Monthly Index Chart Book

Comment & The Chart of the Month February 2011
Introduction
This Index Chart Book is intended to run in parallel with the EPRA
Statistical Bulletin and Monthly Review . While the bulletin focuses on
performance, this index chart book will use the same data in an effort to
identify historical trends and indicators on the index series.
Example
This month's highlighted graph is Graph 6, the Bollinger Bands for the
FTSE 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 continuously
traded along the upper band, pushing it higher and higher. The 2007 and
2008 market correction saw the index dropping to near the lower band,
and in December the index actually dropped below the lower band. Up to
2003 all three bands were parallel, but since then we see a widening of the
bands, which indicates that the market has become increasingly volatile.
However, since the market recovery this year-to-date, we see that the
index level now almost equals the moving average, and is now more or
less in the middle of both borders. As a result, the Bollinger bands are now
narrowing indicating a stronger direction towards the market is going
(according to the theory/model).
28-2-11
Version: February 2011
February
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Moving Average
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Graph 6: 20 Month Bollinger Bands - Global
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