
97-4
97-2
96-4
Quarter
Pure-Play
NCREIF
Although the orders of performance do not perfectly match between two indices, the general
trends of performance are very similar with each other. We can infer that the difference in
absolute index value can be caused by the different characteristics of two market, public REIT
market and private property market. However, the economics of underlying properties in both
markets can make the relative values almost similar. For example, if apartment properties
generate higher returns than other sectors in property market, the REITs which specialize in an
apartment sector tend to have higher performance than other REITs.
Table 9 shows the summary statistics for the quarterly returns of REIT-based pure-play portfolio
and unsmoothed NCREIF index. As explained above, pure-play portfolios have higher volatility
and lower average returns than NCREIF returns. The correlations between pure-play portfolios
and NCREIF returns for the same property sectors are around 25%. We can infer that the
potential lagging situation between two markets and the difference in market economics can lead
to these low correlations. On the other hand, the correlations between different property sectors
in the same market show very close movements except for the retail sector in NCREIF returns.
29
Table 8: Basic Statistics for REIT-based pure-play portfolio, NCREIF unsmoothed Return, and Other Index based on quarterly returns, 1997~2003
Pure-Play Quarterly Return (%)
APT
Office
Indus
trial
NCREIF Unsmoothed Return (%)
Retail
APT
Office
Indus
trial
Retail
Adjusted NAREIT property INDEX (%)
APT
Office
Indus
Trial
Retail
S&P
500
Corp.
Bond
Index
Mean
2.3%
2.2%
2.7%
2.6%
2.7%
2.6%
2.9%
3.2%
2.3%
2.3%
2.6%
2.6%
2.3%
2.1%
Median
1.9%
2.0%
2.8%
2.8%
2.6%
2.3%
2.8%
3.2%
1.6%
2.1%
3.1%
2.6%
2.8%
2.1%
Maxi.
7.0%
10.7%
10.2%
7.2%
5.3%
9.5%
6.7%
9.6%
7.5%
12.8%
8.6%
7.3%
21.3%
9.0%
Min.
-2.5%
-4.8%
-4.2%
-4.4%
0.1%
-1.9%
-0.7%
0.4%
-2.5%
-3.9%
-3.7%
-4.3%
-17.3%
-3.6%
2.6%
3.5%
3.3%
2.9%
1.4%
2.5%
1.6%
1.8%
2.6%
3.6%
3.1%
2.8%
10.3%
3.0%
Standard deviation
CORRELATION
Pure-Play
NCREIF
APT
100.0%
Office
89.6%
100.0%
Industrial
81.5%
82.6%
100.0%
Retail
63.1%
60.8%
66.9%
100.0%
APT
21.8%
22.1%
29.8%
20.1%
100.0%
Office
22.1%
23.5%
25.3%
8.6%
63.9%
100.0%
Industrial
30.2%
26.8%
28.0%
-0.2%
58.7%
70.5%
100.0%
-17.5%
6.9%
1.6%
6.5%
11.6%
8.0%
-1.7%
100.0%
Retail
NAREIT
APT
99.1%
89.1%
82.4%
64.9%
30.5%
25.5%
31.4%
-14.0%
100%
Property
Office
86.7%
97.6%
80.7%
59.8%
21.0%
28.0%
27.3%
6.6%
87%
100%
Industrial
83.0%
83.7%
97.5%
69.3%
20.9%
18.7%
19.8%
1.9%
83%
81%
100%
Retail
66.8%
64.0%
71.2%
99.4%
21.1%
10.2%
2.2%
8.7%
69%
62%
74%
100%
3.9%
18.5%
-1.0%
-16.0%
9.1%
22.2%
13.2%
22.3%
6%
20%
-2%
-16%
100%
36.4%
31.6%
39.1%
79.1%
37.7%
18.5%
6.0%
7.6%
41%
34%
38%
78%
-36%
S&P 500
Corporate Bond Index
30
100%
Comparison with NAREIT property returns
Over the past 10 years, REIT industry experienced considerable specialization into property
sectors. Therefore, it has been very easy to classify one REIT as representing a given property
sector. As of Dec. 2003, there were only 16 REITs classified as diversified out of 173 NAREIT
member companies. The whole remaining REITs have their own specialty in the property sectors
such as apartment, office, and retail. NAREIT constructed NAREIT sub-index of property from
1993 according to their classifications. Property index is calculated using portfolios whose
weights are proportional to their market capitalization within their specialized property sectors.
We included NAREIT property index in our quarterly return analysis to compare the results with
pure-play portfolio returns. To make “apples to apples” comparison with unlevered pure-play
returns, the index was adjusted using the weights of debt investment in the pure-play portfolios.
For instance, if 50% debt investment is needed in the pure-play portfolio of the apartment sector
in 2000, the adjusted NAREIT property index of apartment in a given year is achieved by
applying the same 50% weight in debt investment. By doing so, we can obtain the comparable
return components independent of bond returns. Table 8 also includes several basic statistics of
adjusted NAREIT property index and Figure 2 shows the quarterly returns of three different
indices: Pure-play portfolio, Unsmoothed NCREIF index, and NAREIF property index.
As we can see, the minimum correlation between pure-play portfolio and adjusted NAREIT
index is 97.5%. Since the REIT industry already specialized in its investment across property
sectors, the investment strategy of focusing one specialized property sector does not make a big
difference with pure-play portfolios. We can expect these results from above pure-play
computations since, for example, pure-play portfolio for apartment in 2003 calls for 96% long
positions in apartment REITs classified by NAREIT. Figure 2 shows that the pure-play and
NAREIT returns are almost similar to each other, sometimes perfectly overlap.
31
Figure 2 : Quarterly returns for Pure-Play, NCREIF, and NAREIT for property sectors, 1997~2003
Apartments
10.0%
8.0%
Value($)
6.0%
4.0%
2.0%
0.0%
03-1
03-3
03-1
03-3
02-3
02-1
01-3
01-1
00-3
00-1
99-3
99-1
98-3
98-1
97-3
97-1
-2.0%
-4.0%
Quarter
Pure-Play
NCREIF
NAREIT
Office
14.0%
12.0%
10.0%
Value($)
8.0%
6.0%
4.0%
2.0%
0.0%
02-3
02-1
01-3
01-1
00-3
00-1
99-3
99-1
98-3
98-1
97-3
97-1
-2.0%
-4.0%
-6.0%
Quarter
Pure-Play
NCREIF
32
NAREIT
Industrial
12.0%
10.0%
8.0%
Value($)
6.0%
4.0%
2.0%
0.0%
03-1
03-3
03-1
03-3
02-3
02-1
01-3
01-1
00-3
00-1
99-3
99-1
98-3
98-1
97-3
97-1
-2.0%
-4.0%
-6.0%
Quarter
Pure-Play
NCREIF
NAREIT
Retail
12.0%
10.0%
8.0%
Value($)
6.0%
4.0%
2.0%
0.0%
02-3
02-1
01-3
01-1
00-3
00-1
99-3
99-1
98-3
98-1
97-3
97-1
-2.0%
-4.0%
-6.0%
Quarter
Pure-Play
NCREIF
33
NAREIT
Lagged Correlation
With regard to the statistical relationship between REIT-based pure-play portfolio and NAREIF
sub-index, the correlations shown in Table 8 are contemporaneous correlations using quarterly
returns within sectors. However, according to the previous study, quarterly contemporaneous
correlations are subject to obfuscation by noise and transient effects. Therefore, more
fundamental relationship between two markets can be identified using annual return across time.
In this analysis, the results of the previous pure-play study by Geltner and Kluger (1998) are
used since 7 year data is not enough to get reliable statistical results. Therefore, we computed
lagged correlations between pure-play portfolio and NCREIF sub-index using 17 year (19872003) annual return data.
Previous research has shown that REIT-based returns tend to lead private-property returns by
several years. Table 9 shows annual-frequency lagged correlations between pure-play portfolio
and NAREIF sub-indices within each property type. With no lag in time, office and industrial
sectors show positive correlations while apartment and retail sectors have negative relation. By
increasing lag up to 4 years, we can see more substantial positive correlations between two
markets. In particular, all four property types display positive correlation at two-year lag.
Therefore, these results can partly support the previous research that the REIT market tends to
lead property market by some years.
Table 9: Lagged Correlation between REIT-based pure-play portfolios and NCREIF, annual frequency total returns,
1987~2003
Lag(Year)
Apartment
Office
Industrial
Retail
0
-76%
43%
48%
-11%
1
-34%
57%
47%
46%
2
44%
40%
53%
25%
3
31%
45%
64%
-3%
4
5%
37%
46%
-22%
34
3-2. Geographic Location Pure-play Portfolios
General Characteristics
After applying the procedures of pure-play
Figure 3: Geographic Locations by NCREIF
portfolios and historical index to property
usages, we applied the same procedures to
geographic locations, which are classified as
West, East, South, and Midwest by NCREIF
(See figure 3). For the effective comparison
and
data availability, the same REITs from
property-type portfolios are picked up for a
given year.
Table G1-G7 in Appendix B show the pure-play portfolios whose targets are locations, West,
East, South, and Midwest, for the period 1997-2003. Every data in table is organized in the same
way as the property-type case except that the location classification is used instead of the
property type. As mentioned above, most REITs have specialized investment targets across
property types. As for locations, on the other hand, we can see that the assets of many REITs are
more diversified than property types. Therefore, to cancel out untargeted sectors, we should use
larger amount of short positions within the portfolios. For example, if we see the pure-play
portfolio in 2003, the sum of short positions of south is 29.96%, which is fairly high compared to
1.37% of the apartment-targeted portfolio in 2003. In addition, to get the same portfolio, we
should have long positions in 50 REITs out of 96 but, in case of the apartment portfolio in 2003,
only 27 REITs get long positions. In one sense, large number of REITs in long positions can be
thought to be helpful in the diversification effect of idiosyncratic risks. However, this advantage
tends to be offset by small amount of total assets in long position and large amount of assets in
short position. Therefore, pure-play results of locations can have more noise in the return
components and accompanying idiosyncratic risks.
35
It is also important to note that even though the assets of REITs are more diversified across
geographic locations than property usages, most part of long positions are held by several big
REITs which have large assets in given regions. This result is the same as the case of property
type pure-plays.
Historical Index of Pure-Play Return vs. NCREIF
Again, we computed the historical returns of pure-play portfolios and compared those returns
with comparable returns, NCREIF sub-indices. Like the case of property sectors, we achieved
historical returns of REIT-based pure-play portfolios for four geographic locations from the
pure-play weights in table G1-G7 in Appendix B and the past return information on REITs and
corporate bond index. Table 10 shows the quarterly returns of pure-play portfolios and NCREIF
for the period 1997-2003. Here, NCREIF index is also adjusted using unsmoothing technique
applied to the previous property typed case. Figure 4 shows the comparison of performance for
four different regions, which is interpreted as the amount of $1 invested in 1996.
We can see that the West region outperformed the other regions in both REIT and NCREIF
index for the past 7 years. However, the orders of performance from 2nd to 4th are a little different.
For instance, REIT-based pure-play results are sorted as West, Midwest, East, and South by
descending order but NCREIF results are West, East, South, and Midwest. This can result from
REIT-specific management components which are assumed to be different for every sector,
different economics of stock market and underlying property market, and the possible data noise
from the construction of pure-play portfolios. If we see Figure 4, the overall movements of index
for the two markets are almost similar, but NCREIF returns outperformed REIT-based pure-play
returns by small amount except Midwest region. For the same reason of the property sector case,
REIT portfolios suffered low returns or losses in the period of 1997~1999.
36
Table 10: Historical Index of Pure-Play Quarterly Returns vs. NCREIF unsmoothed Quarterly Returns, 1997~2003
Pure-Play Index Returns
Quarterly Total Return (%)
Year
Q
1996
1997
4
1
2
3
4
1
2
3
4
1
2
3
4
1
2
3
4
1
2
3
4
1
2
3
4
1
2
3
4
1998
1999
2000
2001
2002
2003
East
West
South
Mid
west
-1.0%
4.4%
7.5%
3.4%
1.1%
0.1%
-1.7%
0.7%
-3.2%
2.1%
-4.1%
-0.6%
2.1%
1.7%
5.4%
6.2%
3.8%
3.9%
2.7%
3.0%
3.2%
4.5%
2.8%
1.3%
1.8%
8.8%
1.6%
3.5%
1.8%
3.8%
9.3%
3.3%
-0.3%
-1.0%
-2.4%
1.3%
-1.9%
4.3%
-3.7%
0.8%
3.8%
7.7%
9.4%
5.5%
-1.7%
4.8%
2.4%
1.4%
2.1%
3.7%
1.7%
1.4%
2.0%
7.0%
1.8%
2.6%
-2.3%
6.0%
6.0%
3.3%
0.9%
0.6%
-1.9%
-1.8%
-2.7%
3.0%
-2.3%
-0.5%
2.2%
5.6%
2.6%
5.2%
5.0%
5.2%
1.6%
1.9%
2.7%
4.2%
4.1%
2.4%
1.8%
7.8%
1.3%
3.3%
-0.8%
5.3%
6.9%
4.8%
1.7%
1.7%
3.2%
0.2%
-4.9%
0.4%
-3.8%
0.5%
1.5%
4.6%
3.9%
5.4%
4.1%
4.0%
1.0%
3.4%
2.5%
7.7%
2.2%
1.8%
4.1%
5.2%
1.8%
0.7%
NCREIF Index Returns (Unsmoothed)
Cumulative Total Return ($)
East
1.00
0.99
1.03
1.11
1.15
1.16
1.16
1.14
1.15
1.11
1.14
1.09
1.08
1.11
1.13
1.19
1.26
1.31
1.36
1.40
1.44
1.48
1.55
1.59
1.62
1.65
1.79
1.82
1.88
West
1.00
1.02
1.06
1.15
1.19
1.19
1.18
1.15
1.16
1.14
1.19
1.15
1.16
1.20
1.29
1.41
1.49
1.46
1.53
1.57
1.59
1.63
1.69
1.72
1.74
1.77
1.90
1.93
1.98
South
1.00
0.98
1.04
1.10
1.14
1.15
1.15
1.13
1.11
1.08
1.11
1.09
1.08
1.10
1.17
1.20
1.26
1.32
1.39
1.41
1.44
1.48
1.54
1.60
1.64
1.67
1.80
1.82
1.88
Mid
west
1.00
0.99
1.04
1.12
1.17
1.19
1.21
1.25
1.25
1.19
1.19
1.15
1.16
1.17
1.23
1.27
1.34
1.40
1.45
1.47
1.52
1.55
1.67
1.71
1.74
1.81
1.90
1.94
1.95
37
Quarterly Total Return (%)
East
West
South
Mid
west
0.9%
4.5%
4.7%
7.3%
2.3%
4.8%
3.1%
4.3%
1.7%
2.7%
3.8%
3.1%
1.6%
4.4%
4.9%
3.1%
0.5%
3.1%
0.9%
0.5%
2.3%
2.0%
3.2%
1.8%
2.5%
2.5%
3.8%
4.0%
2.2%
5.2%
5.7%
6.7%
2.7%
6.7%
2.4%
3.1%
1.2%
3.5%
2.5%
4.1%
2.8%
5.1%
2.9%
7.3%
-1.3%
3.3%
1.3%
-0.4%
2.8%
1.3%
2.6%
1.7%
2.8%
2.5%
2.7%
4.5%
0.6%
3.6%
4.6%
5.0%
5.5%
4.3%
1.6%
3.6%
2.7%
1.9%
3.0%
2.3%
1.6%
3.1%
1.6%
2.3%
1.1%
2.6%
1.2%
-1.0%
2.7%
0.6%
2.9%
0.0%
5.5%
1.3%
0.8%
2.7%
1.9%
2.7%
5.1%
4.2%
2.3%
3.0%
4.4%
4.6%
1.1%
3.4%
3.0%
1.8%
1.6%
2.3%
2.2%
1.6%
2.3%
1.4%
0.3%
-0.8%
1.9%
1.9%
2.4%
1.4%
1.5%
2.9%
0.9%
1.2%
Cumulative Total Return ($)
East
1.00
1.01
1.05
1.10
1.18
1.21
1.27
1.31
1.37
1.39
1.43
1.48
1.53
1.55
1.62
1.70
1.75
1.76
1.81
1.83
1.84
1.88
1.92
1.98
2.02
2.07
2.12
2.20
2.29
West
1.00
1.02
1.08
1.14
1.21
1.25
1.33
1.36
1.40
1.42
1.47
1.50
1.57
1.61
1.69
1.74
1.87
1.84
1.90
1.93
1.92
1.98
2.00
2.05
2.09
2.15
2.20
2.26
2.36
South
1.00
1.01
1.04
1.09
1.14
1.21
1.26
1.28
1.32
1.36
1.39
1.43
1.46
1.48
1.53
1.55
1.59
1.61
1.65
1.67
1.65
1.70
1.71
1.76
1.76
1.86
1.88
1.90
1.95
Mid
west
1.00
1.02
1.05
1.10
1.15
1.17
1.21
1.26
1.32
1.33
1.38
1.42
1.44
1.47
1.50
1.53
1.56
1.59
1.62
1.62
1.61
1.64
1.67
1.71
1.73
1.76
1.81
1.82
1.85
Figure 4 : Value of $1 invested at the end of 1996, REIT-based Pure-Play vs. NCREIF
East
2.50
Value($)
2.00
1.50
1.00
0.50
0.00
01-4
02-2
02-4
03-2
03-4
01-4
02-2
02-4
03-2
03-4
01-2
00-4
00-2
99-4
99-2
98-4
98-2
97-4
97-2
96-4
Quarter
Pure-Play
NCREIF
West
2.50
Value($)
2.00
1.50
1.00
0.50
0.00
01-2
00-4
00-2
99-4
99-2
98-4
98-2
97-4
97-2
96-4
Quarter
Pure-Play
NCREIF
38
02-2
02-4
03-2
03-4
01-4
02-2
02-4
03-2
03-4
01-2
Quarter
01-4
NCREIF
Pure-Play
01-2
39
00-4
00-2
99-4
99-2
98-4
98-2
97-4
97-2
96-4
NCREIF
Pure-Play
00-4
00-2
99-4
99-2
98-4
98-2
97-4
97-2
96-4
1.50
1.00
Value($)
1.50
1.00
Value($)
South
2.50
2.00
0.50
0.00
Quarter
Midwest
2.50
2.00
0.50
0.00
Contemporaneous Correlation and Lagged Correlation
Table 11 shows the summary statistics for the quarterly returns of the REIT-based pure-play
portfolio and unsmoothed NCREIF index. As explained above, pure-play portfolios have higher
volatility than NCREIF returns due to the unique characteristic of stock market. Figure 5 shows
these quarterly returns for two markets. The correlations between pure-play portfolios and
NCREIF returns for the same regions are very low positive amount, from 2.8% to 38.8%. These
results are also attributable to the potential lagging situation between two markets and the
difference in market economics. We can obtain very high correlations between different regions
in the same market. Since there is no NAREIT sub-index for geographic locations, we can not
perform the comparison with the comparable NAREIT index. Alternatively, the pure-play
technique can be used in constructing NAREIT sub-index for different locations.
Table 11: Basic Statistics for REIT-based pure-play portfolio of geographic locations, and
NCREIF unsmoothed Return, 1997~2003
Pure-Play Quarterly Return (%)
NCREIF Unsmoothed Return (%)
S&P
500
Bond
Index
East
West
South
Mid
west
Mean
2.3%
2.5%
2.3%
2.5%
3.0%
3.1%
2.4%
2.2%
2.3%
2.1%
Median
2.4%
2.1%
2.5%
2.3%
3.1%
2.8%
2.5%
2.1%
2.8%
2.1%
Max.
8.8%
9.4%
7.8%
7.7%
7.3%
7.3%
5.5%
5.1%
21.3%
9.0%
Min.
-4.1%
-3.7%
-2.7%
-4.9%
0.5%
-1.3%
-1.0%
-0.8%
-17.3%
-3.6%
Standard deviation
2.9%
3.3%
2.8%
2.8%
1.6%
2.0%
1.6%
1.3%
10.3%
3.0%
East
West
South
Mid
west
CORRELATION
Pure-Play East
NCREIF
100.0%
West
77.6%
100.0%
South
88.8%
69.6%
100.0%
Midwest
80.3%
61.8%
78.3%
100.0%
East
12.8%
30.8%
15.0%
21.6%
100.0%
West
20.2%
38.8%
23.7%
24.4%
77.8%
100.0%
South
-2.9%
2.5%
2.8%
5.0%
59.4%
59.3%
Midwest
100.0%
5.5%
11.3%
3.1%
17.8%
59.9%
43.5%
50.7%
100.0%
S&P 500
5.6%
13.2%
-2.9%
-12.4%
19.9%
21.7%
17.9%
12.4%
100%
Bond Index
56.4%
24.2%
53.1%
65.0%
17.7%
15.6%
12.2%
25.2%
-36%
40
100%
From the same motivation as the case of property types, we computed lagged correlation using
annual returns of pure-play portfolios and NCREIF index to identify the tendency of REIT
industry to lead property market. This time, only 7 year data, 1997-2003, is used since the
previous data regarding pure-play returns for locations is unavailable. Table 12 shows annualfrequency lagged correlations. Even though the data is not sufficient to ensure that the result is
reliable and relevant, we can see the similar trend as before case. By increasing lag up to 3 years,
very substantial positive correlations between two markets appeared. In particular, all regions
display almost over 75% correlation at three-year lag, with Midwest region at two-year lag.
Table 12: Lagged Correlation between REIT-based pure-play portfolios and NCREIF, annual frequency total
returns, 1997~2003
Lag(Year)
East
West
South
Midwest
0
1
2
3
-1%
-43%
39%
77%
51%
-60%
-18%
75%
-49%
-14%
46%
93%
-11%
4%
89%
-2%
Figure 5: Quarterly returns for Pure-Play and NCREIF for geographic locations, 1997~2003
East
10.0%
8.0%
Value($)
6.0%
4.0%
2.0%
0.0%
Pure-Play
NCREIF
41
03-3
Quarter
03-1
-6.0%
02-3
-4.0%
02-1
01-3
01-1
00-3
00-1
99-3
99-1
98-3
98-1
97-3
97-1
-2.0%
West
12.0%
10.0%
8.0%
Value($)
6.0%
4.0%
2.0%
0.0%
02-1
02-3
03-1
03-3
02-1
02-3
03-1
03-3
01-3
01-1
00-3
00-1
99-3
99-1
98-3
98-1
97-3
97-1
-2.0%
-4.0%
-6.0%
Quarter
Pure-Play
NCREIF
South
10.0%
8.0%
Value($)
6.0%
4.0%
2.0%
0.0%
01-3
01-1
00-3
00-1
99-3
99-1
98-3
98-1
97-3
97-1
-2.0%
-4.0%
Quarter
Pure-Play
NCREIF
42
Midwest
10.0%
8.0%
Value($)
6.0%
4.0%
2.0%
0.0%
03-3
03-1
02-3
02-1
01-3
01-1
00-3
00-1
99-3
99-1
98-3
98-1
97-3
97-1
-2.0%
-4.0%
-6.0%
Quarter
Pure-Play
NCREIF
Conclusion
A REIT-based pure-play portfolio is defined as an optimal combination of long and short
positions in REITs, such that the portfolio can replicate the investment returns to a specified
target sector without any direct exposure to other sectors. We applied this concept of pure-play
portfolios to the publicly traded REITs for property sectors and geographic locations for the
period 1997-2003. Even though most REITs have recently specialized investment targets for the
property types, this analysis make investors and analysts identify the performance of targeted
property sectors for the given period, which can help take investment positions according to their
target sectors in REIT market. In addition, the performance comparison with private-based
NCREIF sub-index reveals some similarities and differences, which result from the different
characteristics of two markets. The analysis of lagged correlation for annual returns shows that
publicly traded REIT tends to lead the privately owned property market by two or three years.
The most critical factor in pure-play analysis is the accuracy and reliability of structural data. We
followed an indirect way to get the property holding information. More relevant and direct data
from each REIT will facilitate this pure-play process.
43
References
David Geltner and Brian Kluger. 1998. REIT-Based Pure-Play Portfolios: The Case of Property
Type. Real Estate Economics 26(4): pp. 581-612
Richard Barkham, David Geltner, and Brian Kluger. Using Pure-Play Portfolios for Real Estate
Investment and Cost of Capital Estimation: A British Example. Real Estate Finance, Fall 1998:
pp. 25-36.
David Geltner. 1991. Smoothing in Appraisal Based Returns. Journal of Real Estate Finance &
Economics 4(3): pp. 327-345
Michael S. Young, David Geltner, Willard McIntosh, and Douglas M. Poutasse. 1995. Defining
Commercial Property Income & Appreciation Returns for Comparability to Stock Market-Based
Measures. Real Estate Finance 12(2)
Appendix A: Adjusting for Debt
Most REITs use debts in their investments in real estate. As the main objective of a pure-play
portfolio is to identify REITs-level management components on the property-level basis, we
have to adjust levered equity-level returns of REITs to unlevered property-level returns in case
they hold debts on the liability sides. This adjustment technique starts from the equation (2) in
Chapter 2 which explains the return components of REIT i in the two-property case.
~
ri = x Ri (~
rR + e~Ri ) + xOi (~
rO + e~Oi )
(2)
Where ~
ri is the property-level return to REIT i. When a REIT’s capital structure consists of debt
and equity, the return on assets can be computed using weighted average of the returns on debt
and equity. Therefore, the return to REIT i can be rewritten as below in equation (A-1)
E E Di D
~
ri = i ~
ri +
r
TAi
TAi
(A-1)
44
Where E is for equity, D is for debt, and TA is for asset. From the equations (2) and (A-1), we
can construct the new equation which reflects the relation between the capital structure and pureplay returns of REIT i.
