Monthly Index Chart Book

More documents

Recommendations

Info

Volatility Volatility 47% 42% 37% 32% 27% 22% 17% 12% 7% 2% 70% 60% 50% 40% 30% 20% 10% 0% Version: February 2011 Graph 13: 36 Months Velocity vs. Volatility - Global y = 0.2518x - 0.0265 R 2 = 0.3267 30% 40% 50% 60% 70% 80% 90% 100% Apr-01 Aug-01 Dec-01 Apr-02 Velocity (Liquidity) Graph 15: 36 Months Rolling Volatility - Global Global Europe North America Asia Aug-02 Dec-02 Apr-03 Aug-03 Dec-03 Apr-04 Aug-04 Dec-04 Apr-05 Aug-05 Dec-05 Apr-06 Aug-06 Dec-06 Apr-07 Aug-07 Dec-07 Apr-08 Boulevard de la Woluwe 62 Woluwelaan ■ 1200 Brussels, Belgium ■ T +32 2739 1010 ■ F +32 2739 1020 ■ E info@epra.com ■ W www.epra.com Aug-08 Dec-08 Apr-09 Aug-09 Dec-09 Apr-10 Aug-10 Dec-10 Velocity ratio 160% 140% 120% 100% 80% 60% 40% 20% 0% 1.50 1.00 0.50 0.00 -0.50 -1.00 Apr-01 Jan-00 Aug-01 Jul-00 Dec-01 Jan-01 Apr-02 Europe Asia North America Global Aug-02 Dec-02 Apr-03 Aug-03 Graph 14: 36 Months Annual Velocity - Global Dec-03 Apr-04 Global Asia Aug-04 Dec-04 Apr-05 Europe North America Jul-01 Jan-02 Jul-02 Jan-03 Aug-05 Dec-05 Apr-06 Aug-06 Dec-06 Apr-07 Graph 16: Sharp Ratio - Global Jul-03 Jan-04 Jul-04 Jan-05 Jul-05 Jan-06 Jul-06 Aug-07 Jan-07 Dec-07 Jul-07 Apr-08 Jan-08 Aug-08 Dec-08 Jul-08 Apr-09 Jan-09 Aug-09 Jul-09 Dec-09 Apr-10 Jan-10 Aug-10 Jul-10 Dec-10 Jan-11 8
Value-at-Risk (USD Mln) 1.20 1.00 0.80 0.60 0.40 0.20 0.00 -0.20 -0.40 -0.60 -0.80 300,000 250,000 200,000 150,000 100,000 50,000 0 Jan-00 Jan-93 Jul-00 Jan-94 Jan-01 Version: February 2011 Jul-01 Jan-02 Graph 17: Long Term Beta Coefficient - Global Global Asia Europe North America Jul-02 Global in USD Mln Global in EUR Mln Jan-95 Jan-96 Jan-03 Jul-03 Jan-04 Jul-04 Jan-05 Jul-05 Graph 19: Equally Weighted Value-at-Risk - Global Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-06 Jan-03 Jul-06 Jan-04 Jan-07 Jan-05 Jul-07 Jan-06 Jan-08 Boulevard de la Woluwe 62 Woluwelaan ■ 1200 Brussels, Belgium ■ T +32 2739 1010 ■ F +32 2739 1020 ■ E info@epra.com ■ W www.epra.com Jul-08 Jan-07 Jan-09 Jan-08 Jul-09 Jan-09 Jan-10 Jan-10 Jul-10 Jan-11 Jan-11 140,000 120,000 100,000 80,000 60,000 40,000 20,000 0 Value-at-Risk (EUR Mln) Yield Ratio of return and volatility 14% 12% 10% 8% 6% 4% 2% 0% 2 1.5 1 0.5 0 -0.5 Dec-90 18 Years Dec-91 17 Years Dec-92 Graph 18: 12 Months Dividend Yields (Local Currency) - Global Asia Europe North America Global Dec-93 Dec-94 Dec-95 Dec-96 Dec-97 Dec-98 Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Graph 20: Investment Horizons - Global Global Real Estate Global Equities Global Bonds 16 Years 15 Years 14 Years 13 Years 12 Years 11 Years 10 Years 9 Years 8 Years 7 Years 6 Years Dec-05 5 Years Dec-06 4 Years Dec-07 3 Years Dec-08 2 Years Dec-09 1 Year Dec-10 9
Page 1 and 2: 160 ` February 2011
Page 3 and 4: Contents Page 4 Section 1 - Global
Page 5 and 6: Upward Trend Downward Trend 3500 30
Page 7: Correlation Correlation 1.00 0.80 0
Page 11 and 12: Version: February 2011 Section 2 As
Page 13 and 14: Return 100 90 80 70 60 50 40 30 20
Page 15 and 16: Liquidity (Velocity) 90% 80% 70% 60
Page 17 and 18: 2,700 2,350 2,000 1,650 1,300 950 6
Page 21 and 22: Value-at-Risk (USD Mln) Volatility
Page 23 and 24: Ratio of return and volatility Retu
Page 25 and 26: Version: February 2011 Section 4 No
Page 27 and 28: Return 100 90 80 70 60 50 40 30 20
Page 29 and 30: Liquidity (Velocity) 160% 140% 120%
Page 31 and 32: 4,000 3,500 3,000 2,500 2,000 1,500
Page 35 and 36: Correlation Correlation 1.00 0.90 0
Page 37 and 38: Section 6 * This section contains s
Page 39 and 40: Value (rebased) 350 300 250 200 150
Page 41 and 42: Version: February 2011 Section 6.2
Page 43 and 44: Return 1.00 0.80 0.60 0.40 0.20 0.0
Page 49 and 50: Return 1.00 0.80 0.60 0.40 0.20 0.0
Page 55 and 56: Return 1.40 1.20 1.00 0.80 0.60 0.4
Page 59 and 60:
Version: February 2011 Section 6.8
Page 61 and 62:
Return 3.00 2.50 2.00 1.50 1.00 0.5
Page 63 and 64:
Value (rebased) 450 400 350 300 250
Page 65 and 66:
Page 67 and 68:
Return 1.50 1.00 0.50 0.00 -0.50 -1
Page 69 and 70:
Value (rebased) 450 400 350 300 250
Page 71 and 72:
Page 73 and 74:
Return 0.80 0.60 0.40 0.20 0.00 -0.
Page 75 and 76:
Value (rebased) 500 450 400 350 300
Page 77 and 78:
Version: February 2011 Section 7 En
Page 79 and 80:
Number of Constituents - Emerging M
Page 81 and 82:
End-of-Year Constituents Chart - De
Page 83 and 84:
Page 85 and 86:
Page 87 and 88:
Page 89 and 90:
Page 91 and 92:
Page 93 and 94:
Page 95 and 96:
Page 97 and 98:
End-of-Year Constituents Chart - Em
Page 99 and 100:
End-of-Year Constituents Chart - Em
Page 101 and 102:
Asset Class Comparisons and Correla
Page 103 and 104:
Sharpe Ratio The Sharpe ratio is a
Page 105 and 106:
Data Vendor Codes - Indices AMERICA
Page 107 and 108:
Data Vendor Codes - Indices Version
Page 109 and 110:
Data Vendor Codes - Indices Version
Page 111 and 112:
Data Vendor Codes - Indices FTSE EP
Page 113 and 114:
Data Vendor Codes - Index Constitue
Page 115 and 116:
Data Vendor Codes - Index Constitue
Page 117 and 118:
Contacts EPRA FTSE EPRA UK Germany
show all

Monthly Index Chart Book

Create successful ePaper yourself

Delete template?

Save as template?