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Monthly Statistical Bulletin - EPRA

Monthly Statistical Bulletin - EPRA

MethodologyAsset Class

MethodologyAsset Class Comparisons and CorrelationsThe asset classes are defined as follows. For real estate, the FTSE EPRA/NAREIT indices are used. For broad equities, the national headline indexis used (i.e. FTSE 100, CAC 40 etc.) and for multi-country profiles, the FTSE All-world index series is used. For bonds, the JPMorgan Bond index series is used.Dividend YieldsThe dividend market capitalisation (defined as the dividend multiplied by the shares in issue and free float percentage) paid during the last twelve months as a percentageof the investable market capitalisation of the index.Local Currency IndicesThe local currency indices are claculated using the following approach:Index ValueIndex Value =t − 1t⎛ Market CapCountry Index ⎞⎜⎟∑ ⎝MarketCapRegional/GlobalIndex ⎠ForRegionor Global⎛⎜⎝ LocalCurrencyLocalCurrency Country Index tCountry Index t - 1Please note that the Local Currency Real Estate indices are unofficial series calculated in-house by EPRA for research purposes only. A disclaimer applies to thesevalues, please refer to pages 219.⎞⎟⎠Risk/Return ProfilesThe risk/return profile-value is determined by the 10Y average risk (calculated by the standard deviation) on the X-axis and the 10Y average return on the Y-axis.Size of the total real estate marketWe estimate the size of individual country commercial real estate markets using a Gross Domestic Product (GDP) top down approach, and aggregate their values toarrive at a total global estimate. Of course, individual countries are in varying stages of development, therefore, we must adjust country estimates to account forthe economic situation. With regard to the sample, we selected 49 countries from four separate regions: Asia-Pacific, Europe, Latin America and North America.In developed countries high quality commercial real estate represents approximately 45 percent of GDP. In developing countries, this figure is lower. We based ourestimates on a formula devised by Prudential Real Estate Investors, as published in “A Bird’s Eye View of Global Real Estate Markets” – Prudential Real EstateInvestors, Dr. Youguo Liang & Nancy Gordon. March 2003. The formula is as follows:For developed countries :RE i = GDP i x 0.45⎛For developing countries :REi = GDPi x 0.45 ⎜⎝Where:REi = Country high-quality commercial real estate valueGDPi = Country Gross Domestic ProductGDHi = Country Gross Domestic Product per capitaGDHi25,0001⎞⎟3⎠Version: January 2011204Boulevard de la Woluwe 62 Woluwelaan ■ 1200 Brussels, Belgium ■ T +32 2739 1010 ■ F +32 2739 1020 ■ E info@epra.com ■ W www.epra.com

MethodologyVelocityThis liquidity measure is calculated by the number of shares traded over a 12-month period divided by the free-float adjusted shares in issue at the end of the period.VolatilityThe volatility shows the variability of returns over a 10-year period, revealing the extent by which the returns of an index value change from the average.Low volatility indicates the returns for an index have stayed quite close to the average whereas a high volatility would indicate a larger fluctuation over thetime period. Volatility can therefore be seen as a market measure for risk.Version: January 2011205Boulevard de la Woluwe 62 Woluwelaan ■ 1200 Brussels, Belgium ■ T +32 2739 1010 ■ F +32 2739 1020 ■ E info@epra.com ■ W www.epra.com

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