Ei ~ E Di D
ri +
r = x Ri (~
rR + ~
eRi ) + xOi (~
rO + ~
eOi )
TAi
TAi
(A-2)
Now rearranging the above equation after multiplying by TA/E results in
TA
TA
D
~
r iE = i x Ri (~
rR + e~Ri ) + i xOi (~
rO + e~Oi ) − i r D
Ei
Ei
Ei
(A-3)
Here, we define the x* as proportions of properties multiplied by TA/E (the equity multiplier) as
below
*
x Ri
=
TAi
x Ri ,
Ei
*
xOi
=
TAi
xOi
Ei
(A-4)
From the equation (A-3) and (A-4), the equity-level return of REIT i can be shown as below
D
* ~
* ~
~
r iE = x Ri
( rR + e~Ri ) + xOi
( rO + ~
eOi ) − i r D
Ei
(A-5)
Now consider a pure-play portfolio which is targeted to an office sector using REIT weights, wi
and a debt weight, wD. The portfolio return is then as below
n
n
n
n
n
D
*
*
* ~
* ~
~
rP = ∑ wi ~
ri E + wD r D = ~
rO ∑ wi xOi
+~
rR ∑ wi x Ri
+ ∑ ( wi xOi
eOi + wi x Ri
eRi ) − r D ∑ wi i + wD r D
Ei
i =1
i =1
i =1
i =1
i =1
n
n
D
* ~
* ~
D
~
= rO + ∑ ( wi xOi eOi + wi x Ri eRi ) − r ∑ wi i + wD r D
Ei
i =1
i =1
45
(A-6)
because the weight constrains of the equations (5) are also applied after the category proportions
of total assets are restated as proportions of total equity.
n
∑ wi x Ri* = 0 and
i =1
n
∑w x
i =1
i
*
Oi
=1
(A-7)
In addition, since the modified proportions(x*) sum to the equity multiplier, TA/E, for each REIT
and the total weights of equity(wi) and debt(wD) sum to one, the debt weight can be expressed as
wD =
n
∑
i =1
wi
Di
Ei
(A-8)
From equations (A-7) and (A-8), the return of pure-play portfolio, (A-6), simplifies to
~
rP = ~
rO +
n
∑ (w x
i =1
i
* ~
e~ + wi x Ri
eRi )
*
Oi Oi
(A-9)
We can now unlever the portfolio returns on the basis of a property-level. It is important to note
that the debt term drops out of the portfolio equation. Therefore, the minimization process is
exactly the same as in the all-equity case except that each x is restated as x* which is a fraction of
equity. Since the variance minimization problem is identical, the ways of two methods are also
same except for the definition of a fraction of sector. The bond weight can be achieved from one
subtracted by the REIT weights.
Appendix B: Pure-play portfolio for property types and geographic locations
-
Table P1-P7 : Pure-play portfolio for property types for 1997-2003
-
Table G1-G7: Pure-play portfolio for geographic locations for 1997-2003
46
Table P-1: Pure-play Portfolio for property types, 1997
1997 - Property Type
Ticker
Asset
Fraction of Property Types
TA/E
REITs
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
Arden Realty Group, Inc.
Brandywine Realty Trust
CarrAmerica Realty Corporation
Corporate Office Properties Trust
Highwoods Properties, Inc.
Mack-Cali Realty Corporation
Parkway Properties, Inc.
Prentiss Properties Trust
Bedford Property Investors, Inc.
Duke Realty Corporation
Kilroy Realty Corporation
Liberty Property Trust
PS Business Parks Inc.
Reckson Associates Realty Corp.
CenterPoint Properties Trust
EastGroup Properties, Inc.
First Industrial Realty Trust, Inc.
Monmouth Real Estate Investment Corp.
ProLogis Trust
Acadia Realty Trust
Agree Realty Corporation
Developers Diversified Realty
Federal Realty Investment Trust
Kimco Realty Corporation
KRANZCO REALTY TRUST
Malan Realty Investors, Inc.
New Plan Excel Realty Trust, Inc.
Ramco-Gershenson Properties Trust
Regency Centers Corporation
Saul Centers, Inc.
Tanger Factory Outlet Centers, Inc.
Weingarten Realty Investors
CBL & Associates Properties, Inc.
General Growth Properties, Inc.
Glimcher Realty Trust
Macerich Company, The
Mills Corporation, The
Rouse Company, The
Simon Property Group, Inc.
Taubman Centers, Inc.
Alexander's, Inc.
Commercial Net Lease Realty, Inc.
One Liberty Properties, Inc.
Realty Income Corporation
Manufactured Home Communities, Inc.
Sun Communities, Inc.
Amli Residential Properties Trust
Apartment Investment & Management
Archstone-Smith Trust
Associated Estates Realty Corporation
AvalonBay Communities Inc.
BRE Properties, Inc.
Camden Property Trust
Equity Residential
Essex Property Trust, Inc.
Gables Residential Trust
Home Properties, Inc.
Mid-America Apartment Communities,
Post Properties, Inc.
Summit Properties Inc.
Tarragon Realty Investors, Inc.
Town and Country Trust, The
United Dominion Realty Trust, Inc.
Forest City Enterprises
BODDIE NOELL PROPERTIES INC
Colonial Properties Trust E
Cousins Properties Incorporated E
Crescent Real Estate Equities Company E
First Union Real Estate Investments E
Glenborough Realty Trust Incorporated
Income Opportunity Realty Investors
Lexington Corporate Properties, Inc.
Pennsylvania Real Estate Investment
Sizeler Property Investors, Inc. E
Transcontinental Realty Investors, Inc
Vornado Realty Trust E
Washington Real Estate Investment Trust E
Debt
APT
ARI
BDN
CRE
OFC
HIW
CLI
PKY
PP
BED
DRE
KRC
LRY
PSB
RA
CNT
EGP
FR
MNRTA
PLD
AKR
ADC
DDR
FRT
KIM
KRT
MAL
NXL
RPT
REG
BFS
SKT
WRI
CBL
GGP
GRT
MAC
MLS
RSE
SPG
TCO
ALX
NNN
OLP
O
MHC
SUI
AML
AIV
ASN
AEC
AVB
BRE
CPT
EQR
ESS
GBP
HME
MAA
PPS
SMT
TARR
TCT
UDR
FCE.A
BNP
CLP
CUZ
CEI
FUR
GLB
IOT
LXP
PEI
SIZ
TCI
VNO
WRE
551
178
1,537
24
1,443
1,026
147
531
232
1,361
128 1,153
28
544
451
281
1,023
33
2,462
259
121
975
1,035
1,023
119
218
945
323
387
263 332
831
1,026
1,758
949
1,188
863
3,643
5,896
379
212
371
53
454
568
585
504
835
2,282
418
712
784
604
2,986
417
760
249
611
959
635
29
383
1,967
4,418
103
948
557
1,731
441
186
64
309
178
278
245
565
318
1.7
1.4
2.0
2.6
1.9
1.5
1.9
1.6
1.9
1.8
1.1
3.1
1.1
2.9
1.8
1.9
1.9
2.0
1.5
4.6
5.0
2.1
2.7
1.7
1.6
6.2
1.4
2.7
1.9
10.0
3.0
2.1
3.8
5.3
3.1
5.0
18.9
20.6
4.5
1.0
38.0
1.5
1.7
1.2
2.2
1.9
2.1
3.7
1.8
2.6
1.7
1.7
2.0
2.0
1.9
2.7
3.0
2.5
2.4
2.5
2.9
5.4
2.3
6.7
4.2
3.4
1.9
2.0
2.9
1.9
2.8
3.3
3.8
3.1
3.1
2.0
1.6
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.03
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.18
0.00
0.00
0.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
0.82
1.00
1.00
0.53
0.93
0.37
0.00
0.00
0.00
0.09
0.00
0.00
0.00
0.56
0.46
0.01
0.20
47
office Industrial
1.00
0.98
1.00
1.00
0.91
0.99
1.00
0.87
0.47
0.38
0.77
0.60
1.00
0.97
0.02
0.11
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.25
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.22
0.01
0.00
0.00
0.00
0.00
0.00
0.00
1.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.17
0.00
0.16
0.88
0.72
1.00
0.82
1.00
0.38
0.00
0.00
0.39
0.31
0.53
0.00
0.02
0.00
0.00
0.09
0.01
0.00
0.13
0.53
0.60
0.23
0.40
0.00
0.03
0.98
0.89
1.00
0.89
1.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.05
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.30
0.06
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.28
0.00
0.08
0.00
0.37
0.01
0.00
0.03
0.17
0.10
WEIGHT
Retail
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.02
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.11
0.00
1.00
1.00
1.00
0.97
1.00
1.00
1.00
1.00
1.00
1.00
0.75
1.00
0.94
0.99
1.00
1.00
1.00
1.00
0.77
0.99
1.00
1.00
1.00
0.52
0.94
1.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.16
0.00
0.00
0.30
0.07
0.46
0.12
0.00
0.00
0.00
0.00
0.25
0.99
0.44
0.12
0.51
0.17
APT
office
-0.11%
-0.04%
-0.26%
0.00%
-0.22%
-0.23%
-0.03%
-0.09%
-0.01%
-0.06%
0.03%
-0.06%
-0.01%
-0.06%
0.02%
0.00%
0.04%
0.00%
0.12%
-0.01%
-0.01%
-0.11%
-0.02%
-0.15%
-0.02%
-0.01%
-0.16%
-0.03%
-0.05%
0.01%
-0.03%
-0.09%
-0.07%
-0.08%
-0.07%
-0.06%
-0.01%
-0.05%
-0.32%
-0.09%
0.00%
-0.06%
0.03%
-0.08%
-0.06%
-0.10%
1.45%
1.34%
7.60%
0.95%
2.47%
2.78%
1.77%
8.74%
1.33%
1.69%
0.50%
1.45%
2.39%
1.54%
0.05%
0.42%
5.10%
2.03%
0.14%
0.58%
-0.10%
-0.17%
-0.05%
0.03%
-0.01%
-0.01%
-0.01%
0.29%
0.21%
-0.05%
0.19%
58.04%
3.70%
1.40%
8.78%
0.10%
7.57%
7.73%
0.87%
3.01%
0.46%
1.83%
-0.90%
2.06%
0.30%
2.00%
-0.66%
-0.20%
-1.56%
-0.04%
-4.69%
-0.03%
-0.01%
-0.28%
-0.22%
-0.33%
-0.04%
-0.02%
-0.38%
-0.07%
-0.12%
-0.06%
-0.06%
-0.26%
-0.14%
-0.18%
-0.18%
-0.14%
-0.03%
0.36%
-0.59%
-0.21%
0.00%
-0.15%
-0.04%
-0.27%
-0.15%
3.35%
-0.08%
-0.07%
-0.42%
-0.05%
-0.14%
-0.15%
-0.10%
-0.48%
-0.06%
-0.09%
-0.03%
-0.08%
-0.13%
-0.08%
0.00%
-0.02%
-0.28%
1.01%
-0.01%
0.40%
2.91%
6.21%
1.70%
0.87%
0.25%
0.28%
-0.03%
-0.04%
0.32%
0.74%
1.07%
55.09%
Industrial Retail
-0.97%
-0.33%
-2.31%
-0.03%
-0.64%
-1.93%
-0.23%
0.05%
1.14%
8.36%
-0.27%
2.39%
-0.08%
-0.41%
4.89%
2.57%
10.77%
0.29%
32.33%
0.00%
0.00%
0.01%
0.00%
-0.01%
0.00%
0.00%
-0.01%
0.00%
0.00%
0.02%
0.00%
0.42%
-0.01%
-0.01%
0.00%
0.00%
0.00%
-0.10%
-0.06%
0.00%
0.00%
0.00%
0.19%
0.41%
0.00%
-0.88%
0.02%
0.02%
0.10%
0.01%
0.03%
0.04%
0.02%
0.11%
0.01%
0.02%
0.01%
0.02%
0.03%
0.02%
0.00%
0.01%
0.07%
-0.30%
0.00%
-0.13%
-0.77%
3.05%
-0.45%
-0.07%
-0.07%
0.59%
0.01%
0.00%
-0.03%
0.71%
0.08%
41.30%
-0.19%
-0.07%
-0.46%
-0.01%
-0.40%
-0.40%
-0.05%
-0.17%
-0.03%
-0.10%
0.05%
-0.13%
-0.02%
-0.11%
0.00%
-0.01%
-0.01%
0.01%
-0.02%
0.25%
0.11%
2.04%
1.64%
2.63%
0.32%
0.15%
2.87%
0.52%
0.90%
-0.08%
0.48%
1.64%
1.18%
1.43%
1.32%
1.04%
0.20%
0.57%
5.61%
1.60%
0.02%
1.10%
0.07%
1.54%
1.12%
-0.18%
-0.06%
-0.05%
-0.31%
-0.04%
-0.10%
-0.11%
-0.07%
-0.35%
-0.05%
-0.07%
-0.02%
-0.06%
-0.10%
-0.06%
0.01%
-0.02%
-0.21%
0.71%
0.00%
0.51%
0.00%
-0.37%
-0.09%
-0.05%
-0.01%
0.08%
0.20%
0.16%
0.01%
0.56%
0.08%
71.90%
Table P-2: Pure-play Portfolio for property types, 1998
1998 - Property Type
Ticker
Asset
Fraction of Property Types
TA/E
REITs
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
84
85
Alexandria Real Estate Equities, Inc.
Arden Realty Group, Inc.
Boston Properties, Inc.
Brandywine Realty Trust
CarrAmerica Realty Corporation
Corporate Office Properties Trust
Equity Office Properties Trust
Highwoods Properties, Inc.
HRPT Properties Trust
Mack-Cali Realty Corporation
Parkway Properties, Inc.
Prentiss Properties Trust
Prime Group Realty Trust
SL Green Realty Corp.
Bedford Property Investors, Inc.
Duke Realty Corporation
Kilroy Realty Corporation
Liberty Property Trust
PS Business Parks Inc.
Reckson Associates Realty Corp.
AMB Property Corp.
CenterPoint Properties Trust
EastGroup Properties, Inc.
First Industrial Realty Trust, Inc.
Monmouth Real Estate Investment Corp.
Acadia Realty Trust
Agree Realty Corporation
Developers Diversified Realty
Federal Realty Investment Trust
Kimco Realty Corporation
Malan Realty Investors, Inc.
New Plan Excel Realty Trust, Inc.
Pan Pacific Retail Properties, Inc.
Ramco-Gershenson Properties Trust
Regency Centers Corporation
Saul Centers, Inc.
Tanger Factory Outlet Centers, Inc.
Weingarten Realty Investors
CBL & Associates Properties, Inc.
General Growth Properties, Inc.
Glimcher Realty Trust
Macerich Company, The
Mills Corporation, The
Rouse Company, The
Simon Property Group, Inc.
Taubman Centers, Inc.
Alexander's, Inc.
Commercial Net Lease Realty, Inc.
One Liberty Properties, Inc.
Realty Income Corporation
Manufactured Home Communities, Inc.
Sun Communities, Inc.
Amli Residential Properties Trust
Apartment Investment & Management
Archstone-Smith Trust
Associated Estates Realty Corporation
AvalonBay Communities Inc.
BRE Properties, Inc.
Camden Property Trust
Cornerstone Realty Income Trust
Equity Residential
Essex Property Trust, Inc.
Gables Residential Trust
Home Properties, Inc.
Mid-America Apartment Communities,
Post Properties, Inc.
Roberts Realty Investors, Inc.
Summit Properties Inc.
Tarragon Realty Investors, Inc.
Town and Country Trust, The
United Dominion Realty Trust, Inc.
Forest City Enterprises
BODDIE NOELL PROPERTIES INC
Colonial Properties Trust E
Cousins Properties Incorporated E
Crescent Real Estate Equities Company E
First Union Real Estate Investments E
Glenborough Realty Trust Incorporated
Income Opportunity Realty Investors
Lexington Corporate Properties, Inc.
Pennsylvania Real Estate Investment
Sizeler Property Investors, Inc. E
Transcontinental Realty Investors, Inc
Vornado Realty Trust E
Washington Real Estate Investment Trust E
Debt
APT
ARE
ARI
BXP
BDN
CRE
OFC
EOP
HIW
HRP
CLI
PKY
PP
PGE
SLG
BED
DRE
KRC
LRY
PSB
RA
AMB
CNT
EGP
FR
MNRTA
AKR
ADC
DDR
FRT
KIM
MAL
NXL
PNP
RPT
REG
BFS
SKT
WRI
CBL
GGP
GRT
MAC
MLS
RSE
SPG
TCO
ALX
NNN
OLP
O
MHC
SUI
AML
AIV
ASN
AEC
AVB
BRE
CPT
TCR
EQR
ESS
GBP
HME
MAA
PPS
RPI
SMT
TARR
TCT
UDR
FCE.A
BNP
CLP
CUZ
CEI
FUR
GLB
IOT
LXP
PEI
SIZ
TCI
VNO
WRE
248
1,284
1,673
621
2,744
194
11,752
2,722
2,136
2,593
369
1,240
741
383
434
2,176
758
2,094
29
1,113
2,506
699
413
2,272
45
255
130
1,392
1,317
1,344
216
1,261
487
485
827
261 416
947
1,245
2,098
1,164
1,505
927
3,590
7,663
557
235
537
58
577
864
691
680
2,101
2,806
554
1,318
1,342
1,324
474
7,095
739
981
544
1,194
1,781
118
825
37
366
2,314
2,963
166
1,397
618
4,180
820
866
90
467
166
276
319
2,524
469
1.5
1.9
9.6
1.5
1.8
16.6
1.8
1.9
1.7
2.2
1.5
1.8
3.3
2.2
1.3
1.8
1.9
2.2
1.1
2.5
1.5
1.8
1.6
2.7
2.3
5.2
2.4
2.1
2.4
1.8
6.4
1.7
1.6
3.8
1.6
6.9
3.4
2.4
3.8
4.2
2.3
7.0
9.4
7.7
4.9
1.0
18.0
1.5
1.8
1.3
3.1
2.1
2.5
2.0
1.8
3.1
1.7
1.9
1.9
1.5
1.9
1.9
2.2
3.6
2.6
2.4
4.4
3.1
3.8
7.3
2.2
10.5
3.0
2.8
1.7
1.9
3.1
1.5
3.6
2.3
4.1
3.3
3.7
1.9
1.9
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.02
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.03
0.20
0.00
0.00
0.00
0.00
0.00
0.02
0.00
0.00
0.24
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.11
0.00
0.00
0.00
1.00
1.00
1.00
1.00
1.00
0.89
1.00
1.00
1.00
0.94
1.00
1.00
1.00
0.98
1.00
1.00
0.81
1.00
0.98
0.51
0.91
0.46
0.00
0.00
0.17
0.09
0.45
0.00
0.24
0.55
0.49
0.00
0.16
48
office Industrial
1.00
1.00
0.61
0.91
1.00
0.82
0.93
0.89
1.00
0.98
1.00
0.77
0.64
1.00
0.57
0.38
0.73
0.57
1.00
0.79
0.00
0.03
0.15
0.00
0.00
0.00
0.00
0.02
0.00
0.01
0.00
0.00
0.01
0.00
0.03
0.25
0.00
0.01
0.01
0.00
0.00
0.00
0.00
0.20
0.03
0.00
0.00
0.00
0.11
0.00
0.64
1.00
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.01
0.00
0.00
0.05
0.00
0.00
0.15
0.00
0.13
0.71
0.74
0.13
0.55
0.50
0.40
0.01
0.00
0.33
0.35
0.53
0.00
0.00
0.02
0.09
0.00
0.00
0.06
0.11
0.00
0.01
0.00
0.23
0.36
0.00
0.42
0.55
0.27
0.43
0.00
0.20
0.84
0.94
0.60
1.00
0.91
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.06
0.00
0.00
0.00
0.00
0.00
0.02
0.00
0.00
0.00
0.00
0.23
0.05
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.25
0.00
0.26
0.00
0.35
0.02
0.00
0.09
0.17
0.12
WEIGHT
Retail
0.00
0.00
0.37
0.00
0.00
0.18
0.01
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.01
0.07
0.00
0.00
0.00
0.00
0.16
0.01
0.04
0.00
0.09
1.00
1.00
0.97
0.98
0.99
1.00
0.75
0.98
1.00
0.97
0.75
1.00
0.93
0.99
1.00
1.00
1.00
1.00
0.78
0.97
1.00
1.00
1.00
0.55
0.95
0.36
0.00
0.00
0.00
0.00
0.00
0.00
0.10
0.00
0.00
0.00
0.05
0.00
0.00
0.00
0.01
0.00
0.00
0.13
0.00
0.02
0.33
0.09
0.41
0.29
0.01
0.70
0.10
0.05
0.24
0.73
0.45
0.09
0.48
0.18
APT
office
-0.01%
-0.04%
-0.02%
-0.02%
-0.08%
0.00%
-0.30%
-0.07%
-0.07%
0.00%
-0.01%
-0.03%
-0.01%
-0.01%
-0.01%
-0.06%
-0.02%
-0.04%
0.00%
-0.02%
-0.08%
0.03%
0.18%
-0.02%
0.00%
-0.01%
-0.01%
-0.12%
-0.05%
-0.14%
-0.01%
0.56%
-0.06%
-0.02%
-0.09%
0.01%
-0.02%
-0.06%
-0.06%
-0.09%
-0.09%
-0.04%
-0.02%
-0.07%
-0.28%
-0.10%
0.00%
-0.07%
0.01%
-0.08%
-0.03%
-0.02%
0.98%
3.81%
5.59%
0.66%
2.89%
2.28%
2.57%
1.15%
13.44%
1.36%
1.64%
0.55%
1.68%
2.70%
0.10%
0.97%
0.03%
0.18%
3.77%
0.51%
0.18%
0.77%
-0.03%
-0.07%
0.12%
0.17%
0.04%
-0.02%
0.03%
0.16%
0.15%
-0.12%
0.13%
53.28%
0.58%
2.34%
0.35%
1.28%
5.40%
0.03%
19.93%
4.01%
4.41%
3.92%
0.85%
1.54%
0.34%
0.61%
0.39%
0.24%
0.80%
1.08%
0.10%
1.06%
-2.89%
-0.70%
-0.18%
-1.72%
-0.04%
-0.01%
-0.01%
-0.13%
-0.15%
-0.17%
-0.01%
-0.15%
-0.07%
-0.03%
-0.08%
-0.03%
-0.03%
-0.14%
-0.08%
-0.13%
-0.13%
-0.06%
-0.03%
0.21%
-0.26%
-0.15%
0.00%
-0.10%
-0.01%
-0.15%
0.59%
1.14%
-0.01%
-0.06%
-0.09%
-0.01%
-0.04%
-0.04%
-0.04%
-0.02%
-0.20%
-0.01%
-0.02%
-0.01%
-0.02%
-0.02%
0.00%
-0.01%
0.00%
0.00%
-0.05%
0.12%
0.00%
0.16%
0.89%
4.56%
0.07%
0.78%
0.04%
0.13%
-0.01%
-0.01%
0.08%
0.97%
0.39%
48.94%
Industrial Retail
-0.34%
-1.35%
-0.19%
-0.19%
-3.12%
-0.02%
-6.01%
-0.04%
-2.54%
-2.16%
-0.49%
1.50%
0.99%
-0.35%
1.94%
9.88%
1.12%
5.45%
-0.06%
0.74%
22.37%
5.79%
2.40%
13.66%
0.29%
-0.01%
-0.02%
-0.17%
-0.17%
-0.20%
-0.01%
-0.18%
-0.08%
-0.04%
-0.18%
0.03%
-0.04%
0.25%
-0.11%
-0.15%
-0.15%
-0.07%
-0.03%
-0.17%
-0.55%
-0.17%
0.00%
-0.11%
0.10%
0.20%
-0.39%
-0.66%
-0.01%
-0.02%
-0.01%
0.00%
-0.02%
0.01%
-0.02%
-0.01%
-0.08%
-0.02%
-0.01%
0.00%
-0.01%
0.02%
0.00%
-0.01%
0.00%
0.00%
-0.01%
-0.12%
0.00%
-0.20%
-0.56%
5.42%
-0.13%
1.77%
-0.03%
0.98%
0.00%
-0.01%
0.06%
2.47%
0.21%
44.14%
-0.04%
-0.18%
0.20%
-0.12%
-0.42%
0.00%
-1.47%
-0.35%
-0.34%
-0.31%
-0.07%
-0.19%
-0.06%
-0.05%
-0.08%
-0.02%
-0.11%
-0.27%
-0.01%
-0.12%
0.50%
-0.11%
-0.03%
-0.26%
0.00%
0.17%
0.19%
2.29%
1.90%
2.58%
0.12%
1.94%
1.04%
0.45%
1.75%
-0.10%
0.43%
1.27%
1.16%
1.75%
1.76%
0.76%
0.35%
1.25%
5.32%
1.92%
0.05%
1.28%
0.06%
1.45%
0.31%
-0.09%
-0.05%
-0.19%
-0.27%
-0.03%
-0.15%
0.12%
-0.12%
-0.06%
-0.69%
0.00%
-0.08%
-0.03%
-0.09%
-0.13%
0.00%
-0.05%
0.00%
-0.01%
-0.13%
0.29%
0.01%
0.65%
0.31%
-0.53%
0.64%
0.06%
0.00%
0.13%
0.10%
0.13%
0.01%
2.01%
0.11%
70.59%
Table P-3: Pure-play Portfolio for property types, 1999
1999 - Property Type
Ticker
Asset
Fraction of Property Types
TA/E
REITs
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
84
85
86
87
88
Alexandria Real Estate Equities, Inc.
Arden Realty Group, Inc.
Boston Properties, Inc.
Brandywine Realty Trust
CarrAmerica Realty Corporation
Corporate Office Properties Trust
Equity Office Properties Trust
Highwoods Properties, Inc.
HRPT Properties Trust
Mack-Cali Realty Corporation
Parkway Properties, Inc.
Prentiss Properties Trust
Prime Group Realty Trust
SL Green Realty Corp.
Bedford Property Investors, Inc.
Duke Realty Corporation
Kilroy Realty Corporation
Liberty Property Trust
Mission West Properties
PS Business Parks Inc.
Reckson Associates Realty Corp.
AMB Property Corp.
CenterPoint Properties Trust
EastGroup Properties, Inc.
First Industrial Realty Trust, Inc.
Monmouth Real Estate Investment Corp.
ProLogis Trust
Acadia Realty Trust
Agree Realty Corporation
Developers Diversified Realty
Equity One, Inc.
Federal Realty Investment Trust
Kimco Realty Corporation
Kramont Realty Trust
Malan Realty Investors, Inc.
New Plan Excel Realty Trust, Inc.
Pan Pacific Retail Properties, Inc.
Ramco-Gershenson Properties Trust
Regency Centers Corporation
Saul Centers, Inc.
Tanger Factory Outlet Centers, Inc.
Weingarten Realty Investors
CBL & Associates Properties, Inc.
General Growth Properties, Inc.
Glimcher Realty Trust
Macerich Company, The
Mills Corporation, The
Rouse Company, The
Simon Property Group, Inc.
Taubman Centers, Inc.
Alexander's, Inc.
Commercial Net Lease Realty, Inc.
One Liberty Properties, Inc.
Realty Income Corporation
Manufactured Home Communities, Inc.
