NFI ODCE Performance Attribution Webinar...NFI‐Daily Priced Equal‐ ... Quarterly Attribution...

NCREIF Performance Attribution Webinar

NFI‐ODCE Performance Attribution Webinar

Third Quarter 2017 Review


Total Returns by Asset ClassComparison as of September 30, 2017

1.9% 2.0%

3.7%

2.0% 1.7%1.1%

4.5%

1.6%

7.7% 7.8%

12.6%

9.0%

6.9%

2.6%

18.6%

3.4%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

20.0%

NFI‐ODCE ‐ gross offees

NFI‐Daily Priced Equal‐weight

(est. gross of fees)

NFI‐CEVA (gross offees)

Leveraged NPI NPI NAREIT Equity REITIndex

S&P 500Index

US Corporate BBBBonds

3Q 2017 1‐Year

Source: FRED (BofA Merrill Lynch)


Quarterly Attribution Impact Trendsfor the one year ended September 30, 2017

Page 4 of Report


Quarterly Leverage Impact Trendsfor the one year ended September 30, 2017

of Report

Change in 10yr Treasury Rate +.85% ‐.05% ‐.09% +.02%

End of Qtr 10yr Treasury Rate: 1.60 2.45 2.40 2.31 2.33


One Year Total Returns by Property TypeComparison as of September 30, 2017

6.8%

5.5%

3.2%

12.4%

6.3% 5.8%

9.1%

6.6%

5.2%

3.9%

12.4%

6.2% 5.7%

8.9%

6.9%6.2%

4.6%

12.8%

5.7%6.1%

9.6%

0%

2%

4%

6%

8%

10%

12%

14%

All Properties Apartment Hotel Industrial Office Retail Other

ODCE, at ownership share ODCE, 100% ownership NPI, 100% ownership


ODCE Industrial One Year Return Spreadvs. All ODCE Properties

Comparison as of September 30, 2017Property Type

5.6%

7.9%

0.5%

3.4%

7.0%

0% 1% 2% 3% 4% 5% 6% 7% 8% 9%

IND

IND_East

IND_MidWest

IND_South

IND_West

Region

5.6%

0.3%

2.3%

‐8.4%

5.9%

4.9%

‐10% ‐8% ‐6% ‐4% ‐2% 0% 2% 4% 6% 8%

IND

IND_R&D

IND_Flex

IND_Mftg

IND_Warehouse

IND_Other


Property Type Return Spreads vs. All ODCE PropertiesComparison as of September 30, 2017

APT, 20104, 8.73%

APT, 20054, 4.24% IND, 20173, 5.79%

OFF, 20073, 7.28%OFF, 19981, 7.63%

RET, 20092, 7.07%

RET, 20033, 9.81%

‐15%

‐10%

‐5%

0%

5%

10%

15%

2017

32017

12016

32016

12015

32015

12014

32014

12013

32013

12012

32012

12011

32011

12010

32010

12009

32009

12008

32008

12007

32007

12006

32006

12005

32005

12004

32004

12003

32003

12002

32002

12001

32001

12000

32000

11999

31999

11998

31998

11997

31997

11996

31996

11995

31995

11994

31994

11993

31993

11992

31992

11991

31991

11990

31990

11989

31989

11988

31988

11987

31987

11986

31986

11985

3

APT IND OFF RET

Dominant performance when one property type has a positive spread while others have zero or negative spreads


Property Type Return Spreads vs. All ODCE PropertiesComparison as of September 30, 2017

