NFI ODCE Performance Attribution Webinar...NFI‐ODCE Performance Attribution Webinar Third Quarter...
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NFI‐ODCE Performance Attribution Webinar Third Quarter 2019 Review
Transcript of NFI ODCE Performance Attribution Webinar...NFI‐ODCE Performance Attribution Webinar Third Quarter...
NFI‐ODCE Performance Attribution Webinar
Third Quarter 2019 Review
Panelist Overview
Joe D’AlessandroNCREIF Director of Real Estate Performance Measurement
Rob Maroldi, CIPMVice President Investment Risk
PGIM Real Estate
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Agenda
• Current quarter results and long term trends• Build‐up of property to fund returns• Impacts of leverage and volatile debt markets• Quartile dispersion analysis of line items• Retail subtype return differences• Operating vs. Non‐operating property performance
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4
Total Returns by Asset Class
0%2%4%6%8%
10%12%14%16%
Qtr 1 year 3 year 5 year 7 year 25 year
NPI ODCE‐VW NAREIT S&P 500 Barclay's Agg.
20.7%
Source: PGIM/Bloomberg
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Total Returns by Asset Class Rolling 10 Year Returns
‐5%
0%
5%
10%
15%
20%
9/30
/201
93/31
/201
99/30
/201
83/31
/201
89/30
/201
73/31
/201
79/30
/201
63/31
/201
69/30
/201
53/31
/201
59/30
/201
43/31
/201
49/30
/201
33/31
/201
39/30
/201
23/31
/201
29/30
/201
13/31
/201
19/30
/201
03/31
/201
09/30
/200
93/31
/200
99/30
/200
83/31
/200
89/30
/200
73/31
/200
79/30
/200
63/31
/200
69/30
/200
53/31
/200
59/30
/200
43/31
/200
49/30
/200
33/31
/200
39/30
/200
23/31
/200
29/30
/200
13/31
/200
19/30
/200
03/31
/200
09/30
/199
93/31
/199
99/30
/199
83/31
/199
89/30
/199
73/31
/199
79/30
/199
63/31
/199
69/30
/199
53/31
/199
59/30
/199
43/31
/199
49/30
/199
33/31
/199
39/30
/199
23/31
/199
29/30
/199
13/31
/199
19/30
/199
03/31
/199
0
NPI NAREIT Equity REIT Index ODCE‐VW S&P 500 Index
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Page 3 of Report
Build‐up of Returns (Impact Analysis)
Historical data reconciled back to 2015!
Page 4 of Report
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Quarterly Attribution Impact Trends
Leveraged Fund Returns Lower Than Unlevered Property
Page 4 of Report
Change in 10yr Treasury Rate ‐0.36% ‐0.28% ‐0.41% ‐0.32% ‐1.37%End of Qtr 10yr Treasury Rate 2.69% 2.41% 2.00% 1.68%
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10 yr. Treasury Rate on 12/16/19 1.90%
Quarterly Leverage Impact Trends‐0.68% Debt Mark, largest negative to date for ODCE
Total Mark to Market ‐.009% ‐0.18% ‐0.25% ‐0.13% ‐0.68%
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Fund Returns
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
2016 2017 2018 4q 9/30/19
Avg Dispersion
Total Fund (Gross of Fees)
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
11.0%
2016 2017 2018 4q 9/30/19
Avg 75% 50% 25%
Total Fund (Gross of Fees)
Dispersion Avg ODCE‐VW 75% 50% 25%2015 1.2% 15.1% 15.0% 15.9% 15.3% 14.4%2016 1.5% 9.3% 8.8% 10.1% 9.2% 8.7%2017 1.3% 7.8% 7.6% 8.5% 7.8% 7.2%2018 1.0% 8.2% 8.3% 8.8% 8.2% 7.7%4q 9/30/19 2.0% 6.3% 3.8% 7.5% 6.8% 5.5%
Total Fund (Gross of Fees) Percentiles
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Property Unleveraged Returns
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
1.4%
1.6%
1.8%
2.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
2016 2017 2018 4q 9/30/19Avg Dispersion
Property Unleveraged
Dispersion AvgProp UL‐
VW 75% 50% 25%2015 1.2% 13.0% 13.1% 13.9% 12.9% 12.4%2016 1.0% 8.1% 7.9% 8.6% 8.1% 7.6%2017 1.1% 7.2% 7.2% 7.8% 7.3% 6.7%2018 1.3% 7.2% 7.3% 8.0% 7.5% 6.6%4q 9/30/19 1.7% 6.6% 4.3% 7.8% 7.0% 5.8%
Property UnleveragedPercentiles
5.5%
6.0%
6.5%
7.0%
7.5%
8.0%
8.5%
9.0%
2016 2017 2018 4q 9/30/19
Avg 75% 50% 25%
Property Unleveraged
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LTV%
20%
21%
22%
23%
24%
25%
26%
27%
Annual 2016 Annual 2017 Annual 2018 YTD 2019
LTV%
Avg 75% 50% 25%
LTV% Dispersion Avg 75% 50% 25%Annual 2015 4.7% 23.3% 26.2% 23.0% 19.9%Annual 2016 4.7% 23.7% 26.4% 23.8% 20.9%Annual 2017 3.5% 22.4% 24.4% 22.4% 20.4%Annual 2018 4.3% 22.9% 24.6% 22.7% 20.3%YTD 2019 4.6% 23.1% 24.8% 22.5% 20.2%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
21.5%
22.0%
22.5%
23.0%
23.5%
24.0%
Annual 2016 Annual 2017 Annual 2018 YTD 2019
LTV%
Avg Dispersion ‐‐‐‐‐ Long Term Avg since 2000.