Sun Communities, Inc.
Amli Residential Properties Trust
Apartment Investment & Management
Archstone-Smith Trust
Associated Estates Realty Corporation
AvalonBay Communities Inc.
BRE Properties, Inc.
Camden Property Trust
Cornerstone Realty Income Trust
Equity Residential
Essex Property Trust, Inc.
Gables Residential Trust
Home Properties, Inc.
Mid-America Apartment Communities,
Post Properties, Inc.
Roberts Realty Investors, Inc.
Summit Properties Inc.
Tarragon Realty Investors, Inc.
Town and Country Trust, The
United Dominion Realty Trust, Inc.
BNP Residential Properties, Inc.
Colonial Properties Trust E
Cousins Properties Incorporated E
Crescent Real Estate Equities Company E
First Union Real Estate Investments E
Glenborough Realty Trust Incorporated
Income Opportunity Realty Investors
Lexington Corporate Properties, Inc.
Pennsylvania Real Estate Investment
Sizeler Property Investors, Inc. E
Transcontinental Realty Investors, Inc
Vornado Realty Trust E
Washington Real Estate Investment Trust E
Debt
APT
ARE
ARI
BXP
BDN
CRE
OFC
EOP
HIW
HRP
CLI
PKY
PP
PGE
SLG
BED
DRE
KRC
LRY
MSW
PSB
RA
AMB
CNT
EGP
FR
MNRTA
PLD
AKR
ADC
DDR
EQY
FRT
KIM
KRT
MAL
NXL
PNP
RPT
REG
BFS
SKT
WRI
CBL
GGP
GRT
MAC
MLS
RSE
SPG
TCO
ALX
NNN
OLP
O
MHC
SUI
AML
AIV
ASN
AEC
AVB
BRE
CPT
TCR
EQR
ESS
GBP
HME
MAA
PPS
RPI
SMT
TARR
TCT
UDR
BNP
CLP
CUZ
CEI
FUR
GLB
IOT
LXP
PEI
SIZ
TCI
VNO
WRE
530
2,332
5,235
1,912
3,793
564
14,261
4,314
3,064
3,452
592
1,871
1,165
778
598
2,854
1,106
2,933
520
709
1,855
3,563
818
568
2,554
56
4,331
529
150
2,127
153
1,484
3,051
225
257
1,385
706
544
1,240
271 472
1,107
1,855
4,027
1,558
2,322
970
5,155
13,277
1,481
317
686
83
759
1,177
821
786
4,268
5,060
841
4,030
1,631
2,348
552
10,700
932
1,586
1,012
1,366
2,067
125
1,199
357
432
3,755
221
1,755
753
5,043
787
1,879
89
647
482
286
382
4,426
559
2.7
1.7
5.5
2.6
2.1
3.3
2.0
2.3
1.7
2.4
1.8
2.2
3.3
1.5
1.7
1.8
2.3
2.3
15.6
1.4
2.6
2.0
2.0
1.8
2.4
2.0
1.9
3.4
2.8
2.4
1.9
2.8
1.9
2.8
5.0
1.8
1.8
3.7
2.3
7.3
4.1
2.1
4.5
4.4
3.2
4.0
12.3
8.2
3.9
2.8
45.5
1.8
1.6
1.7
3.8
2.4
2.3
2.2
1.9
3.2
1.7
2.1
2.0
1.6
2.0
2.4
2.8
2.8
2.6
2.0
4.7
3.3
4.7
13.7
2.7
3.9
2.9
2.0
2.1
5.2
2.3
3.8
3.2
3.5
3.8
4.2
2.5
2.2
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.04
0.00
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.03
0.14
0.00
0.00
0.00
0.12
0.00
0.00
0.04
0.02
0.00
0.00
0.00
0.23
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.10
0.00
0.00
0.00
1.00
1.00
1.00
1.00
1.00
0.91
1.00
1.00
1.00
0.96
1.00
1.00
1.00
0.98
1.00
1.00
0.81
1.00
0.99
0.94
0.42
0.00
0.00
0.17
0.34
0.38
0.00
0.21
0.56
0.47
0.00
0.16
49
office Industrial
1.00
0.99
0.78
0.92
1.00
0.91
0.95
0.84
1.00
0.98
1.00
0.83
0.86
1.00
0.63
0.40
0.77
0.57
1.00
0.94
0.81
0.00
0.04
0.11
0.00
0.00
0.00
0.00
0.00
0.02
0.02
0.00
0.01
0.02
0.00
0.00
0.01
0.00
0.01
0.24
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.18
0.01
0.00
0.00
0.00
0.16
0.00
0.65
1.00
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.01
0.00
0.00
0.10
0.00
0.00
0.00
0.14
0.76
0.77
0.13
0.47
0.49
0.51
0.01
0.00
0.38
0.47
0.52
0.00
0.00
0.01
0.08
0.00
0.00
0.04
0.09
0.00
0.00
0.00
0.17
0.14
0.00
0.36
0.54
0.23
0.43
0.00
0.06
0.18
0.89
0.93
0.72
1.00
0.91
1.00
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.10
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.20
0.03
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.21
0.00
0.14
0.00
0.32
0.01
0.00
0.08
0.13
0.15
WEIGHT
Retail
0.00
0.01
0.21
0.00
0.00
0.09
0.01
0.04
0.00
0.00
0.00
0.00
0.00
0.00
0.01
0.06
0.00
0.00
0.00
0.00
0.00
0.11
0.01
0.03
0.00
0.09
0.00
0.88
1.00
0.97
0.93
0.98
0.99
0.98
1.00
0.76
0.99
1.00
0.99
0.76
1.00
0.89
0.99
1.00
1.00
1.00
1.00
0.80
0.99
1.00
1.00
1.00
0.54
0.96
0.35
0.00
0.00
0.00
0.00
0.00
0.00
0.08
0.00
0.00
0.00
0.03
0.00
0.00
0.00
0.01
0.00
0.00
0.09
0.00
0.01
0.06
0.44
0.24
0.01
0.70
0.05
0.12
0.17
0.77
0.44
0.07
0.40
0.17
APT
office
-0.01%
-0.05%
-0.04%
-0.02%
-0.06%
-0.01%
-0.20%
0.09%
-0.06%
0.00%
-0.01%
-0.03%
-0.01%
-0.02%
-0.01%
-0.05%
-0.02%
-0.04%
0.00%
-0.02%
-0.02%
-0.05%
0.01%
0.09%
-0.03%
0.00%
-0.06%
0.03%
0.00%
-0.05%
0.00%
0.00%
-0.10%
0.00%
0.00%
0.38%
-0.02%
-0.01%
-0.03%
0.00%
-0.01%
-0.02%
-0.03%
-0.06%
-0.03%
-0.04%
0.00%
-0.03%
-0.21%
-0.03%
0.00%
-0.02%
0.01%
-0.03%
-0.01%
-0.01%
0.79%
4.39%
6.04%
0.60%
5.40%
1.60%
2.69%
0.78%
12.29%
0.86%
1.29%
0.83%
1.19%
2.38%
0.06%
0.83%
0.14%
0.07%
3.12%
0.12%
0.57%
-0.02%
-0.05%
0.05%
0.64%
0.02%
-0.01%
0.06%
0.10%
0.10%
-0.06%
0.08%
53.96%
0.43%
2.91%
1.54%
1.40%
3.87%
0.32%
13.97%
3.23%
3.89%
2.97%
0.70%
1.40%
0.60%
1.10%
0.37%
0.63%
0.70%
1.11%
0.07%
0.96%
1.12%
-1.30%
-0.27%
-0.11%
-0.85%
-0.02%
-1.81%
-0.02%
-0.01%
-0.11%
-0.01%
-0.09%
-0.24%
-0.01%
-0.01%
-0.10%
-0.06%
-0.02%
-0.08%
-0.01%
-0.02%
-0.12%
-0.06%
-0.15%
-0.08%
-0.10%
-0.01%
0.15%
-0.49%
-0.09%
0.00%
-0.06%
0.00%
-0.08%
0.42%
0.73%
-0.01%
-0.06%
-0.09%
-0.01%
-0.08%
-0.02%
-0.04%
-0.01%
-0.18%
-0.01%
-0.02%
-0.01%
-0.02%
-0.02%
0.00%
-0.01%
0.01%
0.00%
-0.04%
0.00%
0.13%
0.60%
3.57%
0.02%
0.72%
0.02%
0.16%
-0.02%
-0.01%
0.07%
1.49%
0.24%
55.43%
Industrial Retail
-0.16%
-1.10%
-0.55%
-0.05%
-1.46%
-0.12%
-2.93%
0.08%
-1.47%
-1.07%
-0.26%
0.61%
0.15%
-0.41%
0.82%
6.35%
0.57%
3.79%
-0.03%
-0.15%
0.59%
12.65%
3.04%
1.80%
8.49%
0.20%
18.15%
-0.02%
-0.01%
-0.06%
-0.01%
-0.06%
-0.15%
-0.01%
-0.01%
-0.07%
-0.04%
-0.02%
-0.07%
0.01%
-0.01%
0.38%
-0.05%
-0.10%
-0.05%
-0.06%
-0.01%
-0.07%
-0.40%
-0.06%
0.00%
-0.04%
0.07%
0.08%
-0.17%
-0.27%
-0.01%
-0.05%
-0.05%
-0.01%
-0.06%
0.00%
-0.03%
-0.01%
-0.13%
-0.01%
-0.01%
-0.01%
-0.01%
0.00%
0.00%
-0.01%
-0.01%
0.00%
-0.03%
0.00%
-0.10%
-0.24%
2.66%
-0.03%
0.59%
-0.01%
0.45%
0.00%
0.00%
0.03%
1.08%
0.20%
49.57%
-0.03%
-0.21%
0.32%
-0.12%
-0.31%
0.01%
-1.02%
-0.12%
-0.31%
-0.23%
-0.06%
-0.14%
-0.06%
-0.09%
-0.04%
0.01%
-0.07%
-0.18%
-0.01%
-0.08%
-0.11%
0.26%
-0.04%
-0.01%
-0.12%
0.00%
-0.25%
0.31%
0.12%
1.97%
0.17%
1.16%
3.52%
0.17%
0.12%
1.30%
0.85%
0.33%
1.22%
-0.06%
0.26%
1.06%
0.93%
2.07%
1.08%
1.30%
0.18%
1.12%
7.57%
1.17%
0.02%
0.86%
0.06%
0.97%
0.21%
-0.06%
-0.02%
-0.12%
-0.15%
-0.02%
-0.14%
0.09%
-0.06%
-0.02%
-0.32%
0.01%
-0.03%
-0.02%
-0.03%
-0.05%
0.00%
-0.02%
0.01%
0.00%
-0.05%
0.00%
0.58%
0.15%
-0.33%
0.23%
0.00%
0.00%
0.05%
0.24%
0.07%
0.01%
1.42%
0.07%
71.49%
Table P-4: Pure-play Portfolio for property types, 2000
2000 - Property Type
Ticker
Asset
Fraction of Property Types
TA/E
REITs
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
84
85
86
87
88
89
90
91
92
Alexandria Real Estate Equities, Inc.
AmeriVest Properties, Inc.
Arden Realty Group, Inc.
Boston Properties, Inc.
Brandywine Realty Trust
Brookfield Property Corporation
CarrAmerica Realty Corporation
Corporate Office Properties Trust
Equity Office Properties Trust
Glenborough Realty Trust Incorporated
Highwoods Properties, Inc.
HRPT Properties Trust
Mack-Cali Realty Corporation
Parkway Properties, Inc.
Prentiss Properties Trust
Prime Group Realty Trust
SL Green Realty Corp.
Bedford Property Investors, Inc.
Duke Realty Corporation
Kilroy Realty Corporation
Liberty Property Trust
Mission West Properties
PS Business Parks Inc.
Reckson Associates Realty Corp.
AMB Property Corp.
CenterPoint Properties Trust
EastGroup Properties, Inc.
First Industrial Realty Trust, Inc.
Keystone Property Trust
Monmouth Real Estate Investment Corp.
ProLogis Trust
Acadia Realty Trust
Agree Realty Corporation
Developers Diversified Realty
Equity One, Inc.
Federal Realty Investment Trust
Kimco Realty Corporation
Malan Realty Investors, Inc.
New Plan Excel Realty Trust, Inc.
Pan Pacific Retail Properties, Inc.
Ramco-Gershenson Properties Trust
Saul Centers, Inc.
Tanger Factory Outlet Centers, Inc.
Weingarten Realty Investors
CBL & Associates Properties, Inc.
General Growth Properties, Inc.
Glimcher Realty Trust
Macerich Company, The
Mills Corporation, The
Rouse Company, The
Simon Property Group, Inc.
Taubman Centers, Inc.
Alexander's, Inc.
Commercial Net Lease Realty, Inc.
One Liberty Properties, Inc.
Realty Income Corporation
Manufactured Home Communities, Inc.
Sun Communities, Inc.
Amli Residential Properties Trust
Apartment Investment & Management
Archstone-Smith Trust
Associated Estates Realty Corporation
AvalonBay Communities Inc.
BRE Properties, Inc.
Camden Property Trust
Cornerstone Realty Income Trust
Equity Residential
Essex Property Trust, Inc.
Gables Residential Trust
Home Properties, Inc.
Mid-America Apartment Communities,
Post Properties, Inc.
Roberts Realty Investors, Inc.
Summit Properties Inc.
Town and Country Trust, The
United Dominion Realty Trust, Inc.
Colonial Properties Trust E
Cousins Properties Incorporated E
Crescent Real Estate Equities Company E
First Union Real Estate Investments E
Forest City Enterprises
Glenborough Realty Trust Incorporated
Income Opportunity Realty Investors
Lexington Corporate Properties, Inc.
One Liberty Properties, Inc.
Pennsylvania Real Estate Investment
Sizeler Property Investors, Inc. E
St. Joe Company
Transcontinental Realty Investors, Inc
Vornado Realty Trust E
Washington Real Estate Investment Trust E
Capital Automotive REIT E
Debt
APT
ARE
AMV
ARI
BXP
BDN
BPO
CRE
OFC
EOP
GLB
HIW
HRP
CLI
PKY
PP
PGE
SLG
BED
DRE
KRC
LRY
MSW
PSB
RA
AMB
CNT
EGP
FR
KTR
MNRTA
PLD
AKR
ADC
DDR
EQY
FRT
KIM
MAL
NXL
PNP
RPT
BFS
SKT
WRI
CBL
GGP
GRT
MAC
MLS
RSE
SPG
TCO
ALX
NNN
OLP
O
MHC
SUI
AML
AIV
ASN
AEC
AVB
BRE
CPT
TCR
EQR
ESS
GBP
HME
MAA
PPS
RPI
SMT
TCT
UDR
CLP
CUZ
CEI
FUR
FCE.A
GLB
IOT
LXP
OLP
PEI
SIZ
JOE
TCI
VNO
WRE
CARS
643
30
2,570
5,435
1,830
8,111
3,479
721
14,046
1,795
4,016
2,953
3,630
649
1,995
1,444
1,071
671
5,486
1,321
3,118
713
904
2,724
3,622
1,083
632
2,527
875
79
5,848
571
158
2,321
212
1,534
3,007
253
2,953
785
551
300 490
1,309
2,019
4,955
1,586
2,404
1,039
4,427
14,223
1,597
366
750
86
905
1,160
911
805
5,685
5,302
883
4,155
1,709
2,488
869
11,716
1,062
1,471
1,504
1,299
2,350
127
1,217
481
3,688
1,864
933
4,951
461
3,814
1,795
91
656
86
548
286
1,822
714
5,479
608
943
2.4
4.8
1.9
4.7
2.3
4.2
2.1
3.8
2.1
2.3
2.1
1.9
2.5
2.0
2.4
3.9
2.1
2.2
2.1
2.8
2.4
7.1
1.6
2.4
2.0
2.3
1.7
2.4
4.7
2.2
2.0
3.7
3.0
2.7
2.3
3.1
1.9
5.4
1.8
2.1
3.8
9.4
4.5
2.0
4.8
3.9
3.5
3.9
17.3
6.9
4.4
3.3
29.3
1.9
1.7
1.7
5.5
2.7
2.3
2.5
2.1
3.7
1.8
2.1
2.4
1.5
2.1
2.7
2.9
3.0
2.8
2.2
5.7
3.7
21.8
2.8
3.8
2.1
2.4
2.7
9.9
2.3
3.8
3.2
1.7
4.1
4.0
1.9
4.0
2.7
2.4
3.1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.33
0.05
0.00
0.02
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.03
0.13
0.00
0.07
0.00
0.00
0.14
0.00
0.00
0.04
0.02
0.00
0.00
0.23
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.07
0.00
0.00
0.00
1.00
1.00
1.00
1.00
1.00
0.92
1.00
1.00
1.00
0.96
1.00
1.00
1.00
0.98
1.00
1.00
1.00
0.99
0.39
0.00
0.00
0.16
0.92
0.33
0.45
0.00
0.07
0.21
0.49
0.00
0.45
0.00
0.15
0.00
50
office Industrial
1.00
0.97
0.99
1.00
0.92
1.00
1.00
0.92
0.97
0.48
0.82
1.00
0.98
1.00
0.85
0.91
0.99
0.65
0.48
0.75
0.50
1.00
0.94
0.86
0.00
0.04
0.11
0.00
0.27
0.00
0.00
0.00
0.00
0.02
0.02
0.00
0.01
0.00
0.00
0.01
0.00
0.24
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.01
0.01
0.00
0.00
0.00
0.10
0.00
0.66
1.00
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.02
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.12
0.74
0.82
0.12
0.08
0.48
0.43
0.58
0.10
0.01
0.00
1.00
0.40
0.47
0.54
0.00
0.00
0.03
0.00
0.00
0.08
0.00
0.00
0.00
0.02
0.14
0.08
0.00
0.00
0.00
0.15
0.08
0.00
0.34
0.47
0.25
0.50
0.00
0.06
0.14
0.85
0.93
0.73
1.00
0.65
0.92
1.00
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.14
0.00
0.00
0.00
0.00
0.00
0.02
0.00
0.00
0.00
0.00
0.34
0.03
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.17
0.00
0.00
0.14
0.00
0.26
0.34
0.01
0.00
0.00
0.07
0.12
0.14
0.00
WEIGHT
Retail
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.08
0.01
0.05
0.06
0.00
0.00
0.00
0.00
0.00
0.01
0.01
0.05
0.00
0.00
0.00
0.00
0.00
0.15
0.01
0.03
0.00
0.01
0.08
0.00
0.86
1.00
0.97
0.94
0.98
0.99
1.00
0.77
0.99
1.00
0.76
1.00
0.86
1.00
1.00
1.00
1.00
1.00
0.97
0.99
1.00
1.00
1.00
0.49
0.97
0.34
0.00
0.00
0.00
0.00
0.00
0.00
0.07
0.00
0.00
0.00
0.02
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.01
0.49
0.26
0.01
0.72
0.00
0.05
0.12
0.15
0.49
0.77
0.51
0.00
0.08
0.40
0.17
1.00
APT
office
-0.01%
0.00%
-0.06%
-0.05%
-0.03%
-0.08%
-0.07%
-0.01%
-0.25%
0.49%
0.12%
-0.06%
-0.01%
-0.01%
-0.03%
-0.01%
-0.02%
-0.01%
-0.10%
-0.02%
-0.04%
0.00%
-0.02%
-0.04%
-0.06%
0.01%
0.09%
-0.03%
0.02%
0.00%
-0.09%
0.03%
0.00%
-0.05%
0.00%
-0.01%
-0.09%
0.00%
0.66%
-0.02%
-0.01%
0.00%
-0.01%
-0.04%
-0.02%
-0.07%
-0.03%
-0.04%
0.00%
-0.04%
-0.19%
-0.03%
0.00%
-0.02%
0.00%
-0.03%
-0.01%
-0.01%
0.71%
4.48%
5.08%
0.47%
4.69%
1.50%
2.00%
1.14%
10.90%
0.73%
1.01%
0.98%
0.92%
2.06%
0.04%
0.65%
0.04%
2.56%
0.36%
-0.02%
-0.07%
0.04%
0.70%
0.49%
0.02%
-0.01%
0.00%
0.05%
0.07%
-0.04%
0.16%
-0.08%
0.07%
-0.02%
58.73%
0.42%
0.01%
2.16%
1.83%
1.11%
3.07%
2.67%
0.28%
10.33%
0.52%
2.35%
2.41%
2.23%
0.51%
1.04%
0.52%
0.81%
0.25%
1.30%
0.49%
0.66%
0.16%
0.81%
1.43%
-0.89%
-0.22%
-0.09%
-0.60%
0.01%
-0.02%
-1.66%
-0.01%
0.00%
-0.03%
0.00%
-0.04%
-0.10%
0.00%
-0.09%
-0.02%
-0.01%
-0.01%
-0.01%
-0.09%
-0.03%
-0.09%
-0.03%
-0.05%
0.00%
-0.04%
-0.18%
-0.04%
0.00%
-0.03%
0.00%
-0.05%
0.22%
0.54%
-0.01%
-0.09%
-0.10%
-0.01%
-0.09%
-0.03%
-0.04%
-0.02%
-0.22%
0.00%
-0.02%
-0.02%
-0.02%
-0.04%
0.00%
-0.01%
0.00%
-0.05%
0.07%
0.50%
2.48%
0.02%
0.04%
0.52%
0.02%
0.16%
0.00%
-0.01%
0.00%
1.49%
0.10%
1.34%
0.19%
-0.02%
60.21%
Industrial Retail
-0.15%
0.00%
-0.77%
-0.65%
0.02%
-1.09%
-0.95%
-0.10%
-2.60%
0.52%
0.07%
-0.86%
-0.75%
-0.18%
0.46%
0.02%
-0.29%
0.58%
7.70%
0.60%
3.96%
-0.06%
-0.08%
0.51%
10.38%
2.90%
1.77%
7.10%
0.78%
0.22%
19.79%
-0.02%
-0.01%
-0.08%
-0.01%
-0.07%
-0.22%
-0.01%
-0.20%
-0.05%
-0.02%
0.01%
-0.02%
0.51%
-0.06%
-0.19%
-0.07%
-0.09%
-0.01%
0.00%
-0.50%
-0.07%
0.00%
-0.06%
0.11%
0.03%
-0.09%
-0.19%
-0.01%
-0.07%
-0.06%
-0.01%
-0.07%
-0.01%
-0.03%
-0.02%
-0.16%
-0.02%
-0.01%
-0.01%
-0.01%
0.00%
0.00%
-0.01%
0.00%
-0.03%
-0.07%
-0.20%
1.32%
-0.03%
-0.03%
0.52%
-0.01%
0.29%
0.11%
0.00%
-0.01%
-0.53%
0.04%
1.05%
0.16%
-0.04%
50.51%
-0.02%
0.00%
-0.08%
-0.08%
-0.06%
-0.14%
-0.12%
0.02%
-0.39%
0.02%
0.08%
-0.11%
-0.10%
-0.02%
-0.07%
-0.03%
-0.03%
-0.02%
0.00%
-0.04%
-0.14%
-0.01%
-0.04%
-0.09%
0.33%
-0.06%
-0.02%
-0.16%
-0.02%
0.00%
-0.44%
0.27%
0.11%
1.68%
0.17%
1.00%
3.25%
0.10%
2.50%
0.77%
0.29%
-0.05%
0.22%
1.12%
0.86%
2.57%
0.93%
1.27%
0.12%
1.26%
6.56%
0.98%
0.03%
0.80%
0.05%
1.05%
0.14%
-0.02%
-0.02%
-0.13%
-0.15%
-0.01%
-0.14%
0.07%
-0.05%
-0.03%
-0.32%
0.00%
-0.03%
-0.03%
-0.03%
-0.05%
0.00%
-0.02%
0.00%
-0.05%
0.48%
0.21%
-0.13%
0.25%
-0.02%
0.02%
0.00%
0.05%
0.05%
0.21%
0.07%
-0.07%
0.02%
1.56%
0.07%
0.61%
71.47%
Table P-5: Pure-play Portfolio for property types, 2001
2001 - Property Type
Ticker
Asset
Fraction of Property Types
TA/E
REITs
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
84
85
86
87
88
89
90
91
92
93
94
95
Alexandria Real Estate Equities, Inc.
AmeriVest Properties, Inc.
Arden Realty Group, Inc.
Boston Properties, Inc.
Brandywine Realty Trust
Brookfield Property Corporation
CarrAmerica Realty Corporation
Corporate Office Properties Trust
Equity Office Properties Trust
Glenborough Realty Trust Incorporated
Highwoods Properties, Inc.
HRPT Properties Trust
Mack-Cali Realty Corporation
Maxus Realty Trust Inc.
Parkway Properties, Inc.
Prentiss Properties Trust
Prime Group Realty Trust
SL Green Realty Corp.
Bedford Property Investors, Inc.
Duke Realty Corporation
Kilroy Realty Corporation
Liberty Property Trust
Mission West Properties
PS Business Parks Inc.
Reckson Associates Realty Corp.
AMB Property Corp.
CenterPoint Properties Trust
EastGroup Properties, Inc.
First Industrial Realty Trust, Inc.
Keystone Property Trust
Monmouth Real Estate Investment Corp.
ProLogis Trust
Acadia Realty Trust
Agree Realty Corporation
Chelsea Property Group, Inc.
Developers Diversified Realty
Equity One, Inc.
Federal Realty Investment Trust
Kimco Realty Corporation
Kramont Realty Trust
Malan Realty Investors, Inc.
New Plan Excel Realty Trust, Inc.
Pan Pacific Retail Properties, Inc.
Ramco-Gershenson Properties Trust
Regency Centers Corporation
Saul Centers, Inc.
Tanger Factory Outlet Centers, Inc.
Weingarten Realty Investors
CBL & Associates Properties, Inc.
General Growth Properties, Inc.
Glimcher Realty Trust
Macerich Company, The
Mills Corporation, The
Rouse Company, The
Simon Property Group, Inc.
Taubman Centers, Inc.
Alexander's, Inc.
Commercial Net Lease Realty, Inc.
Realty Income Corporation
Manufactured Home Communities, Inc.
Sun Communities, Inc.
Amli Residential Properties Trust
Apartment Investment & Management
Archstone-Smith Trust
Associated Estates Realty Corporation
AvalonBay Communities Inc.
BRE Properties, Inc.
Camden Property Trust
Cornerstone Realty Income Trust
Equity Residential
Essex Property Trust, Inc.
Gables Residential Trust
Home Properties, Inc.
Mid-America Apartment Communities,
Post Properties, Inc.
