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Monthly Index Chart Book - EPRA

Monthly Index Chart Book - EPRA

Comment & The

Comment & The Chart of the Month March 2011IntroductionThis Index Chart Book is intended to run in parallel with the EPRAStatistical Bulletin and Monthly Review . While the bulletin focuses onperformance, this index chart book will use the same data in an effort toidentify historical trends and indicators on the index series.3,5003,0002,500Bollinger BandsMoving AverageIndex ValueGraph 6: 20 Month Bollinger Bands - GlobalExampleThis month's highlighted graph is Graph 6, the Bollinger Bands for theFTSE EPRA/NAREIT Global Developed index, as shown on the right.When we look at the Bollinger Bands, as a measure of market volatility,the picture is quite clear: during the 2003-2006 run, the index continuouslytraded along the upper band, pushing it higher and higher. The 2007 and2008 market correction saw the index dropping to near the lower band,and in December the index actually dropped below the lower band. Up to2003 all three bands were parallel, but since then we see a widening of thebands, which indicates that the market has become increasingly volatile.However, since the market recovery this year-to-date, we see that theindex level now almost equals the moving average, and is now more orless in the middle of both borders. As a result, the Bollinger bands are nownarrowing indicating a stronger direction towards the market is going(according to the theory/model).2,0001,5001,000500-Jul-91Jul-92Jul-93Jul-94Jul-95Jul-96Jul-97Jul-98Jul-99Jul-00Jul-01Jul-02Jul-03Jul-04Jul-05Jul-06Jul-07Jul-08Jul-0931-3-11Version: March 2011March2Square de Meeus 23 ■ B-1000 Brussels, Belgium ■ T +32 2739 1010 ■ F +32 2739 1020 ■ E info@epra.com ■ W www.epra.com

ContentsPage 4 Section 1 - Global Developed Page 62 Section 6.9 - NetherlandsPage 11 Section 2 - Asia Developed Page 65 Section 6.10 - SwedenPage 18 Section 3 - Europe Developed Page 68 Section 6.11 - United KingdomPage 25 Section 4 - North America Developed Page 71 Section 6.12 - CanadaPage 32 Section 5 - Emerging Markets Page 74 Section 6.13 - United StatesPage 37 Section 6 - Individual Countries Page 77 Section 7 - End of Year Constituents ChartPage 38 Section 6.1 - Australia Page 100 Section 8 - Details on MethodologyPage 41 Section 6.2 - Hong Kong Page 104 Section 9 - Data Vendor CodesPage 44 Section 6.3 - Japan Page 118 ContactsPage 47 Section 6.4 - Singapore Page 119 DisclaimerPage 50 Section 6.5 - BelgiumPage 53 Section 6.6 - FrancePage 56 Section 6.7 - GermanyPage 59 Section 6.8 - ItalyFor an explanation of the graphs and details on the calculation, please refer to Section 8.A disclaimer applies to this document. Please refer to page 119.Version: March 20113Square de Meeus 23 ■ B-1000 Brussels, Belgium ■ T +32 2739 1010 ■ F +32 2739 1020 ■ E info@epra.com ■ W www.epra.com

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