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Unleveraged Property Type Returns (Rolling 1 Year)
Dispersion2016 2.3%2017 3.8%2018 4.5%
4q 9/19 5.6%
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Property Type Returns at 100%
‐4.00%
‐2.00%
0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
12.00%
14.00%
16.00%
Apartment Industrial Office Retail Total
Total Return
1 Year 3 Year 5 Year 7 Year
‐8.00%‐6.00%‐4.00%‐2.00%0.00%2.00%4.00%6.00%8.00%
10.00%
Apartment Industrial Office Retail Total
Appreciation Return
1 Year 3 Year 5 Year 7 Year
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
Apartment Industrial Office Retail Total
Income Return
1 Year 3 Year 5 Year 7 Year
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Page 3 of Report
Contribution to Unlevered Return by Property Type
Historical data reconciled back to 2015!
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Page 4 of Report
Contribution to Unlevered Return by Property Type
Industrial out‐contributes office!
Another negative contribution for Retail
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Public REIT Retail Returns
‐0.3
‐0.2
‐0.1
0
0.1
0.2
0.3
0.4
9/30
/201
312/31/20
133/31
/201
46/30
/201
49/30
/201
412/31/20
143/31
/201
56/30
/201
59/30
/201
512/31/20
153/31
/201
66/30
/201
69/30
/201
612/30/20
163/31
/201
76/30
/201
79/29
/201
712/29/20
173/30
/201
86/29
/201
89/28
/201
812/31/20
183/29
/201
96/28
/201
99/30
/201
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Rolling 1 year total return
Public Malls NCREIF Malls
26.6%
12.7%
-11.4%
17.8%
39.9%
-5.1%
-12.9%
-24.6%
-2.4%
17.5%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
YTD 1 Year 3 Year 5 Year 7 Year
Strip Centers(Non-Malls)Malls
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Property Subtype Retail Returns
‐6.00%
‐4.00%
‐2.00%
0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
1 Year 3 Year 5 year 7 Year
Total Return
Mall Non‐Mall
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
1 Year 3 Year 5 year 7 Year
Income Return
Mall Non‐Mall Total Retail
‐10.00%
‐8.00%
‐6.00%
‐4.00%
‐2.00%
0.00%
2.00%
4.00%
6.00%
1 Year 3 Year 5 year 7 Year
Appreciation Return
Mall Non‐Mall Total Retail
‐30%‐20%‐10%0%10%20%30%
9/19
12/17
3/16
6/14
9/12
12/10
3/09
6/07
9/05
12/03
3/02
6/00
9/98
12/96
3/95
6/93
9/91
12/89
3/88
Rolling 1 year
Mall Non‐Mall Total Retail
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Public REIT vs. NCRIEF Rolling 1 Year Returns
‐10%‐5%0%5%
10%15%20%25%30%35%40%45%
9/30
/201
3
12/31/20
13
3/31
/201
4
6/30
/201
4
9/30
/201
4
12/31/20
14
3/31
/201
5
6/30
/201
5
9/30
/201
5
12/31/20
15
3/31
/201
6
6/30
/201
6
9/30
/201
6
12/30/20
16
3/31
/201
7
6/30
/201
7
9/29
/201
7
12/29/20
17
3/30
/201
8
6/29
/201
8
9/28
/201
8
12/31/20
18
3/29
/201
9
6/28
/201
9
9/30
/201
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Public Apt NCREIF Apt Linear (Public Apt)
APT
‐5%0%5%
10%15%20%25%30%35%40%45%
9/30
/201
3
12/31/20
13
3/31
/201
4
6/30
/201
4
9/30
/201
4
12/31/20
143/31
/201
5
6/30
/201
5
9/30
/201
5
12/31/20
15
3/31
/201
6
6/30
/201
6
9/30
/201
612/30/20
16
3/31
/201
7
6/30
/201
7
9/29
/201
7
12/29/20
17
3/30
/201
8
6/29
/201
89/28
/201
8
12/31/20
18
3/29
/201
9
6/28
/201
9
9/30
/201
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Public Ind NCREIF Ind Linear (Public Ind)
IND
‐0.2‐0.15‐0.1
‐0.050
0.050.1
0.150.2
0.250.3
9/30
/201
3
12/31/20
13
3/31
/201
4
6/30
/201
4
9/30
/201
412/31/20
14
3/31
/201
5
6/30
/201
5
9/30
/201
5
12/31/20
153/31
/201
6
6/30
/201
6
9/30
/201
6
12/30/20
16
3/31
/201
76/30
/201
7
9/29
/201
7
12/29/20
17
3/30
/201
86/29
/201
8
9/28
/201
8
12/31/20
18
3/29
/201
9
6/28
/201
99/30
/201
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Public Off NCREIF Off Linear (Public Off)
OFFOver the long term, public REITS performance reflects the underlying real estate returns
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Operating vs. Non‐Operating Performance
‐0.8%
‐0.6%
‐0.4%
‐0.2%
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
2019
3
2019
2
2019
1
2018
4
2018
3
2018
2
2018
1
2017
4
2017
3
2017
2
2017
1
2016
4
2016
3
2016
2
2016
1
2015
4
2015
3
2015
2
2015
1
2014
4
2014
3
2014
2
2014
1
2013
4
Non‐operating Spreads in 1 yr Rolling
Apt Ind Ret Off Other
2
4
6
8
10
12
14
16
$ Billion
s
MV in Non‐Operating
Apt Ind Ret Off Other
This concludes today’s Webinar. Thank you for joining us!Upcoming Events:
NCREIF Winter Conference in Phoenix, AZ, March 9 – 12, 2020
NCREIF Academy Course: Structuring Institutional Investment VehiclesMonday March 9
Visit www.ncreif.org for more information