Roberts Realty Investors, Inc.
Summit Properties Inc.
Town and Country Trust, The
United Dominion Realty Trust, Inc.
BNP Residential Properties, Inc.
Catellus Development Corp.
Colonial Properties Trust E
Cousins Properties Incorporated E
Crescent Real Estate Equities Company E
First Union Real Estate Investments E
Forest City Enterprises
Income Opportunity Realty Investors
Lexington Corporate Properties, Inc.
One Liberty Properties, Inc.
Pennsylvania Real Estate Investment
Sizeler Property Investors, Inc. E
St. Joe Company
Vornado Realty Trust E
Washington Real Estate Investment Trust E
Capital Automotive REIT E
Debt
APT
ARE
AMV
ARI
BXP
BDN
BPO
CRE
OFC
EOP
GLB
HIW
HRP
CLI
MRTI
PKY
PP
PGE
SLG
BED
DRE
KRC
LRY
MSW
PSB
RA
AMB
CNT
EGP
FR
KTR
MNRTA
PLD
AKR
ADC
CPG
DDR
EQY
FRT
KIM
KRT
MAL
NXL
PNP
RPT
REG
BFS
SKT
WRI
CBL
GGP
GRT
MAC
MLS
RSE
SPG
TCO
ALX
NNN
O
MHC
SUI
AML
AIV
ASN
AEC
AVB
BRE
CPT
TCR
EQR
ESS
GBP
HME
MAA
PPS
RPI
SMT
TCT
UDR
BNP
CDX
CLP
CUZ
CEI
FUR
FCE.A
IOT
LXP
OLP
PEI
SIZ
JOE
VNO
WRE
CARS
781
42
2,706
6,226
1,825
8,624
3,073
795
18,794
1,371
3,702
2,900
3,677
17
655
2,118
1,439
1,161
634
5,460
1,457
3,396
827
931
2,998
4,426
1,155
666
2,618
963
86
5,946
524
166
901
2,332
239
1,621
3,171
764
244
2,894
1,298
560
3,035
334 487
1,518
2,116
5,284
1,590
2,337
1,126
4,176
13,938
1,908
403
762
935
1,104
967
866
7,700
5,020
820
4,397
1,718
2,431
800
12,264
1,282
1,453
1,872
1,304
2,551
132
1,340
499
3,454
231
2,276
1,944
1,116
4,532
463
4,030
97
668
128
577
285
1,115
6,370
632
1,022
2.4
3.7
2.0
3.6
2.4
4.1
1.9
4.1
2.3
2.1
2.1
1.9
2.5
1.7
2.0
2.6
4.0
2.1
2.1
2.0
3.3
2.6
8.1
1.6
2.7
2.5
2.2
1.8
2.5
5.8
2.1
2.0
2.9
3.2
3.3
3.0
2.3
3.5
1.9
3.4
6.2
1.9
2.1
4.0
2.5
10.7
5.4
2.4
4.9
4.1
3.7
3.8
23.5
6.6
4.5
3.9
22.8
1.9
1.8
6.6
2.9
2.2
3.1
2.2
4.2
1.8
2.1
2.5
1.5
2.2
3.3
3.0
3.0
3.0
2.5
6.1
4.0
24.9
2.8
5.2
3.3
4.3
2.5
2.6
3.8
8.8
2.4
3.3
2.4
4.0
4.3
2.0
3.1
2.4
3.5
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.33
0.03
0.00
0.02
0.76
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.02
0.13
0.00
0.06
0.00
0.00
0.12
0.00
0.00
0.00
0.02
0.02
0.00
0.00
0.00
0.23
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1.00
1.00
1.00
1.00
1.00
0.91
1.00
1.00
1.00
0.96
1.00
1.00
1.00
0.99
1.00
1.00
1.00
0.99
0.95
0.00
0.40
0.00
0.01
0.16
0.55
0.45
0.00
0.09
0.23
0.50
0.00
0.01
0.15
0.00
51
office Industrial
1.00
0.98
0.99
0.78
0.93
0.97
1.00
0.93
0.95
0.49
0.84
1.00
0.98
0.17
1.00
0.87
0.88
0.99
0.66
0.42
0.80
0.58
1.00
0.96
0.83
0.00
0.03
0.12
0.00
0.25
0.00
0.00
0.00
0.00
0.00
0.06
0.01
0.00
0.01
0.01
0.00
0.00
0.01
0.00
0.01
0.25
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.15
0.01
0.00
0.00
0.00
0.00
0.63
1.00
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.02
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.19
0.14
0.76
0.77
0.12
0.16
0.42
0.54
0.12
0.01
0.00
1.00
0.51
0.56
0.00
0.00
0.02
0.00
0.01
0.07
0.00
0.00
0.00
0.04
0.13
0.08
0.00
0.00
0.07
0.00
0.13
0.12
0.00
0.33
0.53
0.20
0.42
0.00
0.04
0.17
0.91
0.94
0.72
1.00
0.68
0.95
1.00
0.00
0.00
0.00
0.03
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.09
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.03
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.76
0.00
0.00
0.21
0.00
0.00
0.00
0.30
0.33
0.01
0.00
0.00
0.12
0.13
0.00
WEIGHT
Retail
0.00
0.00
0.01
0.21
0.00
0.03
0.00
0.07
0.01
0.05
0.04
0.00
0.00
0.00
0.00
0.00
0.00
0.01
0.01
0.05
0.00
0.00
0.00
0.00
0.00
0.09
0.00
0.03
0.00
0.01
0.05
0.00
0.88
1.00
1.00
0.90
0.97
0.98
0.99
0.99
1.00
0.77
0.99
1.00
0.99
0.75
1.00
0.91
1.00
1.00
1.00
1.00
1.00
0.84
0.99
1.00
1.00
1.00
0.97
0.37
0.00
0.00
0.00
0.00
0.00
0.00
0.08
0.00
0.00
0.00
0.02
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.01
0.05
0.05
0.47
0.24
0.01
0.72
0.29
0.12
0.17
0.46
0.76
0.50
0.00
0.37
0.15
1.00
APT
office
-0.01%
0.00%
-0.03%
-0.06%
-0.02%
-0.06%
-0.04%
-0.01%
-0.18%
0.42%
0.08%
-0.04%
0.01%
0.01%
-0.01%
-0.02%
-0.01%
-0.01%
-0.01%
-0.06%
-0.01%
-0.03%
0.00%
-0.01%
-0.03%
-0.03%
0.02%
0.09%
-0.01%
0.02%
0.00%
-0.04%
0.03%
0.00%
-0.02%
-0.05%
0.00%
-0.01%
-0.12%
-0.02%
0.00%
0.61%
-0.04%
-0.01%
-0.09%
0.00%
-0.01%
-0.04%
-0.03%
-0.09%
-0.03%
-0.04%
0.00%
-0.04%
-0.22%
-0.04%
0.00%
-0.03%
-0.04%
-0.01%
-0.01%
0.78%
4.86%
4.37%
0.38%
4.75%
1.42%
1.88%
1.01%
10.92%
0.73%
0.94%
1.20%
0.84%
1.97%
0.04%
0.66%
0.04%
2.34%
0.08%
-0.01%
0.33%
-0.02%
-0.02%
0.03%
0.48%
0.03%
-0.01%
0.01%
0.06%
0.06%
-0.01%
-0.06%
0.07%
-0.02%
60.29%
0.50%
0.02%
2.09%
2.07%
1.07%
3.13%
2.56%
0.28%
11.71%
0.45%
2.26%
2.38%
2.21%
0.00%
0.51%
1.03%
0.47%
0.87%
0.26%
0.98%
0.51%
0.89%
0.16%
0.83%
1.34%
-0.88%
-0.25%
-0.08%
-0.57%
0.01%
-0.02%
-1.56%
-0.02%
-0.01%
-0.03%
-0.03%
-0.01%
-0.06%
-0.20%
-0.03%
0.00%
-0.15%
-0.07%
-0.02%
-0.14%
-0.01%
-0.01%
-0.10%
-0.05%
-0.16%
-0.05%
-0.08%
-0.01%
0.08%
-0.34%
-0.06%
0.00%
-0.05%
-0.07%
0.16%
0.52%
-0.01%
-0.06%
-0.06%
0.00%
-0.06%
-0.02%
-0.02%
-0.01%
-0.14%
0.00%
-0.01%
-0.02%
-0.01%
-0.02%
0.00%
-0.01%
0.00%
-0.03%
0.00%
-0.08%
0.06%
0.52%
1.88%
0.01%
0.09%
0.03%
0.13%
0.00%
-0.01%
-0.01%
0.89%
1.41%
0.20%
-0.04%
61.19%
Industrial Retail
-0.17%
0.00%
-0.72%
-0.70%
-0.07%
-1.08%
-0.88%
-0.10%
-2.12%
0.32%
0.01%
-0.82%
-0.73%
0.00%
-0.17%
0.24%
0.07%
-0.30%
0.45%
7.52%
0.30%
2.74%
-0.05%
-0.15%
0.54%
9.05%
2.84%
1.50%
5.98%
0.62%
0.22%
16.54%
-0.01%
0.00%
-0.02%
0.07%
-0.01%
-0.04%
-0.13%
-0.02%
0.00%
-0.11%
-0.05%
-0.01%
-0.11%
0.01%
-0.01%
0.26%
-0.04%
-0.11%
-0.04%
-0.05%
0.00%
-0.06%
-0.27%
-0.04%
0.00%
-0.03%
0.05%
-0.06%
-0.18%
0.00%
-0.03%
-0.02%
0.00%
-0.03%
0.00%
-0.01%
-0.01%
-0.07%
-0.01%
-0.01%
-0.01%
-0.01%
0.01%
0.00%
0.00%
0.00%
-0.01%
0.00%
2.87%
-0.05%
-0.19%
1.35%
-0.02%
-0.05%
-0.01%
0.28%
0.09%
0.00%
0.00%
-0.30%
0.73%
0.12%
-0.02%
55.58%
-0.04%
0.00%
-0.16%
0.51%
-0.09%
-0.13%
-0.21%
0.00%
-0.90%
0.00%
-0.08%
-0.19%
-0.18%
0.00%
-0.04%
-0.10%
-0.04%
-0.07%
-0.03%
-0.01%
-0.05%
-0.14%
-0.01%
-0.07%
-0.13%
0.17%
-0.04%
-0.01%
-0.09%
-0.01%
0.00%
-0.25%
0.29%
0.10%
0.50%
1.30%
0.19%
0.84%
3.12%
0.41%
0.07%
2.17%
1.11%
0.26%
2.24%
-0.04%
0.17%
1.05%
0.80%
2.35%
0.79%
1.13%
0.09%
0.96%
5.60%
0.91%
0.03%
0.73%
0.92%
0.10%
-0.04%
-0.03%
-0.18%
-0.17%
-0.01%
-0.18%
0.06%
-0.07%
-0.04%
-0.41%
-0.01%
-0.04%
-0.04%
-0.03%
-0.06%
0.00%
-0.02%
0.00%
-0.07%
0.00%
0.00%
0.37%
0.16%
-0.17%
0.16%
0.22%
0.01%
0.04%
0.04%
0.20%
0.06%
-0.07%
1.27%
0.05%
0.53%
72.70%
Table P-6: Pure-play Portfolio for property types, 2002
2002 - Property Type
Ticker
Asset
Fraction of Property Types
TA/E
REITs
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
84
85
86
87
88
89
90
Alexandria Real Estate Equities, Inc.
AmeriVest Properties, Inc.
Arden Realty Group, Inc.
Boston Properties, Inc.
Brandywine Realty Trust
Brookfield Property Corporation
CarrAmerica Realty Corporation
Corporate Office Properties Trust
Equity Office Properties Trust
Glenborough Realty Trust Incorporated
Highwoods Properties, Inc.
HRPT Properties Trust
Mack-Cali Realty Corporation
Maxus Realty Trust Inc.
Parkway Properties, Inc.
Prentiss Properties Trust
Prime Group Realty Trust
SL Green Realty Corp.
Bedford Property Investors, Inc.
Duke Realty Corporation
Kilroy Realty Corporation
Liberty Property Trust
Mission West Properties
PS Business Parks Inc.
Reckson Associates Realty Corp.
AMB Property Corp.
CenterPoint Properties Trust
EastGroup Properties, Inc.
First Industrial Realty Trust, Inc.
Keystone Property Trust
Monmouth Real Estate Investment Corp.
ProLogis Trust
Acadia Realty Trust
Agree Realty Corporation
Chelsea Property Group, Inc.
Developers Diversified Realty
Equity One, Inc.
Federal Realty Investment Trust
Kimco Realty Corporation
Kramont Realty Trust
Malan Realty Investors, Inc.
New Plan Excel Realty Trust, Inc.
Pan Pacific Retail Properties, Inc.
Ramco-Gershenson Properties Trust
Regency Centers Corporation
Tanger Factory Outlet Centers, Inc.
Weingarten Realty Investors
CBL & Associates Properties, Inc.
General Growth Properties, Inc.
Glimcher Realty Trust
Macerich Company, The
Mills Corporation, The
Rouse Company, The
Simon Property Group, Inc.
Taubman Centers, Inc.
Alexander's, Inc.
Commercial Net Lease Realty, Inc.
Realty Income Corporation
Manufactured Home Communities, Inc.
Sun Communities, Inc.
Amli Residential Properties Trust
Apartment Investment & Management
Archstone-Smith Trust
Associated Estates Realty Corporation
AvalonBay Communities Inc.
BRE Properties, Inc.
Camden Property Trust
Cornerstone Realty Income Trust
Equity Residential
Essex Property Trust, Inc.
Gables Residential Trust
Home Properties, Inc.
Mid-America Apartment Communities,
Post Properties, Inc.
Roberts Realty Investors, Inc.
Summit Properties Inc.
United Dominion Realty Trust, Inc.
BNP Residential Properties, Inc.
Colonial Properties Trust E
Cousins Properties Incorporated E
Crescent Real Estate Equities Company E
First Union Real Estate Investments E
Income Opportunity Realty Investors
Lexington Corporate Properties, Inc.
One Liberty Properties, Inc.
Pennsylvania Real Estate Investment
Sizeler Property Investors, Inc. E
Vornado Realty Trust E
Washington Real Estate Investment Trust E
Capital Automotive REIT E
Debt
APT
ARE
AMV
ARI
BXP
BDN
BPO
CRE
OFC
EOP
GLB
HIW
HRP
CLI
MRTI
PKY
PP
PGE
SLG
BED
DRE
KRC
LRY
MSW
PSB
RA
AMB
CNT
EGP
FR
KTR
MNRTA
PLD
AKR
ADC
CPG
DDR
EQY
FRT
KIM
KRT
MAL
NXL
PNP
RPT
REG
SKT
WRI
CBL
GGP
GRT
MAC
MLS
RSE
SPG
TCO
ALX
NNN
O
MHC
SUI
AML
AIV
ASN
AEC
AVB
BRE
CPT
TCR
EQR
ESS
GBP
HME
MAA
PPS
RPI
SMT
UDR
BNP
CLP
CUZ
CEI
FUR
IOT
LXP
OLP
PEI
SIZ
VNO
WRE
CARS
962
88
2,761
7,254
1,960
8,076
2,776
984
25,808
1,388
3,648
2,805
3,747
38
841
2,031
1,522
1,372
636
5,330
1,457
3,553
910
1,170
2,994
4,761
1,183
684
2,621
828
119
5,604
494
168
1,099
2,497
669
1,838
3,385
769
225
2,623
1,340
553
3,109
476
2,096
3,373
5,647
1,759
2,295
1,329
4,880
13,811
2,141
583
1,007
1,004
1,100
994
919
8,323
8,550
775
4,664
1,876
2,450
981
12,236
1,329
1,589
2,064
1,263
2,538
166
1,296
3,348
225
2,015
1,212
4,142
186
92
822
133
603
278
6,777
708
1,200
2.9
3.5
2.1
3.9
2.8
3.7
2.4
3.7
2.3
2.1
2.3
1.7
2.6
3.1
2.2
2.5
4.7
1.9
2.3
1.9
3.3
2.5
8.4
2.0
2.9
2.7
2.3
1.8
2.6
3.1
2.4
2.1
2.8
3.2
3.1
3.0
2.4
3.1
1.8
3.5
11.3
1.8
2.2
4.1
2.6
6.2
2.3
6.5
3.7
4.4
3.8
7.7
7.4
4.3
5.0
12.9
1.8
1.5
6.3
3.0
2.2
3.1
2.2
4.5
2.0
2.4
2.7
2.9
2.3
3.4
3.1
3.1
3.2
2.8
6.5
3.7
3.2
5.4
4.0
2.6
2.9
1.5
2.6
2.8
2.4
3.3
2.9
2.6
2.2
3.3
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.03
0.01
0.00
0.00
0.92
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.14
0.00
0.00
0.00
0.00
0.03
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
0.99
1.00
1.00
1.00
1.00
1.00
1.00
1.00
0.97
0.31
0.00
0.01
0.00
0.53
0.00
0.10
0.00
0.51
0.01
0.16
0.00
52
office Industrial
1.00
1.00
1.00
0.78
0.98
0.99
1.00
1.00
0.98
0.91
0.88
1.00
0.99
0.08
1.00
0.93
0.86
1.00
0.59
0.47
0.81
0.62
1.00
0.95
0.98
0.00
0.02
0.08
0.00
0.01
0.00
0.00
0.00
0.00
0.00
0.03
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.18
0.01
0.00
0.00
0.00
0.00
0.00
1.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.19
0.85
0.77
1.00
0.21
0.57
0.06
0.00
0.00
0.51
0.55
0.00
0.00
0.00
0.00
0.00
0.02
0.00
0.00
0.00
0.02
0.06
0.07
0.00
0.00
0.00
0.00
0.07
0.14
0.00
0.41
0.52
0.19
0.38
0.00
0.05
0.02
0.99
0.97
0.92
1.00
0.99
0.96
1.00
0.00
0.00
0.00
0.02
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.08
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.04
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.22
0.00
0.00
0.32
0.37
0.01
0.00
0.12
0.12
0.00
WEIGHT
Retail
0.00
0.00
0.00
0.22
0.00
0.01
0.00
0.00
0.00
0.00
0.04
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.04
0.00
0.86
1.00
1.00
0.95
1.00
0.97
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
0.92
1.00
0.99
1.00
1.00
1.00
0.81
0.99
1.00
1.00
1.00
0.96
1.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.03
0.50
0.15
0.00
0.00
0.26
0.11
0.47
0.99
0.49
0.36
0.16
1.00
APT
office
0.00%
0.00%
-0.01%
-0.02%
0.00%
-0.02%
-0.01%
0.00%
-0.08%
0.04%
0.03%
-0.01%
-0.01%
0.02%
0.00%
-0.01%
0.00%
-0.01%
0.00%
-0.01%
0.00%
-0.01%
0.00%
0.00%
-0.01%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.04%
0.00%
-0.01%
-0.01%
0.00%
0.02%
-0.03%
0.00%
0.00%
-0.02%
-0.01%
0.00%
-0.02%
0.00%
-0.01%
-0.01%
-0.02%
-0.01%
-0.01%
0.00%
-0.01%
-0.05%
-0.01%
0.00%
-0.01%
-0.01%
0.00%
0.00%
0.77%
4.95%
6.92%
0.31%
4.22%
1.43%
1.67%
0.61%
9.86%
0.70%
0.92%
1.22%
0.72%
1.64%
0.05%
0.64%
1.90%
0.07%
0.28%
0.00%
0.01%
0.00%
0.03%
0.00%
0.01%
0.00%
0.09%
0.01%
0.09%
-0.01%
61.23%
0.44%
0.03%
1.76%
1.86%
0.91%
2.86%
1.55%
0.35%
14.51%
0.76%
1.80%
2.19%
1.88%
0.00%
0.50%
0.98%
0.35%
0.96%
0.18%
1.17%
0.44%
0.96%
0.14%
0.74%
1.35%
-0.65%
-0.17%
-0.09%
-0.37%
-0.09%
-0.02%
-1.01%
-0.01%
0.00%
-0.03%
-0.04%
-0.02%
-0.05%
-0.16%
-0.02%
0.00%
-0.13%
-0.05%
-0.01%
-0.11%
-0.01%
-0.10%
-0.04%
-0.11%
-0.03%
-0.05%
-0.01%
0.11%
-0.25%
-0.04%
0.00%
-0.05%
-0.07%
-0.02%
0.43%
0.00%
-0.02%
-0.03%
0.00%
-0.02%
-0.01%
0.00%
0.00%
-0.04%
0.00%
0.00%
0.00%
0.00%
-0.01%
0.00%
0.00%
-0.01%
0.00%
0.10%
0.51%
1.31%
0.16%
0.01%
0.18%
-0.01%
-0.02%
0.00%
1.54%
0.22%
-0.03%
60.79%
Industrial Retail
-0.13%
-0.01%
-0.50%
-0.53%
-0.17%
-0.82%
-0.44%
-0.10%
-2.92%
-0.01%
0.11%
-0.62%
-0.50%
0.00%
-0.14%
0.04%
0.16%
-0.27%
0.58%
7.65%
0.33%
2.72%
-0.04%
-0.05%
-0.28%
9.76%
2.81%
1.90%
5.60%
1.46%
0.27%
15.06%
-0.01%
0.00%
-0.01%
0.04%
-0.01%
-0.02%
-0.08%
-0.01%
0.00%
-0.06%
-0.03%
-0.01%
-0.05%
0.00%
0.36%
-0.02%
-0.06%
-0.02%
-0.02%
-0.01%
-0.06%
-0.14%
-0.02%
0.00%
-0.02%
0.12%
-0.01%
-0.12%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-0.01%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-0.05%
-0.15%
1.36%
-0.05%
0.00%
0.47%
0.11%
0.00%
0.00%
1.16%
0.15%
-0.01%
56.35%
-0.03%
0.00%
-0.12%
0.55%
-0.06%
-0.16%
-0.10%
-0.02%
-0.94%
-0.05%
-0.02%
-0.14%
-0.12%
0.00%
-0.03%
-0.07%
-0.03%
-0.06%
-0.02%
-0.11%
-0.03%
-0.10%
-0.01%
-0.05%
-0.09%
-0.04%
-0.02%
-0.02%
-0.04%
-0.01%
0.00%
-0.11%
0.25%
0.08%
0.59%
1.30%
0.46%
0.95%
3.10%
0.36%
0.03%
2.45%
1.02%
0.22%
2.00%
0.13%
1.39%
0.86%
2.47%
0.65%
0.98%
0.28%
0.87%
5.25%
0.70%
0.07%
0.93%
1.06%
0.29%
-0.03%
-0.01%
-0.04%
-0.06%
0.00%
-0.04%
-0.01%
-0.01%
-0.01%
-0.09%
-0.01%
-0.01%
-0.01%
-0.01%
-0.01%
0.00%
-0.01%
-0.02%
0.00%
0.41%
0.08%
-0.11%
-0.01%
0.01%
0.04%
0.04%
0.29%
0.08%
1.41%
0.07%
0.60%
70.79%
Table P-7: Pure-play Portfolio for property types, 2003
2003 - Property Type
Ticker
REITs
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
84
85
86
87
88
89
90
91
92
93
94
95
96
Alexandria Real Estate Equities, Inc.
AmeriVest Properties, Inc.
Arden Realty Group, Inc.
Boston Properties, Inc.
Brandywine Realty Trust
Brookfield Property Corporation
CarrAmerica Realty Corporation
Corporate Office Properties Trust
Equity Office Properties Trust
Glenborough Realty Trust Incorporated
Highwoods Properties, Inc.
HRPT Properties Trust
Koger Equity, Inc.
Mack-Cali Realty Corporation
Maxus Realty Trust Inc.
Parkway Properties, Inc.
Prentiss Properties Trust
Prime Group Realty Trust
SL Green Realty Corp.
Trizec Properties, Inc.
Bedford Property Investors, Inc.
Duke Realty Corporation
Kilroy Realty Corporation
Liberty Property Trust
Mission West Properties
PS Business Parks Inc.
Reckson Associates Realty Corp.
AMB Property Corp.
CenterPoint Properties Trust
EastGroup Properties, Inc.
First Industrial Realty Trust, Inc.
Keystone Property Trust
Monmouth Real Estate Investment Corp.
ProLogis Trust
Acadia Realty Trust
Chelsea Property Group, Inc.
Developers Diversified Realty
Equity One, Inc.
Federal Realty Investment Trust
Heritage Property Investment Trust
Kimco Realty Corporation
Kramont Realty Trust
Malan Realty Investors, Inc.
New Plan Excel Realty Trust, Inc.
Pan Pacific Retail Properties, Inc.
Ramco-Gershenson Properties Trust
Regency Centers Corporation
Tanger Factory Outlet Centers, Inc.
Urstadt Biddle Properties Inc.
Weingarten Realty Investors
CBL & Associates Properties, Inc.
General Growth Properties, Inc.
Glimcher Realty Trust
Macerich Company, The
Mills Corporation, The
Rouse Company, The
Simon Property Group, Inc.
Taubman Centers, Inc.
Agree Realty Corporation
Alexander's, Inc.
AmREIT Inc.
Commercial Net Lease Realty, Inc.
Realty Income Corporation
Manufactured Home Communities, Inc.
Sun Communities, Inc.
Amli Residential Properties Trust
Apartment Investment & Management
Archstone-Smith Trust
Associated Estates Realty Corporation
AvalonBay Communities Inc.
BNP Residential Properties, Inc.
BRE Properties, Inc.
Camden Property Trust
Cornerstone Realty Income Trust
Equity Residential
Essex Property Trust, Inc.
Gables Residential Trust
Home Properties, Inc.
Mid-America Apartment Communities,
Post Properties, Inc.
Roberts Realty Investors, Inc.
Summit Properties Inc.
United Dominion Realty Trust, Inc.
Colonial Properties Trust E
Cousins Properties Incorporated E
Crescent Real Estate Equities Company E
First Union Real Estate Investments E
Forest City Enterprises
Lexington Corporate Properties, Inc.
One Liberty Properties, Inc.