6%5%

2%

6%

8%9%

7%

1%

4%6%

7%

6%

4%3%

0%

4%5%

4%

6%6%7%8%

10%

3%3%

7%8%8%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

20173IND

20172IND

20114to

20171none

20113APT

20112APT

20111APT

20104APT

20093to

20103none

20092RET

20083to

20091none

20082OFF

20081OFF

20074OFF

20073OFF

20072OFF

20071OFF

20064OFF

20063OFF

20061to

20062none

20054APT

20052to

20053none

20051RET

20044RET

20043RET

20042RET

20041RET

20034RET

20033RET

19992to

20032none

19991OFF

19984OFF

19983OFF

19982OFF

19981OFF

5 qtrs OFFICE19981 to 19991

17 qtrs NONE19992 to 20032

7 qtrs RETAIL20033 to 20051

2 qtrs NONE20052 to 20053

1 qtr APARTMENT

20054


8 qtrs OFFICE20063 to 20082


1 qtr RETAIL20092


4 qtrs APARTMENT

20104 to 20113


2 qtrs INDUSTRIAL

20172 TO 20173

Dominant performance when one property type has a positive spread while others have zero or negative spreads

Black boxes indicate periods when no one property type dominates performance


One Year Return Spreads: All ODCE Properties vs. NPIComparison as of September 30, 2017

APT_MidWest, ‐2.18%

IND_MidWest, ‐1.44%

APT_East, ‐0.98%

IND_West, ‐0.96%

OFF_MidWest, ‐0.87%

RET_MidWest, ‐0.85%

RET_East, ‐0.42%

APT_South, ‐0.34%

IND_South, ‐0.31%

RET_West, ‐0.22%

OFF_South, ‐0.14%

RET_South, ‐0.11%

ODCE Props, ‐0.06%

APT_West, ‐0.02%

OFF_West, 0.47%

OFF_East, 0.93%

IND_East, 1.77%

‐2.50% ‐2.00% ‐1.50% ‐1.00% ‐0.50% 0.00% 0.50% 1.00% 1.50% 2.00%


One Year Avg. Quarterly Weight Spreads:All ODCE Properties vs. NPI

Comparison as of September 30, 2017


Weights, Returns & Contribution to Return by Property Type: ODCE Properties


APT, 25.20%

IND, 13.40%

OFF, 38.10%

RET, 19.30%

HOT, 0.70%

Land, 0.50%

Other, 2.70%

APT, 1.40%

IND, 1.63%OFF, 2.39%

RET, 1.12%

HOT, 0.02%

Land, 0.02% Other, 0.25%

Average One Year Weights Contribution to One Year Return of 6.83%

APT 5.53%

IND 12.40%

OFF 6.26%

RET 5.82%

HOT 3.19%

Land 3.04%

Other 9.11%

One Year Returns


One Year Total Returns by Property TypeComparison as of September 30, 2017

Page 4 of Report


Contribution to One Year Total Return ODCE PropertiesBy Property Type by Region


OFF_West, 1.16%

IND_West, 0.88%

OFF_East, 0.82%

APT_East, 0.73%

RET_West, 0.50%

IND_East, 0.34%

RET_South, 0.34%

APT_MidWest, 0.33%Other, 0.28%

OFF_South, 0.28%IND_South, 0.28%APT_West, 0.27%RET_East, 0.19%

OFF_MidWest, 0.14%

IND_MidWest, 0.13%RET_MidWest, 0.09%

APT_South, 0.07%

0%

1%

2%

3%

4%

5%

6%

7%

6.83%

Top 5Contributors

4.09%


This concludes today’s Webinar. Thank you for joining us!Upcoming Events:

NCREIF Winter Conference 2017 in Scottsdale, AZ at Scottsdale McCormick Ranch March 14‐16

NCREIF Certificate Courses in Scottsdale, AZ, March 12‐13

NCREIF Summer Conference in Charlotte, NC, June 19‐22

NCREIF Certificate Courses in Dallas, TX at SMU July 16‐19

Visit www.ncreif.org for more information

NFI ODCE Performance Attribution Webinar...NFI‐Daily Priced Equal‐ ... Quarterly Attribution...

Documents

Transcript of NFI ODCE Performance Attribution Webinar...NFI‐Daily Priced Equal‐ ... Quarterly Attribution...