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%