Pennsylvania Real Estate Investment
Sizeler Property Investors, Inc. E
Vornado Realty Trust E
Washington Real Estate Investment Trust E
Capital Automotive REIT E
Entertainment Properties Trust E
Debt
ARE
AMV
ARI
BXP
BDN
BPO
CRE
OFC
EOP
GLB
HIW
HRP
KE
CLI
MRTI
PKY
PP
PGE
SLG
TRZ
BED
DRE
KRC
LRY
MSW
PSB
RA
AMB
CNT
EGP
FR
KTR
MNRTA
PLD
AKR
CPG
DDR
EQY
FRT
HTG
KIM
KRT
MAL
NXL
PNP
RPT
REG
SKT
UBA
WRI
CBL
GGP
GRT
MAC
MLS
RSE
SPG
TCO
ADC
ALX
AMY
NNN
O
MHC
SUI
AML
AIV
ASN
AEC
AVB
BNP
BRE
CPT
TCR
EQR
ESS
GBP
HME
MAA
PPS
RPI
SMT
UDR
CLP
CUZ
CEI
FUR
FCE.A
LXP
OLP
PEI
SIZ
VNO
WRE
CARS
EPR
ASSET
($M)
1,159
157
2,832
8,427
1,919
8,329
2,816
1,126
25,247
1,434
3,395
3,206
805
3,796
37
764
2,122
1,409
1,473
5,579
694
5,349
1,507
3,627
929
1,157
2,908
4,992
1,306
702
2,630
672
149
5,924
411
1,703
2,777
730
1,999
2,060
3,757
779
208
3,515
1,424
698
3,062
478
393
2,424
3,795
7,281
1,632
3,662
2,155
6,386
14,905
2,270
178
665
74
954
1,080
1,163
1,164
921
10,317
8,855
735
4,951
272
2,109
2,610
1,015
11,811
1,620
1,584
2,456
1,239
2,508
179
1,337
3,276
2,130
1,248
4,288
172
5,077
902
180
704
288
9,018
756
1,542
730
Fraction of Property Types
TA/E
2.4
3.6
2.3
3.9
2.8
3.6
2.8
3.9
2.3
2.3
2.2
1.7
2.4
2.6
3.3
2.0
2.5
5.7
2.0
3.0
2.5
2.0
3.4
2.7
8.4
1.7
3.1
3.0
2.5
2.0
3.0
2.8
2.5
2.1
2.6
3.7
2.9
2.1
3.1
2.3
2.0
3.1
7.9
2.2
2.2
3.5
2.5
5.3
1.8
2.6
5.1
4.8
3.8
3.5
3.5
5.7
4.3
6.1
3.4
9.7
1.9
1.7
1.5
6.6
3.6
2.3
3.3
2.3
4.9
2.3
6.9
2.5
3.1
3.5
2.3
3.3
3.7
3.4
3.7
3.0
8.0
3.4
3.3
4.0
3.1
3.2
1.6
7.2
2.7
2.0
3.7
2.8
3.4
2.3
4.1
2.1
53
Pure Play Weights (%)
APT
Office
Ind.
Retail
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.02
0.01
0.00
0.00
0.00
0.88
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.09
0.00
0.00
0.00
0.02
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1.00
1.00
1.00
1.00
1.00
0.97
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
0.35
0.00
0.00
0.00
0.50
0.00
0.08
0.00
0.38
0.02
0.16
0.00
0.00
1.00
1.00
1.00
0.76
0.98
0.99
1.00
1.00
0.98
0.92
0.88
1.00
1.00
1.00
0.12
1.00
0.94
0.85
1.00
1.00
0.60
0.47
0.80
0.62
1.00
0.89
0.98
0.00
0.02
0.08
0.00
0.01
0.00
0.00
0.00
0.00
0.02
0.00
0.00
0.03
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.08
0.00
0.00
0.01
0.00
0.00
0.00
0.16
0.01
0.00
0.00
0.00
0.01
0.12
0.00
0.00
1.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.17
0.84
0.78
1.00
0.19
0.60
0.12
0.00
0.00
0.57
0.54
0.01
0.00
0.00
0.00
0.00
0.00
0.02
0.00
0.00
0.00
0.02
0.05
0.07
0.00
0.00
0.00
0.00
0.00
0.06
0.15
0.00
0.00
0.40
0.51
0.20
0.38
0.00
0.11
0.02
0.99
0.98
0.92
1.00
0.99
0.96
1.00
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.04
0.07
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.04
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.22
0.00
0.00
0.31
0.29
0.00
0.00
0.09
0.13
0.00
0.00
0.00
0.00
0.00
0.23
0.00
0.01
0.00
0.00
0.00
0.00
0.04
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.02
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.04
0.00
0.91
1.00
0.97
1.00
0.98
0.97
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
0.89
0.92
1.00
0.99
1.00
1.00
1.00
0.84
0.99
1.00
1.00
1.00
0.99
0.88
0.96
1.00
0.00
0.00
0.00
0.00
0.00
0.00
0.03
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.48
0.16
0.00
0.00
0.31
0.09
0.51
1.00
0.62
0.32
0.18
0.99
1.00
APT
-0.01%
0.00%
-0.02%
-0.04%
-0.01%
-0.03%
-0.01%
0.00%
-0.14%
0.02%
0.00%
-0.02%
0.00%
-0.02%
0.02%
0.00%
-0.01%
0.00%
-0.01%
-0.02%
0.00%
-0.01%
0.00%
-0.01%
0.00%
-0.01%
-0.01%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.01%
0.02%
-0.01%
-0.03%
-0.01%
0.00%
-0.03%
-0.06%
-0.01%
0.00%
-0.05%
-0.02%
-0.01%
-0.04%
0.00%
-0.01%
-0.03%
-0.02%
-0.05%
-0.01%
-0.03%
-0.02%
-0.03%
-0.10%
-0.01%
0.00%
0.00%
0.00%
-0.02%
-0.02%
-0.01%
0.00%
0.67%
5.33%
6.48%
0.25%
3.70%
0.06%
1.43%
1.41%
0.48%
8.76%
0.82%
0.71%
1.22%
0.57%
1.40%
0.04%
0.67%
1.69%
0.31%
-0.01%
0.00%
0.00%
0.59%
0.00%
0.01%
-0.01%
0.06%
-0.34%
0.00%
0.00%
0.01%
64.61%
Office
0.59%
0.05%
1.52%
1.98%
0.81%
2.82%
1.22%
0.35%
13.15%
0.70%
1.62%
2.35%
0.42%
1.76%
0.00%
0.46%
0.95%
0.24%
0.90%
2.29%
0.17%
1.07%
0.40%
0.85%
0.13%
0.69%
1.12%
-0.53%
-0.15%
-0.07%
-0.28%
-0.07%
-0.02%
-0.92%
-0.01%
-0.03%
-0.04%
-0.02%
-0.04%
-0.03%
-0.11%
-0.01%
0.00%
-0.10%
-0.04%
-0.01%
-0.08%
-0.01%
0.01%
-0.07%
-0.04%
-0.08%
-0.03%
-0.06%
-0.04%
0.16%
-0.19%
-0.02%
0.00%
0.00%
0.00%
0.05%
-0.05%
-0.01%
0.39%
-0.01%
-0.04%
-0.05%
0.00%
-0.03%
0.00%
-0.01%
-0.01%
0.00%
-0.07%
0.00%
-0.01%
-0.01%
0.00%
-0.01%
0.00%
-0.01%
-0.01%
0.09%
0.41%
1.19%
0.13%
0.14%
0.21%
0.00%
-0.01%
0.00%
0.00%
-0.24%
0.06%
0.01%
62.18%
Ind.
-0.16%
-0.01%
-0.40%
-0.50%
-0.13%
-0.74%
-0.32%
-0.09%
-2.24%
0.00%
0.18%
-0.62%
-0.11%
-0.43%
0.00%
-0.12%
0.04%
0.14%
-0.24%
-0.60%
0.55%
6.95%
0.36%
2.57%
-0.03%
0.23%
-0.20%
9.07%
2.82%
1.79%
4.82%
1.31%
0.31%
15.78%
0.00%
-0.01%
0.02%
0.00%
-0.01%
-0.02%
-0.03%
-0.01%
0.00%
-0.03%
-0.01%
0.00%
-0.02%
0.00%
0.04%
0.36%
-0.01%
-0.02%
-0.01%
-0.02%
-0.01%
-0.06%
-0.07%
-0.01%
0.00%
0.00%
0.00%
-0.03%
0.13%
0.00%
-0.10%
0.00%
0.01%
0.01%
0.00%
0.01%
0.00%
0.00%
0.00%
0.00%
0.02%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
-0.03%
-0.11%
1.30%
-0.03%
-0.04%
0.50%
0.14%
0.00%
0.00%
0.00%
0.06%
-1.09%
0.00%
59.23%
Retail
-0.03%
0.00%
-0.08%
0.60%
-0.04%
-0.11%
-0.06%
-0.02%
-0.64%
-0.04%
0.01%
-0.12%
-0.02%
-0.09%
0.00%
-0.02%
-0.05%
-0.01%
-0.05%
-0.12%
-0.01%
-0.05%
-0.02%
-0.06%
-0.01%
-0.04%
-0.06%
0.00%
-0.01%
-0.01%
-0.02%
0.00%
0.00%
-0.05%
0.20%
0.64%
1.29%
0.49%
0.89%
1.20%
2.67%
0.35%
0.04%
2.20%
0.91%
0.28%
1.71%
0.13%
0.27%
1.21%
1.04%
2.13%
0.60%
1.46%
0.87%
1.30%
4.83%
0.52%
0.07%
0.10%
0.05%
0.67%
0.97%
0.25%
-0.02%
-0.01%
-0.10%
-0.12%
0.00%
-0.07%
0.00%
-0.03%
-0.03%
-0.01%
-0.16%
-0.01%
-0.01%
-0.02%
-0.01%
-0.03%
0.00%
-0.01%
-0.03%
0.35%
0.07%
-0.07%
-0.01%
0.29%
0.03%
0.06%
0.26%
0.09%
0.01%
0.01%
0.00%
-0.28%
71.72%
Table G-1: Pure-play Portfolio for geographic locations, 1997
1997-Location
Ticker
Asset
Fraction of Locations
TA/E
REITs
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
Arden Realty Group, Inc.
Brandywine Realty Trust
CarrAmerica Realty Corporation
Corporate Office Properties Trust
Highwoods Properties, Inc.
Mack-Cali Realty Corporation
Parkway Properties, Inc.
Prentiss Properties Trust
Bedford Property Investors, Inc.
Duke Realty Corporation
Kilroy Realty Corporation
Liberty Property Trust
PS Business Parks Inc.
Reckson Associates Realty Corp.
CenterPoint Properties Trust
EastGroup Properties, Inc.
First Industrial Realty Trust, Inc.
Monmouth Real Estate Investment Corp.
ProLogis Trust
Acadia Realty Trust
Agree Realty Corporation
Developers Diversified Realty
Federal Realty Investment Trust
Kimco Realty Corporation
KRANZCO REALTY TRUST
Malan Realty Investors, Inc.
New Plan Excel Realty Trust, Inc.
Ramco-Gershenson Properties Trust
Regency Centers Corporation
Saul Centers, Inc.
Tanger Factory Outlet Centers, Inc.
Weingarten Realty Investors
CBL & Associates Properties, Inc.
General Growth Properties, Inc.
Glimcher Realty Trust
Macerich Company, The
Mills Corporation, The
Rouse Company, The
Simon Property Group, Inc.
Taubman Centers, Inc.
Alexander's, Inc.
Commercial Net Lease Realty, Inc.
One Liberty Properties, Inc.
Realty Income Corporation
Manufactured Home Communities, Inc.
Sun Communities, Inc.
Amli Residential Properties Trust
Apartment Investment & Management
Archstone-Smith Trust
Associated Estates Realty Corporation
AvalonBay Communities Inc.
BRE Properties, Inc.
Camden Property Trust
Equity Residential
Essex Property Trust, Inc.
Gables Residential Trust
Home Properties, Inc.
Mid-America Apartment Communities,
Post Properties, Inc.
Summit Properties Inc.
Tarragon Realty Investors, Inc.
Town and Country Trust, The
United Dominion Realty Trust, Inc.
Forest City Enterprises
BODDIE NOELL PROPERTIES INC
Colonial Properties Trust E
Cousins Properties Incorporated E
Crescent Real Estate Equities Company E
First Union Real Estate Investments E
Glenborough Realty Trust Incorporated
Income Opportunity Realty Investors
Lexington Corporate Properties, Inc.
Pennsylvania Real Estate Investment
Sizeler Property Investors, Inc. E
Transcontinental Realty Investors, Inc
Vornado Realty Trust E
Washington Real Estate Investment Trust E
Debt
ARI
BDN
CRE
OFC
HIW
CLI
PKY
PP
BED
DRE
KRC
LRY
PSB
RA
CNT
EGP
FR
MNRTA
PLD
AKR
ADC
DDR
FRT
KIM
KRT
MAL
NXL
RPT
REG
BFS
SKT
WRI
CBL
GGP
GRT
MAC
MLS
RSE
SPG
TCO
ALX
NNN
OLP
O
MHC
SUI
AML
AIV
ASN
AEC
AVB
BRE
CPT
EQR
ESS
GBP
HME
MAA
PPS
SMT
TARR
TCT
UDR
FCE.A
BNP
CLP
CUZ
CEI
FUR
GLB
IOT
LXP
PEI
SIZ
TCI
VNO
WRE
551
178
1,537
24
1,443
1,026
147
531
232
1,361
128 1,153
28
544
451
281
1,023
33
2,462
259
121
975
1,035
1,023
119
218
945
323
387
263 332
831
1,026
1,758
949
1,188
863
3,643
5,896
379
212
371
53
454
568
585
504
835
2,282
418
712
784
604
2,986
417
760
249
611
959
635
29
383
1,967
4,418
103
948
557
1,731
441
186
64
309
178
278
245
565
318
1.7
1.4
2.0
2.6
1.9
1.5
1.9
1.6
1.9
1.8
1.1
3.1
1.1
2.9
1.8
1.9
1.9
2.0
1.5
4.6
5.0
2.1
2.7
1.7
1.6
6.2
1.4
2.7
1.9
10.0
3.0
2.1
3.8
5.3
3.1
5.0
18.9
20.6
4.5
1.0
38.0
1.5
1.7
1.2
2.2
1.9
2.1
3.7
1.8
2.6
1.7
1.7
2.0
2.0
1.9
2.7
3.0
2.5
2.4
2.5
2.9
5.4
2.3
6.7
4.2
3.4
1.9
2.0
2.9
1.9
2.8
3.3
3.8
3.1
3.1
2.0
1.6
54
WEIGHT
East
West
South
Mwest
0.00
1.00
0.23
1.00
0.56
0.94
0.23
0.29
0.00
0.05
0.00
0.79
0.12
1.00
0.00
0.00
0.10
0.77
0.12
1.00
0.07
0.32
0.87
0.43
0.00
0.00
0.44
0.14
0.07
0.92
0.43
0.00
0.34
0.22
0.47
0.13
0.38
0.56
0.20
0.43
1.00
0.23
0.18
0.17
0.00
0.00
0.00
0.12
0.09
0.04
0.38
0.00
0.14
0.18
0.00
0.00
0.77
0.20
0.09
0.70
0.12
1.00
0.60
0.51
1.00
0.11
0.25
0.05
0.00
0.36
0.72
0.30
0.99
0.00
0.18
0.62
1.00
1.00
0.00
0.52
0.00
0.00
0.04
0.00
0.26
1.00
0.00
1.00
0.03
0.81
0.00
0.00
0.42
0.09
0.00
0.50
0.00
0.01
0.10
0.07
0.02
0.00
0.00
0.15
0.00
0.00
0.00
0.03
0.32
0.05
0.29
0.00
0.70
0.27
0.16
0.10
0.16
0.00
0.18
0.07
0.30
1.00
0.00
0.00
0.71
0.73
0.00
0.62
1.00
0.09
0.47
1.00
0.00
0.00
0.00
0.03
0.00
0.07
0.00
0.01
0.15
0.00
0.00
0.07
0.22
0.00
0.27
0.00
0.37
0.00
0.00
0.10
0.19
0.00
0.00
0.00
0.17
0.00
0.43
0.02
0.77
0.29
0.00
0.09
0.00
0.09
0.07
0.00
0.00
0.58
0.26
0.04
0.25
0.00
0.09
0.20
0.00
0.21
1.00
0.00
0.22
0.24
0.83
0.08
0.35
0.64
0.51
0.23
0.14
0.09
0.22
0.20
0.34
0.15
0.00
0.46
0.51
0.32
0.00
0.00
0.53
0.13
0.15
0.04
0.00
0.00
0.69
0.23
0.00
1.00
0.00
0.79
0.88
0.30
0.68
0.00
0.39
0.03
0.00
0.89
0.68
0.65
0.00
0.15
0.28
0.23
0.01
1.00
0.62
0.11
0.00
0.00
0.00
0.08
0.00
0.01
0.00
0.00
0.17
0.00
0.86
0.00
0.09
0.00
0.00
1.00
0.00
0.55
0.19
0.13
0.00
0.82
0.38
0.06
0.34
0.00
1.00
0.19
0.62
0.11
0.00
0.19
0.04
0.10
0.27
0.39
0.08
0.13
0.08
0.36
0.26
0.00
0.13
0.24
0.22
0.00
1.00
0.47
0.05
0.03
0.93
0.00
0.00
0.08
0.11
0.00
0.00
0.23
0.01
0.00
0.00
0.14
0.00
0.00
0.31
0.00
0.00
0.00
0.07
1.00
0.22
0.00
0.09
0.00
0.00
0.10
0.08
0.00
East
West
-0.66%
1.50%
0.62%
0.11%
3.80%
7.59%
-0.02%
0.37%
-0.25%
-2.04%
0.23%
3.20%
-0.01%
2.18%
-0.86%
-0.44%
-1.06%
0.13%
-1.63%
0.66%
-0.06%
0.71%
3.81%
1.81%
-0.28%
-0.12%
2.16%
-0.17%
-0.57%
-0.27%
0.33%
-1.30%
0.43%
0.06%
1.10%
-0.13%
0.12%
0.93%
-0.57%
1.16%
0.06%
0.02%
-0.03%
-0.21%
-0.52%
-1.04%
-0.88%
-0.16%
-1.41%
-0.45%
1.29%
-0.93%
-0.43%
-0.14%
-0.45%
-1.08%
0.68%
-0.16%
-0.95%
1.80%
-0.02%
0.83%
4.67%
2.99%
0.29%
-0.60%
0.03%
-2.22%
-0.53%
0.22%
0.17%
0.14%
0.54%
-0.34%
-0.07%
1.72%
2.28%
72.32%
4.94%
-0.26%
5.14%
-0.02%
-1.97%
-0.95%
-0.23%
0.66%
1.84%
-1.30%
-1.69%
-0.62%
0.31%
-0.37%
-0.38%
0.63%
-0.31%
-0.03%
9.82%
-0.11%
-0.04%
-0.21%
-0.29%
-1.04%
-0.24%
-0.05%
0.24%
-0.24%
-0.63%
0.06%
-0.21%
1.01%
-0.49%
0.87%
-0.61%
2.33%
0.11%
0.07%
-0.74%
0.23%
-0.01%
0.14%
-0.04%
1.01%
3.84%
-0.47%
-0.60%
2.18%
12.79%
-0.26%
3.52%
6.90%
-0.41%
8.39%
3.31%
-0.93%
-0.16%
-0.73%
-1.05%
-0.62%
-0.02%
-0.14%
-2.00%
0.47%
-0.05%
-0.89%
-0.50%
0.82%
-0.24%
0.23%
-0.05%
0.37%
-0.09%
-0.30%
-0.09%
0.28%
-0.39%
50.62%
South
-1.10%
-0.49%
-0.16%
-0.04%
3.58%
-2.39%
0.90%
0.66%
-0.41%
-1.46%
0.38%
-0.72%
-0.06%
-0.72%
-0.90%
1.15%
0.82%
-0.05%
2.30%
-0.22%
-0.04%
0.09%
-1.46%
0.20%
1.19%
-0.13%
0.47%
0.13%
2.62%
0.06%
0.36%
3.66%
1.76%
0.31%
-0.30%
-0.40%
0.03%
0.05%
3.95%
-0.24%
-0.02%
1.38%
0.20%
0.99%
-0.86%
-1.10%
1.63%
-0.20%
-0.51%
-0.47%
-1.45%
-1.54%
2.96%
1.49%
-0.74%
4.53%
-0.31%
2.86%
5.47%
0.57%
0.10%
-0.27%
3.36%
-2.09%
-0.10%
3.89%
2.93%
7.98%
-0.56%
-0.06%
0.04%
0.10%
-0.17%
1.44%
0.68%
-0.41%
-0.75%
55.65%
Mwest
-0.51%
-0.44%
-0.42%
-0.03%
-2.53%
-2.37%
-0.28%
0.36%
-0.19%
13.17%
0.18%
-0.47%
-0.05%
-0.64%
5.17%
-0.40%
5.39%
0.02%
1.04%
-0.20%
0.40%
2.82%
-0.76%
2.95%
-0.27%
0.73%
0.92%
1.38%
-0.21%
0.09%
0.13%
-0.79%
-0.29%
1.17%
1.82%
-0.04%
0.01%
-0.23%
7.14%
1.16%
-0.02%
-0.01%
0.07%
0.87%
-0.40%
6.27%
1.93%
-0.22%
-1.71%
3.00%
-0.93%
-0.72%
-0.45%
0.23%
-0.35%
-1.03%
0.18%
-0.82%
-1.42%
-0.90%
0.00%
-0.24%
-2.98%
2.82%
-0.09%
-1.01%
-1.03%
-1.17%
3.18%
0.24%
-0.08%
-0.05%
-0.16%
-0.33%
-0.07%
-0.34%
-0.68%
63.48%
Table G-2: Pure-play Portfolio for geographic locations, 1998
1998-Location
Ticker
Asset
Fraction of Locations
TA/E
REITs
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
84
85
Alexandria Real Estate Equities, Inc.
Arden Realty Group, Inc.
Boston Properties, Inc.
Brandywine Realty Trust
CarrAmerica Realty Corporation
Corporate Office Properties Trust
Equity Office Properties Trust
Highwoods Properties, Inc.
HRPT Properties Trust
Mack-Cali Realty Corporation
Parkway Properties, Inc.
Prentiss Properties Trust
Prime Group Realty Trust
SL Green Realty Corp.
Bedford Property Investors, Inc.
Duke Realty Corporation
Kilroy Realty Corporation
Liberty Property Trust
PS Business Parks Inc.
Reckson Associates Realty Corp.
AMB Property Corp.
CenterPoint Properties Trust
EastGroup Properties, Inc.
First Industrial Realty Trust, Inc.
Monmouth Real Estate Investment Corp.
Acadia Realty Trust
Agree Realty Corporation
Developers Diversified Realty
Federal Realty Investment Trust
Kimco Realty Corporation
Malan Realty Investors, Inc.
New Plan Excel Realty Trust, Inc.
Pan Pacific Retail Properties, Inc.
Ramco-Gershenson Properties Trust
Regency Centers Corporation
Saul Centers, Inc.
Tanger Factory Outlet Centers, Inc.
Weingarten Realty Investors
CBL & Associates Properties, Inc.
General Growth Properties, Inc.
Glimcher Realty Trust
Macerich Company, The
Mills Corporation, The
Rouse Company, The
Simon Property Group, Inc.
Taubman Centers, Inc.
Alexander's, Inc.
Commercial Net Lease Realty, Inc.
One Liberty Properties, Inc.
Realty Income Corporation
Manufactured Home Communities, Inc.
Sun Communities, Inc.
Amli Residential Properties Trust
Apartment Investment & Management
Archstone-Smith Trust
Associated Estates Realty Corporation
AvalonBay Communities Inc.
BRE Properties, Inc.
Camden Property Trust
Cornerstone Realty Income Trust
Equity Residential
Essex Property Trust, Inc.
Gables Residential Trust
Home Properties, Inc.
Mid-America Apartment Communities,
Post Properties, Inc.
Roberts Realty Investors, Inc.
Summit Properties Inc.
Tarragon Realty Investors, Inc.
Town and Country Trust, The
United Dominion Realty Trust, Inc.
Forest City Enterprises
BODDIE NOELL PROPERTIES INC
Colonial Properties Trust E
Cousins Properties Incorporated E
Crescent Real Estate Equities Company E
First Union Real Estate Investments E
Glenborough Realty Trust Incorporated
Income Opportunity Realty Investors
Lexington Corporate Properties, Inc.
