Investment research can utilize NCREIF data and analytical tools to support more informed decisions about real estate investment strategy, portfolio construction and asset positioning.
- Mark Roberts, Executive Director, Real Estate Center at The University of Texas at Austin
Facilitating commercial real estate research is central to NCREIF’s mission as its provision of data products and analytical tools to the investment and academic community allows for improved understanding of the performance of this asset class. NCREIF supports the investment community with guidance on using its detailed property database and portfolio of fund indices to further thought leadership in the industry. Academics are encouraged to utilize NCREIF information to advance real estate research literature.
Jeffrey D. Fisher, Ph.D., NCREIF Senior Consultant. Published in the Third Quarter 2021 NCREIF Performance Report.
Published Date: Nov 30, 2021Jeffrey D. Fisher, Ph.D., NCREIF Senior Consultant. Published in the Second Quarter 2021 NCREIF Performance Report.
Published Date: Aug 30, 2021Traditional performance measures do not distinguish between “upside risk” and “downside risk.” Downside risk is based on returns that are either below a target rate, below zero, below average or below a benchmark and vice versa for upside risk. Downside risk measures and the “duality” of beta have been discussed extensively in literature related to public markets but have not been applied to the analysis of private equity real estate in the academic literature. This article examines the measures that can distinguish between upside and downside risk that are commonly used in public markets, such as upside and downside beta and the Sortino ratio for downside analysis and applies them to different property sectors and Core Based Statistical Areas (CBSAs) in the NCREIF Property Index (NPI). In addition, these measures are used to analyze gateway vs. non-gateway markets’ historical performance on both an upside and downside risk basis. The same techniques are applied to perform an attribution analysis of a portfolio’s alpha into upside and downside components.
Published Date: Jun 22, 2021Ken P. Wilson, MAI, SRA, Managing Director - Client Relations & Business Development, Joseph J. Blake & Associates, Inc. Published in the Third Quarter 2021 NCREIF Performance Report.
Published Date: Nov 30, 2021Randall Sakamoto, President, Rosen Consulting Group. Published in the Third Quarter 2021 NCREIF Performance Report.
Published Date: Nov 30, 2021Chuck DiRocco, CRE, CCIM, FRICS, Managing Director, Ankura. Published in the Third Quarter 2021 NCREIF Performance Report.
Published Date: Nov 30, 2021Kevin Brown, Equity Analyst, Morningstar. Published in the Third Quarter 2021 NCREIF Performance Report.
Published Date: Nov 30, 2021Cross-border investment in non-listed real estate is on the rise. This article aims to compare the U.S. NFI-ODCE index with the European INREV ODCE index and the recently released Asian ANREV ODCE index with the hope that this study will be helpful to cross-border investors in these major markets. From 2016 through 2020 (five years), we found that the NCREIF fund count remained relatively flat, but the INREV and ANREV fund count increase steadily. At the end of 2020, NCREIF’s GAV was 270 billion dollars compared with INREVs 39 billion dollars and ANREV’s 16 billion dollars, a considerable size difference between the U.S. and the other two. However, much smaller ANREV Gross Asset Value grew much faster. When we calculated the 12-month rolling returns for the respective regions, we found that ANREV realized a 12-month rolling total return of 7.59% compared with INREV at 5.52% and NCREIF at 5.28%. When looking at a longer time period of 4 1=2 years, we calculated a lower SHARP Ratio of 1.36 for ANREV compared to INREV at 2.28 and NCREIF at 2.32, demonstrating that INREV and NCREIF have similar and more favorable reward to risk ratios than ANREV. Further analysis found that the INREV and NCREIF ODCE indices are highly correlated, but we found that they were not cointegrated; therefore, we could not use one index to predict the values in the other. We encourage caution when generalizing these results since they are based on relatively short periods. It will be interesting to make these comparisons again when we have a long history of performance for the INREV and ANREV indices.
Published Date: Jan 06, 2022Using simulation analysis and property-level data for the U.S., we compare performance metrics for portfolios containing varying proportions of gateway and non-gateway markets. By considering a large spectrum of performance metrics in a realistic investment setting, the results should provide investors with valuable information when allocating funds across gateway and non-gateway markets. The paper also provides insights regarding how best to define gateway markets.
Published Date: Aug 23, 2021Working paper. An empirical examination, based on the 17-year period examined, indicates that the net investment returns from indices of value-add and opportunistic funds have – on a risk-adjusted Basis – under-performed the net returns available from an index of core funds. Author Joseph L. Pagliari, University of Chicago Booth School of Business.
Published Date: Sep 06, 2016This paper introduces three new and refined series derived from NCREIF property data: the Market Value Index (MVI), Free Cash Flow Yield (FCFY), and Capital Expense Ratio (CXR). While the NPI was designed to measure the risk and returns of the real estate asset class, these series optimize the property-level data in the NCREIF database to provide better indications of real estate value changes and operating performance. Authors Michael S. Young, Jeffrey D. Fisher, and Joseph D’Alessandro.
Published Date: Aug 28, 2016