Pennsylvania Real Estate Investment
Sizeler Property Investors, Inc. E
Transcontinental Realty Investors, Inc
Vornado Realty Trust E
Washington Real Estate Investment Trust E
Debt
ARE
ARI
BXP
BDN
CRE
OFC
EOP
HIW
HRP
CLI
PKY
PP
PGE
SLG
BED
DRE
KRC
LRY
PSB
RA
AMB
CNT
EGP
FR
MNRTA
AKR
ADC
DDR
FRT
KIM
MAL
NXL
PNP
RPT
REG
BFS
SKT
WRI
CBL
GGP
GRT
MAC
MLS
RSE
SPG
TCO
ALX
NNN
OLP
O
MHC
SUI
AML
AIV
ASN
AEC
AVB
BRE
CPT
TCR
EQR
ESS
GBP
HME
MAA
PPS
RPI
SMT
TARR
TCT
UDR
FCE.A
BNP
CLP
CUZ
CEI
FUR
GLB
IOT
LXP
PEI
SIZ
TCI
VNO
WRE
248
1,284
1,673
621
2,744
194
11,752
2,722
2,136
2,593
369
1,240
741
383
434
2,176
758
2,094
29
1,113
2,506
699
413
2,272
45
255
130
1,392
1,317
1,344
216
1,261
487
485
827
261 416
947
1,245
2,098
1,164
1,505
927
3,590
7,663
557
235
537
58
577
864
691
680
2,101
2,806
554
1,318
1,342
1,324
474
7,095
739
981
544
1,194
1,781
118
825
37
366
2,314
2,963
166
1,397
618
4,180
820
866
90
467
166
276
319
2,524
469
1.5
1.9
9.6
1.5
1.8
16.6
1.8
1.9
1.7
2.2
1.5
1.8
3.3
2.2
1.3
1.8
1.9
2.2
1.1
2.5
1.5
1.8
1.6
2.7
2.3
5.2
2.4
2.1
2.4
1.8
6.4
1.7
1.6
3.8
1.6
6.9
3.4
2.4
3.8
4.2
2.3
7.0
9.4
7.7
4.9
1.0
18.0
1.5
1.8
1.3
3.1
2.1
2.5
2.0
1.8
3.1
1.7
1.9
1.9
1.5
1.9
1.9
2.2
3.6
2.6
2.4
4.4
3.1
3.8
7.3
2.2
10.5
3.0
2.8
1.7
1.9
3.1
1.5
3.6
2.3
4.1
3.3
3.7
1.9
1.9
55
WEIGHT
East
West
South
Mwest
0.56
0.00
0.65
1.00
0.23
0.82
0.30
0.54
1.00
0.83
0.29
0.29
0.00
1.00
0.00
0.06
0.00
0.80
0.15
1.00
0.22
0.00
0.09
0.23
0.80
0.85
0.07
0.35
0.81
0.42
0.02
0.41
0.02
0.17
0.06
0.92
0.41
0.00
0.39
0.21
0.48
0.12
0.38
0.56
0.23
0.31
1.00
0.23
0.22
0.15
0.00
0.00
0.00
0.12
0.09
0.02
0.32
0.00
0.12
0.85
0.17
0.00
0.00
0.77
0.17
0.05
0.00
0.56
0.08
1.00
0.58
0.44
1.00
0.10
0.29
0.04
0.25
0.21
0.06
0.27
0.77
0.00
0.15
0.60
1.00
0.44
1.00
0.35
0.00
0.52
0.00
0.36
0.00
0.00
0.08
0.00
0.26
0.07
0.00
0.92
0.00
1.00
0.02
0.71
0.00
0.39
0.00
0.29
0.07
0.00
0.00
0.01
0.11
0.09
0.03
0.02
0.10
0.97
0.00
0.12
0.00
0.07
0.29
0.04
0.37
0.02
0.74
0.23
0.19
0.11
0.25
0.00
0.17
0.06
0.33
1.00
0.00
0.00
0.67
0.62
0.00
0.65
1.00
0.10
0.00
0.43
1.00
0.00
0.00
0.01
0.05
0.00
0.00
0.19
0.00
0.01
0.18
0.00
0.00
0.08
0.23
0.24
0.44
0.43
0.44
0.00
0.00
0.14
0.20
0.00
0.00
0.00
0.00
0.00
0.19
0.00
0.18
0.46
0.00
0.08
0.68
0.25
0.07
0.00
0.02
0.11
0.00
0.09
0.14
0.00
0.20
0.00
0.57
0.21
0.03
0.15
0.15
0.22
0.04
0.21
0.00
0.29
0.01
0.26
0.76
0.08
0.35
0.67
0.48
0.19
0.13
0.08
0.22
0.17
0.32
0.09
0.00
0.49
0.40
0.31
0.00
0.00
0.63
0.17
0.28
0.03
0.00
0.00
0.68
0.15
0.26
0.00
1.00
0.00
0.80
0.90
1.00
0.33
0.61
0.00
0.41
0.03
0.00
0.90
0.63
0.63
0.27
0.17
0.40
0.21
0.19
1.00
0.64
0.12
0.00
0.00
0.00
0.00
0.00
0.06
0.18
0.16
0.01
0.00
0.01
0.02
0.20
0.86
0.00
0.06
0.83
0.00
0.08
0.00
0.00
0.19
1.00
0.04
0.48
0.17
0.00
0.76
0.32
0.06
0.33
0.96
0.20
0.00
0.57
0.06
0.00
0.16
0.03
0.09
0.23
0.36
0.06
0.17
0.09
0.33
0.35
0.00
0.11
0.31
0.21
0.00
1.00
0.37
0.05
0.02
0.95
0.02
0.00
0.09
0.00
0.13
0.00
0.00
0.23
0.02
0.00
0.00
0.11
0.12
0.00
0.00
0.36
0.00
0.00
0.00
0.09
0.24
0.17
0.12
0.08
0.04
0.00
0.08
0.08
0.00
East
West
0.51%
-0.94%
0.64%
2.74%
0.38%
0.06%
4.99%
3.54%
8.16%
5.83%
0.11%
0.41%
-0.45%
1.14%
-0.50%
-1.91%
-0.56%
4.56%
-0.01%
2.89%
0.13%
-0.79%
-0.27%
-0.03%
0.09%
0.25%
-0.08%
0.66%
2.71%
1.16%
-0.06%
1.11%
-0.38%
-0.08%
-0.74%
-0.22%
0.19%
-0.72%
0.43%
0.00%
1.04%
-0.13%
0.13%
1.31%
-0.03%
0.41%
0.08%
0.02%
0.00%
-0.22%
-0.39%
-0.67%
-0.55%
-0.66%
-1.39%
-0.33%
0.90%
-0.99%
-0.66%
1.63%
-1.10%
-0.56%
-0.91%
0.68%
-0.25%
-1.16%
-0.05%
0.73%
-0.01%
0.32%
3.04%
0.50%
0.36%
-0.59%
0.17%
-3.29%
0.05%
0.04%
-0.03%
0.11%
0.18%
-0.17%
-0.06%
4.24%
1.63%
61.66%
0.46%
5.48%
0.35%
-0.60%
5.30%
-0.02%
12.03%
-2.42%
-1.77%
-0.79%
-0.46%
0.66%
-0.17%
-0.25%
2.56%
-1.82%
3.24%
-1.19%
0.14%
-0.63%
3.56%
-0.54%
0.25%
-0.72%
-0.03%
-0.07%
-0.08%
-0.31%
-0.32%
-0.93%
-0.04%
-0.49%
2.36%
-0.20%
-0.43%
0.06%
-0.11%
0.35%
-0.44%
1.02%
-0.64%
1.21%
0.07%
0.13%
-0.84%
0.51%
-0.02%
-0.05%
-0.04%
0.67%
2.29%
-0.45%
-0.50%
5.11%
6.63%
-0.26%
3.82%
5.77%
-0.64%
-0.48%
9.40%
3.25%
-0.96%
-0.21%
-0.87%
-1.19%
-0.06%
-0.43%
0.00%
-0.07%
-1.64%
0.07%
-0.08%
-1.01%
-0.40%
0.79%
0.18%
1.58%
0.06%
0.55%
-0.06%
-0.18%
-0.05%
0.60%
-0.35%
45.80%
South
-0.34%
-1.43%
-0.36%
-0.86%
0.24%
-0.03%
0.01%
4.82%
-2.56%
-1.24%
1.50%
0.54%
-0.41%
-0.36%
-0.68%
-1.57%
-0.84%
-0.95%
-0.01%
-0.91%
0.36%
-1.08%
1.23%
0.15%
-0.03%
-0.01%
-0.04%
0.23%
-0.89%
0.21%
-0.09%
0.99%
-0.60%
0.08%
3.61%
0.04%
0.25%
2.33%
1.21%
0.00%
-0.36%
-0.25%
0.04%
-0.05%
2.44%
-0.66%
-0.03%
1.35%
0.08%
0.63%
-0.60%
-0.91%
1.42%
-0.13%
1.84%
-0.44%
-1.67%
-1.50%
4.33%
-0.07%
3.62%
-0.85%
4.49%
-0.33%
3.47%
6.59%
0.27%
0.48%
0.05%
-0.10%
3.03%
-0.55%
-0.11%
4.32%
2.06%
11.92%
0.28%
-0.11%
0.07%
0.09%
0.01%
0.84%
0.48%
-0.92%
-0.51%
53.43%
Mwest
-0.29%
-0.94%
-0.32%
-0.87%
-1.14%
0.01%
5.44%
-3.17%
-2.59%
-2.14%
-0.52%
1.02%
2.97%
-0.36%
-0.12%
15.63%
-0.55%
-0.55%
-0.05%
-0.92%
2.49%
6.14%
-0.39%
5.51%
0.02%
-0.11%
0.63%
2.40%
-0.50%
2.79%
0.52%
1.02%
-0.43%
1.03%
-0.73%
0.08%
0.08%
-0.68%
-0.27%
1.06%
2.17%
-0.10%
0.09%
-0.24%
5.88%
2.32%
-0.03%
-0.12%
0.10%
0.71%
-0.39%
5.17%
1.10%
-0.94%
-2.30%
2.70%
-0.94%
-0.98%
-0.62%
-0.68%
1.49%
-0.56%
-1.26%
0.31%
-1.06%
-2.02%
-0.07%
-0.08%
0.00%
-0.10%
-2.47%
1.25%
-0.11%
-1.33%
-0.91%
-1.52%
0.60%
0.71%
0.00%
-0.12%
-0.06%
-0.24%
-0.09%
-0.85%
-0.51%
64.88%
Table G-3: Pure-play Portfolio for geographic locations, 1999
1999-Location
Ticker
Asset
Fraction of Locations
TA/E
REITs
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
84
85
86
87
88
Alexandria Real Estate Equities, Inc.
Arden Realty Group, Inc.
Boston Properties, Inc.
Brandywine Realty Trust
CarrAmerica Realty Corporation
Corporate Office Properties Trust
Equity Office Properties Trust
Highwoods Properties, Inc.
HRPT Properties Trust
Mack-Cali Realty Corporation
Parkway Properties, Inc.
Prentiss Properties Trust
Prime Group Realty Trust
SL Green Realty Corp.
Bedford Property Investors, Inc.
Duke Realty Corporation
Kilroy Realty Corporation
Liberty Property Trust
Mission West Properties
PS Business Parks Inc.
Reckson Associates Realty Corp.
AMB Property Corp.
CenterPoint Properties Trust
EastGroup Properties, Inc.
First Industrial Realty Trust, Inc.
Monmouth Real Estate Investment Corp.
ProLogis Trust
Acadia Realty Trust
Agree Realty Corporation
Developers Diversified Realty
Equity One, Inc.
Federal Realty Investment Trust
Kimco Realty Corporation
Kramont Realty Trust
Malan Realty Investors, Inc.
New Plan Excel Realty Trust, Inc.
Pan Pacific Retail Properties, Inc.
Ramco-Gershenson Properties Trust
Regency Centers Corporation
Saul Centers, Inc.
Tanger Factory Outlet Centers, Inc.
Weingarten Realty Investors
CBL & Associates Properties, Inc.
General Growth Properties, Inc.
Glimcher Realty Trust
Macerich Company, The
Mills Corporation, The
Rouse Company, The
Simon Property Group, Inc.
Taubman Centers, Inc.
Alexander's, Inc.
Commercial Net Lease Realty, Inc.
One Liberty Properties, Inc.
Realty Income Corporation
Manufactured Home Communities, Inc.
Sun Communities, Inc.
Amli Residential Properties Trust
Apartment Investment & Management
Archstone-Smith Trust
Associated Estates Realty Corporation
AvalonBay Communities Inc.
BRE Properties, Inc.
Camden Property Trust
Cornerstone Realty Income Trust
Equity Residential
Essex Property Trust, Inc.
Gables Residential Trust
Home Properties, Inc.
Mid-America Apartment Communities,
Post Properties, Inc.
Roberts Realty Investors, Inc.
Summit Properties Inc.
Tarragon Realty Investors, Inc.
Town and Country Trust, The
United Dominion Realty Trust, Inc.
BNP Residential Properties, Inc.
Colonial Properties Trust E
Cousins Properties Incorporated E
Crescent Real Estate Equities Company E
First Union Real Estate Investments E
Glenborough Realty Trust Incorporated
Income Opportunity Realty Investors
Lexington Corporate Properties, Inc.
Pennsylvania Real Estate Investment
Sizeler Property Investors, Inc. E
Transcontinental Realty Investors, Inc
Vornado Realty Trust E
Washington Real Estate Investment Trust E
Debt
ARE
ARI
BXP
BDN
CRE
OFC
EOP
HIW
HRP
CLI
PKY
PP
PGE
SLG
BED
DRE
KRC
LRY
MSW
PSB
RA
AMB
CNT
EGP
FR
MNRTA
PLD
AKR
ADC
DDR
EQY
FRT
KIM
KRT
MAL
NXL
PNP
RPT
REG
BFS
SKT
WRI
CBL
GGP
GRT
MAC
MLS
RSE
SPG
TCO
ALX
NNN
OLP
O
MHC
SUI
AML
AIV
ASN
AEC
AVB
BRE
CPT
TCR
EQR
ESS
GBP
HME
MAA
PPS
RPI
SMT
TARR
TCT
UDR
BNP
CLP
CUZ
CEI
FUR
GLB
IOT
LXP
PEI
SIZ
TCI
VNO
WRE
530
2,332
5,235
1,912
3,793
564
14,261
4,314
3,064
3,452
592
1,871
1,165
778
598
2,854
1,106
2,933
520
709
1,855
3,563
818
568
2,554
56
4,331
529
150
2,127
153
1,484
3,051
225
257
1,385
706
544
1,240
271 472
1,107
1,855
4,027
1,558
2,322
970
5,155
13,277
1,481
317
686
83
759
1,177
821
786
4,268
5,060
841
4,030
1,631
2,348
552
10,700
932
1,586
1,012
1,366
2,067
125
1,199
357
432
3,755
221
1,755
753
5,043
787
1,879
89
647
482
286
382
4,426
559
2.7
1.7
5.5
2.6
2.1
3.3
2.0
2.3
1.7
2.4
1.8
2.2
3.3
1.5
1.7
1.8
2.3
2.3
15.6
1.4
2.6
2.0
2.0
1.8
2.4
2.0
1.9
3.4
2.8
2.4
1.9
2.8
1.9
2.8
5.0
1.8
1.8
3.7
2.3
7.3
4.1
2.1
4.5
4.4
3.2
4.0
12.3
8.2
3.9
2.8
45.5
1.8
1.6
1.7
3.8
2.4
2.3
2.2
1.9
3.2
1.7
2.1
2.0
1.6
2.0
2.4
2.8
2.8
2.6
2.0
4.7
3.3
4.7
13.7
2.7
3.9
2.9
2.0
2.1
5.2
2.3
3.8
3.2
3.5
3.8
4.2
2.5
2.2
56
WEIGHT
East
West
South
Mwest
0.61
0.00
0.67
0.99
0.19
0.95
0.30
0.44
0.95
0.79
0.38
0.28
0.00
1.00
0.00
0.08
0.00
0.74
0.00
0.21
0.87
0.20
0.00
0.06
0.25
0.68
0.11
0.81
0.07
0.31
0.12
0.80
0.37
0.96
0.01
0.40
0.01
0.16
0.09
0.92
0.39
0.00
0.37
0.20
0.41
0.12
0.33
0.57
0.33
0.33
1.00
0.24
0.35
0.23
0.00
0.00
0.00
0.19
0.17
0.09
0.54
0.00
0.08
0.61
0.19
0.00
0.00
0.81
0.17
0.08
0.00
0.51
0.21
0.91
0.39
1.00
0.10
0.20
0.06
0.25
0.27
0.04
0.39
0.83
0.00
0.13
0.66
1.00
0.38
1.00
0.33
0.00
0.56
0.00
0.39
0.00
0.03
0.13
0.00
0.26
0.03
0.00
0.93
0.00
1.00
0.02
1.00
0.58
0.10
0.39
0.00
0.33
0.10
0.00
0.52
0.00
0.01
0.14
0.08
0.10
0.10
0.00
0.02
0.09
0.98
0.00
0.32
0.00
0.06
0.25
0.03
0.36
0.12
0.60
0.28
0.22
0.11
0.22
0.00
0.17
0.04
0.25
1.00
0.00
0.00
0.44
0.48
0.04
0.38
1.00
0.36
0.00
0.29
1.00
0.00
0.00
0.01
0.05
0.00
0.00
0.18
0.00
0.16
0.00
0.00
0.16
0.21
0.22
0.25
0.41
0.32
0.00
0.00
0.14
0.16
0.00
0.01
0.00
0.00
0.00
0.19
0.00
0.17
0.44
0.02
0.08
0.61
0.26
0.03
0.00
0.02
0.25
0.00
0.13
0.00
0.20
0.03
0.24
0.00
0.57
0.22
0.07
0.26
0.09
0.14
0.18
0.73
0.04
0.20
0.04
0.00
0.29
0.01
0.25
0.49
0.08
0.40
0.72
0.47
0.22
0.15
0.09
0.24
0.13
0.27
0.12
0.00
0.46
0.32
0.29
0.00
0.00
0.61
0.27
0.32
0.11
0.00
0.00
0.50
0.39
0.34
0.00
1.00
0.00
0.80
0.87
1.00
0.40
0.53
0.09
0.37
0.00
0.90
0.65
0.66
0.28
0.32
0.44
0.17
0.14
1.00
0.67
0.09
0.00
0.00
0.00
0.00
0.01
0.06
0.05
0.14
0.11
0.00
0.01
0.01
0.20
0.93
0.00
0.05
0.67
0.00
0.12
0.00
0.00
0.00
0.16
1.00
0.04
0.43
0.25
0.11
0.10
0.79
0.37
0.06
0.06
0.33
0.00
0.97
0.22
0.00
0.59
0.09
0.00
0.15
0.04
0.13
0.23
0.31
0.20
0.15
0.08
0.28
0.32
0.00
0.12
0.28
0.23
0.00
1.00
0.39
0.09
0.03
0.77
0.08
0.00
0.06
0.00
0.18
0.00
0.00
0.19
0.02
0.00
0.00
0.09
0.07
0.00
0.08
0.00
0.00
0.00
0.08
0.25
0.16
0.10
0.13
0.03
0.00
0.07
0.10
0.00
East
West
0.44%
-1.73%
2.41%
3.23%
-0.35%
0.69%
2.85%
2.31%
7.45%
4.54%
0.30%
0.19%
-0.59%
2.25%
-0.45%
-1.74%
-0.60%
3.62%
-0.04%
-0.02%
2.56%
-0.31%
-0.69%
-0.28%
-0.03%
0.07%
-1.53%
0.51%
-0.07%
0.27%
-0.05%
1.71%
1.07%
0.33%
-0.08%
0.71%
-0.46%
-0.09%
-0.41%
-0.15%
0.10%
-0.66%
0.32%
-0.23%
0.44%
-0.40%
0.04%
1.21%
1.74%
0.24%
0.03%
0.03%
0.03%
-0.03%
-0.39%
-0.59%
-0.48%
-0.40%
-0.71%
-0.29%
4.03%
-0.97%
-0.96%
0.74%
-1.24%
-0.49%
-0.68%
1.16%
-0.14%
-0.80%
-0.03%
0.56%
0.00%
0.12%
1.26%
0.25%
-0.40%
-0.05%
-2.28%
0.01%
0.16%
-0.02%
0.18%
0.47%
-0.09%
-0.05%
4.33%
1.11%
65.98%
0.31%
8.42%
1.09%
-0.94%
5.02%
-0.21%
10.86%
-2.82%
-1.94%
-0.52%
-0.53%
0.50%
-0.28%
-0.65%
1.96%
-1.94%
2.92%
-1.46%
0.20%
1.44%
-0.36%
2.75%
-0.41%
0.27%
-0.60%
-0.03%
5.51%
-0.20%
-0.06%
-0.19%
-0.09%
-0.29%
-0.85%
-0.10%
-0.04%
-0.52%
2.29%
-0.18%
0.48%
0.05%
-0.11%
0.08%
-0.53%
1.20%
-0.17%
1.82%
0.06%
0.20%
-1.88%
0.21%
-0.01%
-0.08%
-0.06%
0.23%
1.90%
-0.34%
-0.52%
3.60%
5.45%
-0.22%
3.71%
4.69%
1.31%
-0.51%
3.90%
2.39%
-1.03%
-0.44%
-0.86%
-1.49%
-0.05%
-0.53%
-0.02%
-0.04%
-0.33%
-0.07%
-1.09%
-0.18%
-0.27%
0.04%
0.38%
0.04%
0.21%
-0.18%
-0.14%
-0.06%
-0.25%
-0.32%
51.49%
South
-0.28%
-2.53%
-1.34%
-0.91%
0.10%
-0.22%
-1.36%
4.79%
-1.83%
-0.90%
1.37%
0.51%
-0.95%
-0.62%
-0.60%
-0.33%
-0.88%
-0.41%
-0.06%
0.09%
-0.72%
0.64%
-1.27%
1.14%
-0.14%
-0.03%
1.27%
-0.09%
-0.08%
-0.33%
0.42%
-0.54%
-0.20%
-0.07%
-0.16%
0.68%
-0.68%
-0.02%
1.53%
0.02%
0.23%
2.65%
1.13%
0.08%
-0.24%
-0.68%
0.04%
-0.22%
2.13%
-0.46%
-0.01%
1.00%
0.06%
0.37%
-0.57%
-1.06%
1.20%
1.48%
3.50%
-0.46%
-3.76%
-1.41%
3.38%
0.79%
6.73%
-0.72%
4.34%
-0.57%
3.08%
6.91%
0.21%
0.80%
0.25%
-0.01%
2.54%
-0.07%
4.18%
1.71%
10.74%
0.10%
1.02%
0.05%
-0.03%
-0.01%
0.59%
0.42%
-1.24%
-0.31%
55.14%
Mwest
-0.29%
-1.37%
-1.41%
-1.20%
-1.23%
-0.15%
3.73%
-0.96%
-3.17%
-2.26%
-0.77%
1.11%
4.65%
-0.88%
-0.12%
13.57%
-0.47%
0.00%
-0.03%
-0.74%
-1.19%
1.52%
5.83%
-0.52%
5.29%
0.06%
0.27%
-0.04%
0.57%
3.67%
-0.14%
-0.40%
5.40%
-0.14%
0.71%
1.09%
-0.39%
1.10%
-0.36%
0.07%
0.02%
-1.03%
-0.10%
1.78%
1.52%
1.03%
0.04%
-0.28%
8.71%
1.81%
-0.01%
-0.13%
0.13%
0.76%
-0.31%
4.89%
1.27%
-0.60%
-3.70%
2.75%
-0.30%
-0.76%
-1.30%
-0.77%
4.97%
-0.39%
-1.75%
0.49%
-1.34%
-3.06%
-0.08%
-0.30%
-0.09%
-0.06%
-1.21%
-0.10%
-1.82%
-0.96%
-3.08%
0.31%
0.43%
-0.01%
0.06%
-0.19%
-0.24%
-0.13%
-0.36%
-0.44%
63.55%
Table G-4: Pure-play Portfolio for geographic locations, 2000
2000-Location
Ticker
Asset
Fraction of Locations
TA/E
REITs
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
84
85
86
87
88
89
90
91
92
Alexandria Real Estate Equities, Inc.
AmeriVest Properties, Inc.
Arden Realty Group, Inc.
Boston Properties, Inc.
Brandywine Realty Trust
Brookfield Property Corporation
CarrAmerica Realty Corporation
Corporate Office Properties Trust
Equity Office Properties Trust
Glenborough Realty Trust Incorporated
Highwoods Properties, Inc.
HRPT Properties Trust
Mack-Cali Realty Corporation
Parkway Properties, Inc.
Prentiss Properties Trust
Prime Group Realty Trust
SL Green Realty Corp.
Bedford Property Investors, Inc.
Duke Realty Corporation
Kilroy Realty Corporation
Liberty Property Trust
Mission West Properties
PS Business Parks Inc.
Reckson Associates Realty Corp.
AMB Property Corp.
CenterPoint Properties Trust
EastGroup Properties, Inc.
First Industrial Realty Trust, Inc.
Keystone Property Trust
Monmouth Real Estate Investment Corp.
ProLogis Trust
Acadia Realty Trust
Agree Realty Corporation
Developers Diversified Realty
Equity One, Inc.
Federal Realty Investment Trust
Kimco Realty Corporation
Malan Realty Investors, Inc.
New Plan Excel Realty Trust, Inc.
Pan Pacific Retail Properties, Inc.
Ramco-Gershenson Properties Trust
Saul Centers, Inc.
Tanger Factory Outlet Centers, Inc.
Weingarten Realty Investors
CBL & Associates Properties, Inc.
General Growth Properties, Inc.
Glimcher Realty Trust
Macerich Company, The
Mills Corporation, The
Rouse Company, The
Simon Property Group, Inc.
Taubman Centers, Inc.
Alexander's, Inc.
Commercial Net Lease Realty, Inc.
One Liberty Properties, Inc.
Realty Income Corporation
Manufactured Home Communities, Inc.
Sun Communities, Inc.
Amli Residential Properties Trust
Apartment Investment & Management
Archstone-Smith Trust
Associated Estates Realty Corporation
AvalonBay Communities Inc.
BRE Properties, Inc.
Camden Property Trust
Cornerstone Realty Income Trust
Equity Residential
Essex Property Trust, Inc.
Gables Residential Trust
Home Properties, Inc.
Mid-America Apartment Communities,
Post Properties, Inc.
Roberts Realty Investors, Inc.
Summit Properties Inc.
Town and Country Trust, The
United Dominion Realty Trust, Inc.
Colonial Properties Trust E
Cousins Properties Incorporated E
Crescent Real Estate Equities Company E
First Union Real Estate Investments E
Forest City Enterprises
Glenborough Realty Trust Incorporated
Income Opportunity Realty Investors
Lexington Corporate Properties, Inc.
One Liberty Properties, Inc.
Pennsylvania Real Estate Investment
Sizeler Property Investors, Inc. E
St. Joe Company
Transcontinental Realty Investors, Inc
Vornado Realty Trust E
Washington Real Estate Investment Trust E
Capital Automotive REIT E
Debt
ARE
AMV
ARI
BXP
BDN
BPO
CRE
OFC
EOP
GLB
HIW
HRP
CLI
PKY
PP
PGE
SLG
BED
DRE
KRC
LRY
MSW
PSB
RA
AMB
CNT
EGP
FR
KTR
MNRTA
PLD
AKR
ADC
DDR
EQY
FRT
KIM
MAL
NXL
PNP
RPT
BFS
SKT
WRI
CBL
GGP
GRT
MAC
MLS
RSE
SPG
TCO
ALX
NNN
OLP
O
MHC
SUI
AML
AIV
ASN
AEC
AVB
BRE
CPT
TCR
EQR
ESS
GBP
HME
MAA
PPS
RPI
SMT
TCT
UDR
CLP
CUZ
CEI
FUR
FCE.A
GLB
IOT
LXP
OLP
PEI
SIZ
JOE
TCI
VNO
WRE
643
30
2,570
5,435
1,830
8,111
3,479
721
14,046
1,795
4,016
2,953
3,630
649
1,995
1,444
1,071
671
5,486
1,321
3,118
713
904
2,724
3,622
1,083
632
2,527
875
79
5,848
571
158
2,321
212
1,534
3,007
253
2,953
785
551
300 490
1,309
2,019
4,955
1,586
2,404
1,039
4,427
14,223
1,597
366
750
86
905
1,160
911
805
5,685
5,302
883
4,155
1,709
2,488
869
11,716
1,062
1,471
1,504
1,299
2,350
127
1,217
481
3,688
1,864
933
4,951
461
3,814
1,795
91
656
86
548
286
1,822
714
5,479
608
2.4
4.8
1.9
4.7
2.3
4.2
2.1
3.8
2.1
2.3
2.1
1.9
2.5
2.0
2.4
3.9
2.1
2.2
2.1
2.8
2.4
7.1
1.6
2.4
2.0
2.3
1.7
2.4
4.7
2.2
2.0
3.7
3.0
2.7
2.3
3.1
1.9
5.4
1.8
2.1
3.8
9.4
4.5
2.0
4.8
3.9
3.5
3.9
17.3
6.9
4.4
3.3
29.3
1.9
1.7
1.7
5.5
2.7
2.3
2.5
2.1
3.7
1.8
2.1
2.4
1.5
2.1
2.7
2.9
3.0
2.8
2.2
5.7
3.7
21.8
2.8
3.8
2.1
2.4
2.7
9.9
2.3
3.8
3.2
1.7
4.1
4.0
1.9
4.0
2.7
2.4
57
WEIGHT
East
West
South
Mwest
0.60
0.00
0.00
0.68
0.99
0.40
0.18
0.96
0.23
0.28
0.44
0.92
0.82
0.32
0.31
0.00
1.00
0.00
0.07
0.00
0.75
0.00
0.28
0.89
0.20
0.00
0.06
0.27
0.84
0.57
0.11
0.81
0.06
0.28
0.05
0.78
0.36
0.01
0.40
0.01
0.14
0.91
0.39
0.00
0.38
0.17
0.36
0.10
0.32
0.57
0.32
0.30
1.00
0.20
0.51
0.21
0.00
0.00
0.00
0.22
0.26
0.10
0.57
0.00
0.08
0.67
0.26
0.00
0.00
0.86
0.18
0.09
0.00
0.54
0.91
0.40
0.09
0.18
0.06
0.23
0.49
0.28
0.04
0.37
0.51
0.84
0.00
0.05
0.13
0.66
1.00
0.25
0.39
0.64
1.00
0.32
0.00
0.56
0.58
0.00
0.58
0.27
0.00
0.06
0.11
0.00
0.27
0.03
0.00
0.94
0.00
1.00
0.02
1.00
0.57
0.09
0.43
0.00
0.33
0.10
0.06
0.00
0.52
0.00
0.01
0.20
0.07
0.11
0.13
0.02
0.11
0.99
0.00
0.00
0.05
0.30
0.02
0.38
0.14
0.62
0.27
0.20
0.13
0.24
0.00
0.20
0.02
0.27
1.00
0.00
0.02
0.41
0.42
0.04
0.37
1.00
0.38
0.00
0.29
1.00
0.00
0.00
0.01
0.05
0.00
0.00
0.00
0.17
0.00
0.17
0.21
0.23
0.17
0.27
0.36
0.29
0.02
0.00
0.00
0.00
0.15
0.17
0.00
0.21
0.00
0.00
0.00
0.00
0.19
0.00
0.10
0.31
0.45
0.02
0.06
0.57
0.24
0.03
0.00
0.02
0.26
0.00
0.12
0.00
0.15
0.02
0.23
0.00
0.57
0.25
0.00
0.05
0.27
0.09
0.14
0.19
0.85
0.05
0.22
0.00
0.28
0.00
0.24
0.09
0.42
0.67
0.37
0.23
0.15
0.10
0.27
0.15
0.29
0.15
0.00
0.46
0.29
0.31
0.00
0.00
0.62
0.24
0.27
0.13
0.00
0.00
0.47
0.33
0.29
0.00
1.00
0.00
0.80
0.85
1.00
0.38
0.09
0.35
0.91
0.65
0.66
0.31
0.03
0.31
0.52
0.18
0.29
0.13
1.00
0.95
0.64
0.08
0.00
0.15
0.00
0.00
0.01
0.04
0.05
0.04
0.09
0.14
0.12
0.00
0.01
0.11
0.18
0.94
0.00
0.04
0.67
0.00
0.11
0.00
0.00
0.00
0.14
1.00
0.04
0.39
0.10
0.38
0.11
0.10
0.78
0.32
0.03
0.06
0.29
0.97
0.21
0.00
0.62
0.00
0.14
0.03
0.24
0.22
0.35
0.18
0.14
0.08
0.27
0.31
0.00
0.14
0.18
0.22
0.00
1.00
0.36
0.13
0.05
0.73
0.06
0.00
0.06
0.00
0.15
0.00
0.00
0.14
0.02
0.00
0.00
0.08
0.00
0.08
0.00
0.00
0.07
0.23
0.30
0.14
0.08
0.16
0.18
0.03
0.00
0.00
0.08
0.09
0.16
0.44
0.16
East
West
0.46%
-0.01%
-1.78%
2.48%
2.95%
1.43%
-0.54%
0.69%
-0.56%
0.17%
2.02%
5.10%
4.13%
0.16%
0.27%
-0.50%
1.94%
-0.39%
-2.34%
-0.61%
3.29%
-0.13%
0.10%
3.59%
-0.43%
-0.63%
-0.29%
0.11%
0.55%
0.06%
-1.96%
0.43%
-0.05%
0.15%
-0.07%
1.34%
0.90%
-0.06%
1.30%
-0.48%
-0.07%
-0.11%
0.09%
-0.68%
0.30%
-0.46%
0.26%
-0.48%
0.02%
1.05%
1.26%
0.13%
0.05%
-0.06%
0.07%
-0.08%
-0.27%
-0.46%
-0.39%
-0.21%
0.34%
-0.18%
3.81%
-1.07%
-0.73%
1.28%
0.73%
-0.50%
-0.48%
1.51%
-0.06%
-0.55%
-0.02%
0.50%
0.07%
1.11%
-0.25%
-0.07%
-1.61%
-0.01%
0.46%
0.17%
-0.02%
0.13%
0.07%
0.40%
-0.07%
-0.65%
-0.08%
4.23%
0.97%
0.04%
67.82%
0.26%
0.02%
6.22%
0.66%
-1.02%
3.83%
3.65%
-0.24%
14.67%
0.34%
-2.18%
-1.41%
-0.91%
-0.36%
0.35%
-0.19%
-0.67%
1.26%
-2.24%
2.14%
-1.41%
0.46%
1.13%
-0.87%
2.48%
-0.32%
0.28%
-0.46%
-0.17%
-0.04%
5.38%
-0.19%
-0.04%
0.10%
-0.07%
-0.30%
-0.49%
-0.03%
-0.77%
1.70%
-0.13%
0.04%
-0.09%
0.36%
-0.41%
1.38%
-0.12%
1.52%
0.02%
-0.02%
-1.12%
0.15%
-0.02%
0.00%
-0.05%
0.23%
0.96%
-0.23%
-0.30%
2.77%
3.10%
-0.15%
2.05%
3.73%
1.06%
-0.71%
3.03%
1.75%
-0.58%
-0.60%
-0.51%
-0.91%
-0.03%
-0.39%
-0.03%
-0.23%
-0.57%
-0.09%
0.17%
0.04%
-0.03%
0.34%
0.02%
0.11%
-0.05%
-0.17%
-0.08%
-1.08%
-0.05%
-0.50%
South
-0.26%
0.00%
-1.56%
-1.17%
-0.76%
-2.18%
0.45%
-0.20%
-3.05%
0.89%
4.27%
-1.22%
-0.72%
1.02%
0.45%
-0.89%
-0.49%
-0.32%
-0.37%
-0.54%
-0.32%
-0.11%
0.03%
-0.89%
0.82%
-1.25%
1.20%
0.24%
-0.21%
-0.05%
2.33%
-0.06%
-0.06%
-0.07%
0.50%
-0.37%
0.28%
-0.12%
1.31%
-0.42%
-0.03%
0.01%
0.21%
2.61%
0.60%
0.49%
-0.19%
-0.40%
0.05%
0.01%
2.40%
-0.18%
-0.01%
0.90%
0.05%
0.54%
-0.24%
-0.91%
1.12%
1.25%
2.33%
-0.30%
-2.66%
-0.94%
2.51%
0.89%
5.32%
-0.44%
3.40%
-0.60%
2.37%
5.88%
0.15%
0.60%
-0.01%
1.99%
2.95%
1.75%
8.01%
0.16%
-0.50%
0.89%
0.07%
0.02%
0.05%
-0.01%
0.47%
5.90%
0.67%
-1.02%
Mwest
-0.29%
0.00%
-0.93%
-1.32%
-1.02%
-0.87%
-0.93%
-0.16%
0.20%
0.14%
-0.84%
-2.05%
-1.83%
-0.20%
0.73%
4.06%
-0.70%
-0.06%
18.71%
-0.32%
-0.07%
-0.07%
-0.63%
-1.48%
0.94%
5.43%
-0.51%
3.67%
-0.01%
0.13%
0.21%
-0.03%
0.45%
2.32%
-0.19%
-0.28%
3.65%
0.53%
1.73%
-0.26%
0.91%
0.05%
0.00%
-1.03%
0.53%
1.78%
1.41%
0.80%
0.02%
-0.27%
6.11%
1.27%
-0.02%
0.01%
0.03%
0.66%
-0.14%
3.95%
0.91%
0.62%
-1.90%
1.92%
-0.77%
-0.56%
-0.91%
-1.03%
2.26%
-0.26%
-1.37%
0.25%
-1.02%
-2.60%
-0.06%
-0.26%
-0.03%
-0.88%
-1.27%
-0.92%
-2.29%
0.24%
1.04%
0.14%
-0.02%
0.13%
0.03%
-0.15%
-0.19%
-2.46%
-0.19%
-0.41%
-0.07%
56.22%
0.62%
55.30%
0.06%
68.39%
Table G-5: Pure-play Portfolio for geographic locations, 2001
2001-Location
Ticker
Asset
Fraction of Locations
TA/E
REITs
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
84
85
86
87
88
89
90
91
92
93
94
95
Alexandria Real Estate Equities, Inc.
AmeriVest Properties, Inc.
Arden Realty Group, Inc.
Boston Properties, Inc.
Brandywine Realty Trust
Brookfield Property Corporation
CarrAmerica Realty Corporation
Corporate Office Properties Trust
Equity Office Properties Trust
Glenborough Realty Trust Incorporated
Highwoods Properties, Inc.
HRPT Properties Trust
Mack-Cali Realty Corporation
Maxus Realty Trust Inc.
Parkway Properties, Inc.
Prentiss Properties Trust
Prime Group Realty Trust
SL Green Realty Corp.
Bedford Property Investors, Inc.
Duke Realty Corporation
Kilroy Realty Corporation
Liberty Property Trust
Mission West Properties
PS Business Parks Inc.
Reckson Associates Realty Corp.
AMB Property Corp.
CenterPoint Properties Trust
EastGroup Properties, Inc.
First Industrial Realty Trust, Inc.
Keystone Property Trust
Monmouth Real Estate Investment Corp.
ProLogis Trust
Acadia Realty Trust
Agree Realty Corporation
Chelsea Property Group, Inc.
Developers Diversified Realty
Equity One, Inc.
Federal Realty Investment Trust
Kimco Realty Corporation
Kramont Realty Trust
Malan Realty Investors, Inc.
New Plan Excel Realty Trust, Inc.
Pan Pacific Retail Properties, Inc.
Ramco-Gershenson Properties Trust
Regency Centers Corporation
Saul Centers, Inc.
Tanger Factory Outlet Centers, Inc.
Weingarten Realty Investors
CBL & Associates Properties, Inc.
General Growth Properties, Inc.
Glimcher Realty Trust
Macerich Company, The
Mills Corporation, The
Rouse Company, The
Simon Property Group, Inc.
Taubman Centers, Inc.
Alexander's, Inc.
Commercial Net Lease Realty, Inc.
Realty Income Corporation
Manufactured Home Communities, Inc.
Sun Communities, Inc.
Amli Residential Properties Trust
Apartment Investment & Management
Archstone-Smith Trust
Associated Estates Realty Corporation
AvalonBay Communities Inc.
BRE Properties, Inc.
Camden Property Trust
Cornerstone Realty Income Trust
Equity Residential
Essex Property Trust, Inc.
Gables Residential Trust
Home Properties, Inc.
Mid-America Apartment Communities,
Post Properties, Inc.
Roberts Realty Investors, Inc.
Summit Properties Inc.
Town and Country Trust, The
United Dominion Realty Trust, Inc.
BNP Residential Properties, Inc.
Catellus Development Corp.
Colonial Properties Trust E
Cousins Properties Incorporated E
Crescent Real Estate Equities Company E
First Union Real Estate Investments E
Forest City Enterprises
Income Opportunity Realty Investors
Lexington Corporate Properties, Inc.
One Liberty Properties, Inc.
Pennsylvania Real Estate Investment
Sizeler Property Investors, Inc. E
St. Joe Company
Vornado Realty Trust E
Washington Real Estate Investment Trust E
Capital Automotive REIT E
Debt
ARE
AMV
ARI
BXP
BDN
BPO
CRE
OFC
EOP
GLB
HIW
HRP
CLI
MRTI
PKY
PP
PGE
SLG
BED
DRE
KRC
LRY
MSW
PSB
RA
AMB
CNT
EGP
FR
KTR
MNRTA
PLD
AKR
ADC
CPG
DDR
EQY
FRT
KIM
KRT
MAL
NXL
PNP
RPT
REG
BFS
SKT
WRI
CBL
GGP
GRT
MAC
MLS
RSE
SPG
TCO
ALX
NNN
O
MHC
SUI
AML
AIV
ASN
AEC
AVB
BRE
CPT
TCR
EQR
ESS
GBP
HME
MAA
PPS
RPI
SMT
TCT
UDR
BNP
CDX
CLP
CUZ
CEI
FUR
FCE.A
IOT
LXP
OLP
PEI
SIZ
JOE
VNO
WRE
CARS
781
42
2,706
6,226
1,825
8,624
3,073
795
18,794
1,371
3,702
2,900
3,677
17
655
2,118
1,439
1,161
634
5,460
1,457
3,396
827
931
2,998
4,426
1,155
666
2,618
963
86
5,946
524
166
901
2,332
239
1,621
3,171
764
244
2,894
1,298
560
3,035
334 487
1,518
2,116
5,284
1,590
2,337
1,126
4,176
13,938
1,908
403
762
935
1,104
967
866
7,700
5,020
820
4,397
1,718
2,431
800
12,264
1,282
1,453
1,872
1,304
2,551
132
1,340
499
3,454
231
2,276
1,944
1,116
4,532
463
4,030
97
668
128
577
285
1,115
6,370
632
1,022
2.4
3.7
2.0
3.6
2.4
4.1
1.9
4.1
2.3
2.1
2.1
1.9
2.5
1.7
2.0
2.6
4.0
2.1
2.1
2.0
3.3
2.6
8.1
1.6
2.7
2.5
2.2
1.8
2.5
5.8
2.1
2.0
2.9
3.2
3.3
3.0
2.3
3.5
1.9
3.4
6.2
1.9
2.1
4.0
2.5
10.7
5.4
2.4
4.9
4.1
3.7
3.8
23.5
6.6
4.5
3.9
22.8
1.9
1.8
6.6
2.9
2.2
3.1
2.2
4.2
1.8
2.1
2.5
1.5
2.2
3.3
3.0
3.0
3.0
2.5
6.1
4.0
24.9
2.8
5.2
3.3
4.3
2.5
2.6
3.8
8.8
2.4
3.3
2.4
4.0
4.3
2.0
3.1
2.4
3.5
58
WEIGHT
East
West
South
Mwest
0.60
0.00
0.00
0.68
0.99
0.40
0.18
0.96
0.23
0.28
0.44
0.92
0.82
0.00
0.32
0.31
0.00
1.00
0.00
0.07
0.00
0.75
0.00
0.28
0.89
0.20
0.00
0.06
0.27
0.84
0.57
0.11
0.81
0.06
0.34
0.28
0.05
0.78
0.36
0.84
0.01
0.40
0.01
0.14
0.08
0.91
0.39
0.00
0.38
0.17
0.36
0.10
0.32
0.57
0.32
0.30
1.00
0.20
0.21
0.00
0.00
0.00
0.22
0.26
0.10
0.57
0.00
0.08
0.67
0.26
0.00
0.00
0.86
0.18
0.09
0.00
0.54
0.91
0.40
1.00
0.02
0.09
0.18
0.06
0.23
0.49
0.04
0.37
0.51
0.84
0.00
0.05
0.66
1.00
0.25
0.39
0.64
1.00
0.32
0.00
0.56
0.58
0.00
0.58
0.27
0.00
0.06
0.11
0.00
0.00
0.27
0.03
0.00
0.94
0.00
1.00
0.02
1.00
0.57
0.09
0.43
0.00
0.33
0.10
0.06
0.00
0.52
0.00
0.01
0.42
0.20
0.07
0.11
0.13
0.00
0.02
0.11
0.99
0.00
0.39
0.00
0.05
0.30
0.02
0.38
0.14
0.62
0.27
0.20
0.13
0.24
0.00
0.20
0.27
1.00
0.00
0.02
0.41
0.42
0.04
0.37
1.00
0.38
0.00
0.29
1.00
0.00
0.00
0.01
0.05
0.00
0.00
0.00
0.17
0.00
0.73
0.00
0.17
0.21
0.23
0.17
0.36
0.29
0.02
0.00
0.00
0.00
0.17
0.00
0.16
0.00
0.21
0.00
0.00
0.00
0.00
0.19
0.00
0.10
0.31
0.45
0.02
0.06
0.35
0.57
0.24
0.03
0.00
0.02
0.26
0.00
0.12
0.00
0.15
0.02
0.23
0.00
0.57
0.25
0.00
0.05
0.27
0.09
0.14
0.15
0.19
0.85
0.05
0.22
0.14
0.00
0.28
0.00
0.24
0.44
0.09
0.42
0.67
0.37
0.23
0.15
0.10
0.27
0.15
0.29
0.15
0.00
0.46
0.31
0.00
0.00
0.62
0.24
0.27
0.13
0.00
0.00
0.47
0.33
0.29
0.00
1.00
0.00
0.80
0.85
1.00
0.38
0.09
0.35
0.00
0.10
0.91
0.65
0.66
0.31
0.03
0.52
0.18
0.29
0.13
1.00
0.95
0.08
0.00
0.44
0.00
0.15
0.00
0.00
0.01
0.04
0.05
0.04
0.09
0.14
0.12
0.00
0.01
0.65
0.11
0.18
0.94
0.00
0.04
0.67
0.00
0.11
0.00
0.00
0.00
0.14
1.00
0.04
0.39
0.10
0.38
0.11
0.10
0.78
0.09
0.32
0.03
0.06
0.29
0.02
0.97
0.21
0.00
0.62
0.09
0.00
0.14
0.03
0.24
0.22
0.35
0.18
0.14
0.08
0.27
0.31
0.00
0.14
0.22
0.00
1.00
0.36
0.13
0.05
0.73
0.06
0.00
0.06
0.00
0.15
0.00
0.00
0.14
0.02
0.00
0.00
0.08
0.00
0.08
0.00
0.15
0.00
0.00
0.07
0.23
0.30
0.08
0.16
0.18
0.03
0.00
0.00
0.09
0.00
0.16
East
West
0.52%
-0.01%
-1.48%
3.46%
2.58%
1.49%
-0.41%
0.63%
-0.22%
0.15%
1.73%
4.67%
3.80%
-0.01%
0.14%
0.25%
-0.45%
1.94%
-0.33%
-2.22%
-0.48%
3.05%
-0.11%
0.12%
3.27%
-0.32%
-0.66%
-0.26%
0.10%
0.45%
0.06%
-1.66%
0.46%
-0.05%
0.12%
0.14%
-0.07%
1.14%
0.87%
0.61%
-0.05%
1.14%
-0.64%
-0.07%
-0.80%
-0.09%
0.07%
-0.60%
0.28%
-0.39%
0.22%
-0.40%
0.02%
0.95%
1.09%
0.13%
0.06%
-0.05%
-0.07%
-0.18%
-0.42%
-0.41%
-0.14%
0.34%
-0.14%
3.65%
-0.88%
-0.61%
1.06%
0.78%
-0.43%
-0.42%
1.71%
-0.05%
-0.49%
-0.02%
0.47%
0.06%
0.95%
0.15%
-0.68%
-0.22%
-0.06%
-1.22%
0.00%
0.50%
-0.03%
0.12%
0.07%
0.40%
-0.06%
-0.37%
3.92%
0.89%
0.03%
67.90%
0.28%
0.02%
5.25%
0.87%
-0.83%
3.53%
3.00%
-0.21%
14.69%
0.21%
-1.90%
-1.20%
-0.78%
-0.01%
-0.35%
0.25%
-0.20%
-0.62%
1.08%
-2.26%
1.71%
-1.26%
0.40%
0.97%
-0.73%
1.97%
-0.37%
0.21%
-0.48%
-0.13%
-0.04%
4.42%
-0.19%
-0.04%
0.28%
0.03%
-0.08%
-0.24%
-0.55%
-0.25%
-0.02%
-0.73%
2.32%
-0.12%
1.05%
0.03%
-0.07%
0.23%
-0.40%
1.12%
-0.12%
1.26%
0.01%
-0.03%
-1.11%
0.10%
-0.02%
-0.03%
0.16%
0.65%
-0.23%
-0.35%
2.51%
2.23%
-0.12%
1.82%
3.10%
0.79%
-0.58%
2.33%
1.52%
-0.55%
-0.64%
-0.47%
-0.89%
-0.02%
-0.36%
-0.02%
-0.26%
-0.05%
1.77%
-0.51%
-0.13%
-0.07%
0.02%
-0.05%
0.03%
0.08%
-0.05%
-0.16%
-0.08%
-0.64%
-0.46%
-0.28%
-0.08%
60.09%
South
-0.30%
0.00%
-1.53%
-1.68%
-0.67%
-2.28%
0.49%
-0.18%
-3.41%
0.79%
4.17%
-1.12%
-0.63%
0.01%
1.06%
0.46%
-0.88%
-0.50%
-0.31%
-0.39%
-0.50%
-0.25%
-0.12%
0.05%
-0.81%
0.84%
-1.46%
1.25%
0.27%
-0.18%
-0.05%
2.40%
-0.06%
-0.06%
-0.01%
-0.05%
0.58%
-0.31%
0.35%
0.03%
-0.10%
1.33%
-0.66%
-0.03%
2.74%
0.01%
0.19%
2.58%
0.64%
0.52%
-0.17%
-0.39%
0.04%
0.04%
2.37%
-0.18%
-0.02%
0.93%
0.54%
-0.19%
-0.92%
1.27%
1.47%
2.14%
-0.25%
-2.64%
-0.90%
2.45%
0.85%
5.66%
-0.44%
3.27%
-0.71%
2.26%
5.81%
0.15%
0.65%
0.00%
1.93%
-0.04%
-0.38%
2.75%
1.85%
6.85%
0.12%
-0.58%
0.11%
0.02%
0.05%
0.00%
0.45%
3.62%
-0.92%
-0.23%
0.62%
58.48%
Mwest
-0.33%
0.01%
-0.94%
-1.88%
-0.90%
-0.88%
-0.92%
-0.15%
0.16%
0.10%
-0.80%
-1.92%
-1.74%
0.07%
-0.21%
0.69%
3.86%
-0.71%
-0.07%
18.62%
-0.31%
-0.01%
-0.07%
-0.63%
-1.38%
0.86%
6.10%
-0.54%
3.59%
0.00%
0.14%
0.11%
-0.03%
0.44%
-0.01%
2.09%
-0.22%
-0.23%
3.81%
-0.27%
0.43%
1.64%
-0.43%
0.86%
-0.66%
0.04%
0.00%
-1.04%
0.53%
1.73%
1.31%
0.76%
0.01%
-0.24%
5.62%
1.27%
-0.02%
0.00%
0.61%
-0.12%
3.85%
0.98%
0.63%
-1.68%
1.56%
-0.70%
-0.55%
-0.91%
-0.91%
2.17%
-0.27%
-1.32%
0.35%
-0.97%
-2.57%
-0.06%
-0.27%
-0.03%
-0.82%
-0.06%
0.59%
-1.18%
-0.97%
-2.01%
0.16%
1.22%
-0.03%
0.13%
0.03%
-0.15%
-0.18%
-1.51%
-0.33%
-0.33%
0.05%
68.27%
Table G-6: Pure-play Portfolio for geographic locations, 2002
2002-Location
Ticker
Asset
Fraction of Locations
TA/E
REITs
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
84
85
86
87
88
89
90
Alexandria Real Estate Equities, Inc.
AmeriVest Properties, Inc.
Arden Realty Group, Inc.
Boston Properties, Inc.
Brandywine Realty Trust
Brookfield Property Corporation
CarrAmerica Realty Corporation
Corporate Office Properties Trust
Equity Office Properties Trust
Glenborough Realty Trust Incorporated
Highwoods Properties, Inc.
HRPT Properties Trust
Mack-Cali Realty Corporation
Maxus Realty Trust Inc.
Parkway Properties, Inc.
Prentiss Properties Trust
Prime Group Realty Trust
SL Green Realty Corp.
Bedford Property Investors, Inc.
Duke Realty Corporation
Kilroy Realty Corporation
Liberty Property Trust
Mission West Properties
PS Business Parks Inc.
Reckson Associates Realty Corp.
AMB Property Corp.
CenterPoint Properties Trust
EastGroup Properties, Inc.
First Industrial Realty Trust, Inc.
Keystone Property Trust
Monmouth Real Estate Investment Corp.
ProLogis Trust
Acadia Realty Trust
Agree Realty Corporation
Chelsea Property Group, Inc.
Developers Diversified Realty
Equity One, Inc.
Federal Realty Investment Trust
Kimco Realty Corporation
Kramont Realty Trust
Malan Realty Investors, Inc.
New Plan Excel Realty Trust, Inc.
Pan Pacific Retail Properties, Inc.
Ramco-Gershenson Properties Trust
Regency Centers Corporation
Tanger Factory Outlet Centers, Inc.
Weingarten Realty Investors
CBL & Associates Properties, Inc.
General Growth Properties, Inc.
Glimcher Realty Trust
Macerich Company, The
Mills Corporation, The
Rouse Company, The
Simon Property Group, Inc.
Taubman Centers, Inc.
Alexander's, Inc.
Commercial Net Lease Realty, Inc.
Realty Income Corporation
Manufactured Home Communities, Inc.
Sun Communities, Inc.
Amli Residential Properties Trust
Apartment Investment & Management
Archstone-Smith Trust
Associated Estates Realty Corporation
AvalonBay Communities Inc.
BRE Properties, Inc.
Camden Property Trust
Cornerstone Realty Income Trust
Equity Residential
Essex Property Trust, Inc.
Gables Residential Trust
Home Properties, Inc.
Mid-America Apartment Communities,
Post Properties, Inc.
Roberts Realty Investors, Inc.
Summit Properties Inc.
United Dominion Realty Trust, Inc.
BNP Residential Properties, Inc.
Colonial Properties Trust E
Cousins Properties Incorporated E
Crescent Real Estate Equities Company E
First Union Real Estate Investments E
Income Opportunity Realty Investors
Lexington Corporate Properties, Inc.
One Liberty Properties, Inc.
Pennsylvania Real Estate Investment
Sizeler Property Investors, Inc. E
Vornado Realty Trust E
Washington Real Estate Investment Trust E
Capital Automotive REIT E
Debt
ARE
AMV
ARI
BXP
BDN
BPO
CRE
OFC
EOP
GLB
HIW
HRP
CLI
MRTI
PKY
PP
PGE
SLG
BED
DRE
KRC
LRY
MSW
PSB
RA
AMB
CNT
EGP
FR
KTR
MNRTA
PLD
AKR
ADC
CPG
DDR
EQY
FRT
KIM
KRT
MAL
NXL
PNP
RPT
REG
SKT
WRI
CBL
GGP
GRT
MAC
MLS
RSE
SPG
TCO
ALX
NNN
O
MHC
SUI
AML
AIV
ASN
AEC
AVB
BRE
CPT
TCR
EQR
ESS
GBP
HME
MAA
PPS
RPI
SMT
UDR
BNP
CLP
CUZ
CEI
FUR
IOT
LXP
OLP
PEI
SIZ
VNO
WRE
CARS
962
88
2,761
7,254
1,960
8,076
2,776
984
25,808
1,388
3,648
2,805
3,747
38
841
2,031
1,522
1,372
636
5,330
1,457
3,553
910
1,170
2,994
4,761
1,183
684
2,621
828
119
5,604
494
168
1,099
2,497
669
1,838
3,385
769
225
2,623
1,340
553
3,109
476
2,096
3,373
5,647
1,759
2,295
1,329
4,880
13,811
2,141
583
1,007
1,004
1,100
994
919
8,323
8,550
775
4,664
1,876
2,450
981
12,236
1,329
1,589
2,064
1,263
2,538
166
1,296
3,348
225
2,015
1,212
4,142
186
92
822
133
603
278
6,777
708
1,200
2.9
3.5
2.1
3.9
2.8
3.7
2.4
3.7
2.3
2.1
2.3
1.7
2.6
3.1
2.2
2.5
4.7
1.9
2.3
1.9
3.3
2.5
8.4
2.0
2.9
2.7
2.3
1.8
2.6
3.1
2.4
2.1
2.8
3.2
3.1
3.0
2.4
3.1
1.8
3.5
11.3
1.8
2.2
4.1
2.6
6.2
2.3
6.5
3.7
4.4
3.8
7.7
7.4
4.3
5.0
12.9
1.8
1.5
6.3
3.0
2.2
3.1
2.2
4.5
2.0
2.4
2.7
2.9
2.3
3.4
3.1
3.1
3.2
2.8
6.5
3.7
3.2
5.4
4.0
2.6
2.9
1.5
2.6
2.8
2.4
3.3
2.9
2.6
2.2
3.3
59
WEIGHT
East
West
South
Mwest
0.55
0.00
0.00
0.67
1.00
0.43
0.22
1.00
0.25
0.43
0.51
0.92
0.90
0.00
0.28
0.32
0.00
1.00
0.00
0.10
0.00
0.73
0.00
0.29
0.98
0.20
0.00
0.00
0.20
0.85
0.50
0.10
0.79
0.06
0.31
0.24
0.00
0.83
0.32
0.83
0.00
0.30
0.01
0.11
0.09
0.34
0.04
0.35
0.14
0.30
0.07
0.31
0.47
0.30
0.34
1.00
0.18
0.21
0.00
0.00
0.00
0.24
0.33
0.10
0.60
0.00
0.08
0.67
0.27
0.00
0.00
0.87
0.20
0.17
0.00
0.63
0.38
1.00
0.09
0.20
0.04
0.00
0.12
0.42
0.45
0.99
0.00
0.67
1.00
0.20
0.45
0.58
1.00
0.33
0.00
0.54
0.58
0.00
0.55
0.33
0.00
0.08
0.08
0.00
0.06
0.25
0.05
0.00
1.00
0.00
1.00
0.02
1.00
0.59
0.00
0.46
0.00
0.42
0.14
0.00
0.08
0.53
0.00
0.01
0.38
0.20
0.03
0.11
0.23
0.00
0.00
0.13
0.99
0.00
0.37
0.03
0.30
0.02
0.44
0.17
0.71
0.27
0.17
0.12
0.20
0.00
0.21
0.24
1.00
0.00
0.05
0.45
0.46
0.01
0.37
1.00
0.40
0.00
0.31
0.99
0.00
0.00
0.00
0.03
0.00
0.00
0.22
0.00
0.00
0.12
0.22
0.00
0.00
0.22
0.03
0.00
0.00
0.16
0.00
0.19
0.00
0.34
0.00
0.00
0.00
0.00
0.14
0.00
0.10
0.07
0.39
0.00
0.02
0.43
0.56
0.27
0.00
0.00
0.00
0.25
0.00
0.13
0.00
0.12
0.02
0.20
0.00
0.57
0.28
0.00
0.07
0.26
0.00
0.10
0.14
0.21
0.97
0.01
0.21
0.16
0.00
0.40
0.00
0.27
0.44
0.43
0.63
0.39
0.23
0.18
0.08
0.27
0.21
0.32
0.24
0.00
0.49
0.34
0.00
0.00
0.54
0.16
0.16
0.16
0.00
0.00
0.46
0.33
0.27
0.01
1.00
0.00
0.79
0.80
1.00
0.37
0.30
0.00
0.91
0.68
0.68
0.00
0.88
0.16
0.41
0.01
1.00
0.08
0.00
0.45
0.00
0.08
0.00
0.00
0.00
0.04
0.06
0.00
0.09
0.17
0.10
0.00
0.00
0.57
0.10
0.15
0.95
0.00
0.00
0.65
0.00
0.12
0.00
0.00
0.00
0.14
1.00
0.01
0.38
0.15
0.36
0.10
0.21
0.83
0.17
0.34
0.00
0.06
0.24
0.02
1.00
0.17
0.00
0.62
0.09
0.20
0.03
0.23
0.18
0.35
0.14
0.16
0.15
0.26
0.21
0.00
0.12
0.21
0.00
1.00
0.41
0.15
0.06
0.74
0.02
0.00
0.05
0.00
0.15
0.00
0.00
0.13
0.01
0.00
0.00
0.00
0.09
0.00
0.00
0.00
0.05
1.00
0.00
0.19
0.11
0.00
0.00
0.09
0.00
0.16
East
West
0.42%
-0.03%
-1.47%
3.30%
2.25%
1.58%
-0.15%
0.84%
0.22%
0.49%
1.93%
4.70%
3.94%
-0.01%
0.09%
0.31%
-0.32%
2.30%
-0.31%
-1.51%
-0.49%
2.93%
-0.12%
0.11%
3.26%
-0.28%
-0.51%
-0.36%
-0.14%
0.67%
0.05%
-1.54%
0.42%
-0.04%
0.10%
0.02%
-0.24%
1.44%
0.63%
0.54%
-0.02%
0.45%
-0.66%
-0.06%
-0.73%
0.04%
-0.71%
0.28%
-0.64%
0.10%
-0.44%
0.05%
0.65%
0.91%
0.19%
0.14%
-0.10%
-0.07%
-0.19%
-0.33%
-0.39%
-0.02%
1.30%
-0.10%
3.43%
-0.87%
-0.57%
0.62%
0.80%
-0.43%
-0.42%
1.76%
-0.02%
-0.15%
-0.02%
0.60%
0.66%
0.13%
-0.25%
-0.04%
-1.04%
-0.12%
-0.01%
0.23%
0.05%
0.57%
-0.08%
4.61%
1.03%
-0.04%
64.89%
0.33%
0.04%
4.85%
0.82%
-0.78%
3.17%
1.98%
-0.29%
17.61%
0.35%
-1.68%
-1.23%
-1.02%
-0.01%
-0.27%
0.14%
-0.16%
-0.80%
1.02%
-2.34%
1.60%
-1.35%
0.39%
1.01%
-1.15%
1.96%
-0.37%
0.33%
-0.28%
-0.27%
-0.03%
3.88%
-0.18%
-0.04%
0.27%
-0.01%
-0.25%
-0.33%
0.17%
-0.24%
-0.01%
-0.63%
2.22%
-0.11%
0.89%
-0.07%
0.33%
-0.47%
1.64%
-0.06%
1.37%
0.04%
-0.15%
-1.34%
-0.02%
-0.05%
-0.03%
0.09%
0.64%
-0.24%
-0.29%
2.99%
4.14%
-0.13%
1.54%
2.85%
0.78%
-0.36%
2.32%
1.39%
-0.54%
-0.70%
-0.42%
-0.85%
-0.03%
-0.38%
0.01%
-0.05%
-0.54%
-0.23%
0.01%
-0.09%
-0.04%
0.01%
-0.05%
-0.20%
-0.10%
-0.81%
-0.36%
-0.05%
59.30%
South
-0.30%
0.04%
-1.41%
-1.70%
-0.60%
-2.28%
-0.01%
-0.23%
-4.04%
-0.46%
3.16%
-1.39%
-1.03%
0.02%
1.21%
0.70%
-0.91%
-0.62%
-0.30%
-0.67%
-0.46%
-0.17%
-0.11%
-0.03%
-0.76%
0.52%
-1.51%
1.27%
0.47%
-0.31%
-0.06%
2.27%
-0.23%
-0.09%
-0.06%
0.03%
1.84%
-0.54%
0.47%
0.07%
-0.06%
2.81%
-0.63%
-0.01%
2.78%
0.16%
3.59%
0.89%
0.70%
-0.10%
-0.39%
0.14%
0.26%
3.48%
0.23%
-0.04%
1.47%
0.87%
-0.18%
-0.97%
1.05%
-0.04%
0.54%
-0.20%
-2.27%
-0.83%
2.30%
0.56%
4.74%
-0.38%
3.46%
-0.75%
2.08%
4.81%
0.17%
0.69%
1.28%
-0.04%
3.13%
2.03%
5.97%
-0.36%
0.21%
-0.01%
0.11%
-0.14%
0.65%
-1.18%
-0.28%
0.83%
65.06%
Mwest
-0.29%
-0.01%
-0.96%
-1.67%
-0.70%
-0.78%
-0.43%
-0.26%
1.09%
0.69%
-0.85%
-1.62%
-1.44%
0.07%
-0.28%
0.40%
3.57%
-0.72%
-0.20%
18.70%
-0.32%
0.46%
-0.08%
-0.64%
-1.07%
0.94%
6.00%
-0.67%
3.36%
0.25%
0.17%
-0.09%
0.29%
0.48%
0.33%
2.52%
-0.80%
-0.16%
3.20%
-0.24%
0.23%
0.65%
-0.45%
0.84%
-0.67%
0.05%
-1.62%
0.63%
1.53%
1.26%
0.47%
0.09%
0.38%
5.41%
0.55%
-0.04%
-0.17%
0.71%
-0.13%
3.85%
1.33%
1.82%
-1.59%
1.38%
-1.34%
-0.56%
-1.02%
-0.54%
2.33%
-0.28%
-1.48%
0.44%
-0.96%
-2.29%
-0.07%
-0.59%
-0.36%
-0.04%
-1.40%
-1.06%
-2.22%
1.43%
-0.10%
0.35%
-0.02%
-0.18%
-0.28%
0.19%
-0.32%
0.07%
65.53%
Table G-7: Pure-play Portfolio for geographic locations, 2003
2003 - location
Ticker
Asset
Fraction of Locations
TA/E
REITs
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
84
85
86
87
88
89
90
91
92
93
94
95
96
Alexandria Real Estate Equities, Inc.
AmeriVest Properties, Inc.
Arden Realty Group, Inc.
Boston Properties, Inc.
Brandywine Realty Trust
Brookfield Property Corporation
CarrAmerica Realty Corporation
Corporate Office Properties Trust
Equity Office Properties Trust
Glenborough Realty Trust Incorporated
Highwoods Properties, Inc.
HRPT Properties Trust
Koger Equity, Inc.
Mack-Cali Realty Corporation
Maxus Realty Trust Inc.
Parkway Properties, Inc.
Prentiss Properties Trust
Prime Group Realty Trust
SL Green Realty Corp.
Trizec Properties, Inc.
Bedford Property Investors, Inc.
Duke Realty Corporation
Kilroy Realty Corporation
Liberty Property Trust
Mission West Properties
PS Business Parks Inc.
Reckson Associates Realty Corp.
AMB Property Corp.
CenterPoint Properties Trust
EastGroup Properties, Inc.
First Industrial Realty Trust, Inc.
Keystone Property Trust
Monmouth Real Estate Investment Corp.
ProLogis Trust
Acadia Realty Trust
Chelsea Property Group, Inc.
Developers Diversified Realty
Equity One, Inc.
Federal Realty Investment Trust
Heritage Property Investment Trust
Kimco Realty Corporation
Kramont Realty Trust
Malan Realty Investors, Inc.
New Plan Excel Realty Trust, Inc.
Pan Pacific Retail Properties, Inc.
Ramco-Gershenson Properties Trust
Regency Centers Corporation
Tanger Factory Outlet Centers, Inc.
Urstadt Biddle Properties Inc.
Weingarten Realty Investors
CBL & Associates Properties, Inc.
General Growth Properties, Inc.
Glimcher Realty Trust
Macerich Company, The
Mills Corporation, The
Rouse Company, The
Simon Property Group, Inc.
Taubman Centers, Inc.
Agree Realty Corporation
Alexander's, Inc.
AmREIT Inc.
Commercial Net Lease Realty, Inc.
Realty Income Corporation
Manufactured Home Communities, Inc.
Sun Communities, Inc.
Amli Residential Properties Trust
Apartment Investment & Management
Archstone-Smith Trust
Associated Estates Realty Corporation
AvalonBay Communities Inc.
BNP Residential Properties, Inc.
BRE Properties, Inc.
Camden Property Trust
Cornerstone Realty Income Trust
Equity Residential
Essex Property Trust, Inc.
Gables Residential Trust
Home Properties, Inc.
Mid-America Apartment Communities,
Post Properties, Inc.
Roberts Realty Investors, Inc.
Summit Properties Inc.
United Dominion Realty Trust, Inc.
Colonial Properties Trust E
Cousins Properties Incorporated E
Crescent Real Estate Equities Company E
First Union Real Estate Investments E
Forest City Enterprises
Lexington Corporate Properties, Inc.
One Liberty Properties, Inc.
Pennsylvania Real Estate Investment
Sizeler Property Investors, Inc. E
Vornado Realty Trust E
Washington Real Estate Investment Trust E
Capital Automotive REIT E
Entertainment Properties Trust E
Debt
ARE
AMV
ARI
BXP
BDN
BPO
CRE
OFC
EOP
GLB
HIW
HRP
KE
CLI
MRTI
PKY
PP
PGE
SLG
TRZ
BED
DRE
KRC
LRY
MSW
PSB
RA
AMB
CNT
EGP
FR
KTR
MNRTA
PLD
AKR
CPG
DDR
EQY
FRT
HTG
KIM
KRT
MAL
NXL
PNP
RPT
REG
SKT
UBA
WRI
CBL
GGP
GRT
MAC
MLS
RSE
SPG
TCO
ADC
ALX
AMY
NNN
O
MHC
SUI
AML
AIV
ASN
AEC
AVB
BNP
BRE
CPT
TCR
EQR
ESS
GBP
HME
MAA
PPS
RPI
SMT
UDR
CLP
CUZ
CEI
FUR
FCE.A
LXP
OLP
PEI
SIZ
VNO
WRE
CARS
EPR
1,159
157
2,832
8,427
1,919
8,329
2,816
1,126
25,247
1,434
3,395
3,206
805
3,796
37
764
2,122
1,409
1,473
5,579
694
5,349
1,507
3,627
929
1,157
2,908
4,992
1,306
702
2,630
672
149
5,924
411
1,703
2,777
730
1,999
2,060
3,757
779
208
3,515
1,424
698
3,062
478
393
2,424
3,795
7,281
1,632
3,662
2,155
6,386
14,905
2,270
178
665
74
954
1,080
1,163
1,164
921
10,317
8,855
735
4,951
272
2,109
2,610
1,015
11,811
1,620
1,584
2,456
1,239
2,508
179
1,337
3,276
2,130
1,248
4,288
172
5,077
902
180
704
288
9,018
756
1,542
730
2.4
3.6
2.3
3.9
2.8
3.6
2.8
3.9
2.3
2.3
2.2
1.7
2.3
2.6
3.3
2.0
2.5
5.7
2.0
3.0
2.5
2.0
3.4
2.7
8.4
1.7
3.1
3.0
2.5
2.0
3.0
2.8
2.5
2.1
2.5
3.7
2.9
2.1
3.1
2.3
2.0
3.1
7.9
2.2
2.2
3.5
2.5
5.3
1.8
2.6
5.1
4.7
3.8
3.5
3.5
5.7
4.3
6.1
3.4
9.7
1.9
1.7
1.5
6.5
3.6
2.3
3.3
2.3
4.9
2.3
6.9
2.5
3.1
3.5
2.3
3.3
3.7
3.4
3.7
3.0
8.0
3.4
3.3
4.0
3.1
3.2
1.6
7.2
2.7
2.0
3.7
2.8
3.4
2.3
4.1
2.1
60
WEIGHT
East
West
South
Mwest
0.56
0.00
0.00
0.67
1.00
0.44
0.23
1.00
0.26
0.48
0.53
0.82
0.14
0.90
0.00
0.28
0.31
0.00
1.00
0.50
0.00
0.10
0.00
0.72
0.00
0.28
0.99
0.20
0.00
0.00
0.21
0.78
0.44
0.11
0.84
0.32
0.39
0.11
0.80
0.36
0.36
0.85
0.00
0.31
0.01
0.11
0.12
0.45
0.89
0.05
0.40
0.16
0.30
0.07
0.28
0.51
0.33
0.35
0.08
1.00
0.00
0.29
0.21
0.00
0.00
0.00
0.25
0.37
0.10
0.59
1.00
0.00
0.09
0.64
0.25
0.00
0.02
0.88
0.18
0.17
0.00
0.65
0.37
0.10
0.21
0.04
0.00
0.53
0.39
0.38
0.95
0.00
0.73
1.00
0.21
0.04
0.44
0.63
1.00
0.33
0.00
0.52
0.59
0.00
0.55
0.31
0.00
0.10
0.00
0.08
0.00
0.05
0.26
0.05
0.00
0.09
1.00
0.00
1.00
0.02
1.00
0.55
0.00
0.47
0.00
0.40
0.15
0.00
0.07
0.53
0.00
0.37
0.15
0.01
0.14
0.00
0.23
0.00
0.00
0.12
0.99
0.00
0.38
0.08
0.03
0.28
0.02
0.42
0.16
0.70
0.30
0.15
0.16
0.20
0.01
0.00
0.05
0.18
0.24
1.00
0.00
0.05
0.45
0.44
0.01
0.39
0.00
1.00
0.40
0.00
0.37
0.99
0.00
0.00
0.00
0.02
0.00
0.00
0.24
0.00
0.12
0.25
0.00
0.19
0.20
0.09
0.00
0.00
0.13
0.00
0.19
0.49
0.00
0.32
0.00
0.00
0.00
0.00
0.13
0.00
0.10
0.06
0.37
0.06
0.86
0.02
0.42
0.58
0.30
0.00
0.00
0.32
0.00
0.26
0.00
0.13
0.00
0.17
0.01
0.19
0.00
0.59
0.27
0.07
0.10
0.26
0.00
0.15
0.24
0.87
0.01
0.12
0.19
0.13
0.00
0.40
0.00
0.24
0.42
0.32
0.02
0.64
0.37
0.25
0.20
0.10
0.33
0.21
0.29
0.24
0.10
0.00
0.88
0.43
0.34
0.00
0.00
0.58
0.16
0.14
0.14
0.00
0.00
0.00
0.46
0.36
0.27
0.01
0.98
0.00
0.81
0.80
1.00
0.35
0.32
0.90
0.68
0.66
0.00
0.04
0.22
0.44
0.04
1.00
0.07
0.00
0.45
0.47
0.00
0.05
0.00
0.00
0.00
0.04
0.05
0.00
0.09
0.15
0.09
0.01
0.00
0.00
0.58
0.08
0.14
0.95
0.00
0.09
0.00
0.63
0.00
0.13
0.00
0.00
0.00
0.14
1.00
0.01
0.37
0.15
0.39
0.11
0.16
0.15
0.23
0.00
0.05
0.52
0.21
0.01
1.00
0.17
0.00
0.65
0.08
0.15
0.07
0.03
0.21
0.17
0.35
0.13
0.10
0.13
0.22
0.20
0.81
0.00
0.07
0.10
0.20
0.00
1.00
0.38
0.14
0.05
0.74
0.02
0.00
0.00
0.05
0.00
0.12
0.00
0.00
0.12
0.01
0.00
0.00
0.00
0.07
0.00
0.00
0.06
1.00
0.24
0.20
0.09
0.01
0.00
0.07
0.00
0.14
0.00
East
West
0.61%
-0.05%
-1.33%
3.78%
2.15%
1.85%
-0.10%
0.90%
0.41%
0.59%
1.86%
4.59%
-0.14%
3.96%
-0.01%
0.06%
0.19%
-0.28%
2.31%
1.94%
-0.29%
-1.74%
-0.47%
2.66%
-0.12%
0.09%
2.89%
-0.35%
-0.60%
-0.36%
-0.17%
0.53%
0.05%
-1.74%
0.39%
0.13%
0.54%
-0.18%
1.48%
0.38%
0.87%
0.64%
-0.03%
0.41%
-0.67%
-0.12%
-0.66%
0.08%
0.58%
-0.76%
0.47%
-0.58%
0.07%
-0.80%
0.07%
1.19%
1.10%
0.16%
-0.04%
0.21%
-0.04%
0.10%
-0.11%
-0.19%
-0.36%
-0.42%
-0.07%
1.83%
-0.10%
3.06%
0.12%
-0.91%
-0.56%
0.48%
-0.06%
-0.52%
-0.39%
1.89%
-0.08%
-0.23%
-0.02%
0.66%
0.50%
-0.31%
-0.06%
-1.15%
-0.12%
0.79%
0.19%
0.05%
0.55%
-0.10%
-0.63%
0.21%
0.20%
0.23%
66.98%
0.44%
0.08%
4.25%
0.86%
-0.73%
2.95%
1.59%
-0.31%
15.76%
0.24%
-1.55%
-1.14%
-0.35%
-1.05%
-0.01%
-0.29%
0.16%
-0.11%
-0.79%
-1.11%
0.94%
-1.99%
1.50%
-1.23%
0.38%
0.92%
-1.00%
1.90%
-0.32%
0.27%
-0.20%
-0.24%
-0.03%
3.92%
-0.16%
0.31%
-0.27%
-0.33%
-0.27%
-0.72%
0.16%
-0.27%
-0.02%
-0.67%
2.18%
-0.15%
0.84%
-0.05%
-0.20%
0.24%
-0.64%
1.38%
-0.09%
2.22%
0.20%
-0.35%
-0.80%
-0.02%
-0.03%
-0.07%
-0.03%
-0.11%
0.08%
0.60%
-0.20%
-0.26%
3.24%
3.58%
-0.10%
1.51%
-0.04%
2.90%
0.67%
-0.30%
3.36%
1.66%
-0.42%
-0.73%
-0.34%
-0.76%
-0.02%
-0.41%
0.05%
-0.54%
-0.20%
0.14%
-0.07%
-0.07%
-0.03%
-0.05%
-0.20%
-0.10%
0.21%
-0.68%
0.20%
0.12%
61.22%
South
-0.47%
0.06%
-1.24%
-2.15%
-0.68%
-2.45%
-0.09%
-0.29%
-3.92%
-0.46%
2.61%
-1.02%
1.87%
-1.24%
0.02%
1.22%
0.87%
-0.58%
-0.73%
2.33%
-0.28%
0.22%
-0.44%
-0.29%
-0.11%
0.19%
-0.83%
0.35%
-1.27%
1.21%
0.43%
-0.16%
-0.05%
2.28%
-0.20%
-0.04%
0.43%
1.94%
-0.64%
-0.74%
0.27%
-0.01%
-0.06%
2.77%
-0.63%
-0.02%
2.47%
0.11%
-0.21%
3.51%
1.07%
0.91%
0.01%
-0.44%
0.82%
0.40%
2.99%
0.21%
-0.07%
-0.07%
0.21%
1.15%
0.94%
-0.18%
-0.77%
1.11%
0.10%
-0.10%
-0.15%
-2.25%
-0.04%
-0.85%
1.98%
0.48%
4.31%
-0.46%
2.70%
-0.85%
1.71%
4.19%
0.15%
0.65%
1.31%
3.08%
1.66%
5.21%
-0.26%
-0.74%
0.11%
0.19%
-0.14%
0.67%
0.20%
0.20%
-1.30%
0.48%
65.61%
Mwest
-0.44%
-0.03%
-0.77%
-2.09%
-0.78%
-0.93%
-0.34%
-0.33%
1.13%
0.49%
-0.76%
-2.00%
-0.77%
-1.63%
0.06%
-0.31%
0.24%
2.60%
-0.84%
-0.62%
-0.17%
16.46%
-0.27%
0.37%
-0.07%
-0.71%
-1.09%
0.90%
5.86%
-0.54%
2.81%
0.14%
0.21%
0.29%
0.13%
0.33%
1.32%
-0.79%
-0.33%
4.43%
2.53%
-0.29%
0.29%
0.72%
-0.41%
1.30%
-0.55%
0.03%
-0.07%
-1.37%
0.76%
1.36%
1.25%
0.69%
-0.12%
0.35%
4.47%
0.41%
0.46%
-0.08%
-0.05%
-0.19%
0.76%
-0.11%
3.55%
1.09%
1.80%
-1.60%
1.18%
-1.44%
-0.04%
-0.52%
-0.75%
-0.46%
0.82%
-0.31%
-1.01%
0.27%
-0.70%
-1.80%
-0.05%
-0.63%
-0.54%
-1.23%
-0.79%
-1.57%
1.20%
1.34%
0.37%
-0.05%
-0.19%
-0.25%
0.23%
0.12%
0.48%
-2.22%
70.43%