Correlations of Property Stocks with other Asset Classes

Transcription

1 CORRELATIONS OF PROPERTY STOCKS WITH OTHER ASSET CLASSES s of Property Stocks with other Asset Classes Broadening the Investor Base Study May 27

2 About the authors Prof. Dr. Steffen SEBASTIAN Professor for Real Estate Finance Steffen Sebastian is Head of the Chair for Real Estate Finance at the IRE BS International Real Estate Business School, University of Regensburg, Germany. Before coming to IRE BS, he gained considerable experience in financial analysis having been employed as an assistant professor at the finance department of Goethe-University, Frankfurt. His research interests are real estate securities, including the importance of direct and indirect real estate in the portfolio of institutional investors. Topics include inflation risk of indirect real estate, bank run risk of open end real estate funds, and index calculation for direct and indirect real estate investments. Mrs. Melanie Sturm Research Assistant Chair of Real Estate Finance Melanie Sturm is research assistant at the Chair for Real Estate Finance at the IRE BS International Real Estate Business School, University of Regensburg, Germany. She holds a diploma in Business Administration. Her research focus is the risk analysis of stock quoted property companies. IRE BS International Real Estate Business School University of Regensburg, Germany more info: European Public Real Estate Association Schiphol Boulevard BH Schiphol Airport The Netherlands T +3 () F +3 () W

3 contents Table of Contents Executive Summary 5 2 Data Description 9 3 s of Property Stocks with other Asset Classes 3. s with Stocks 3.2 s with Bonds s with Money / Treasury Bonds s with Emerging Market Stocks s with Direct Real Estate s with Private Equity and Venture Capital s with Private Equity and Buy Outs & Mezzanine s with Hedge Funds and Commodities 67 correlations of property stocks with other asset classes - may

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5 executive summary Executive Summary Background One good reason to invest in property stocks is profitability, an even better one is diversification. Various studies have shown that integrating property stocks increases significantly the risk-/return profile of a mixed asset portfolio - including the recent EPRA-study by Shaun Bond of the University of Cambridge. Although, the application of complex optimisation unavoidably means that we have to make several assumptions about the markets and investors preferences. Those assumptions limit naturally the validity of the results for all types of investors and/or market conditions. Furthermore, the results, i.e., the weight of property companies in an investor s portfolio, might vary considerably depending on the design of the optimization model. All in all, the results of complex optimizations models are difficult to communicate and easy to criticise. EPRA/IRE BS Study EPRA and IRE BS decided to embark on a detailed study focused on the correlation of property stocks. The diversification benefits of an investment in property companies depend mainly on the correlation with other asset classes, such as stocks or bonds. A closer look at the evolution of the correlations over time already gives first insight into the evolution of the diversification potential of property stocks. We hope that this might serve as a reference for both, practitioners and researchers. Furthermore, this study may ignite a broader range of investor interest wishing to examine the diversification benefits of property stocks. In addition to the FTSE EPRA/NAREIT Global Total Return Index and the FTSE EPRA/NAREIT Europe Total Return Index we include the FTSE EPRA/NAREIT Indices for USA, UK, Australia, France, Sweden and the Netherlands in our study. We do not consider big economies like Germany, Italy and Spain because there are only small real estate stock markets in these countries. For example, for Germany, only.64% of total real estate is quoted on the stock market and listed real estate represents only.45% of the stock market. For Italy and Spain, we observe similar market capitalisations. Here, listed real estate represents only.58% and.9% of the stock market, respectively. It is the aim of the EPRA/IRE BS study to illustrate the correlation of property stocks with the large universe of investment opportunities. We have identified three classical asset classes: stocks, bonds and money (treasury bills), and five alternative asset classes, including direct real estate, emerging market stocks, hedge funds, private equity and commodities. Methodology It must be noted at this point that correlations, as well as diversification potential, are not everlasting characteristics of an investment as they can vary significantly over time. The aim of the present study is to investigate rolling window correlations using periods of 5 years, analysing quarterly returns of FTSE EPRA/NAREIT Global Real Estate Index series against other asset classes, as defined above. We are preliminary interested in the correlations of the FTSE EPRA/NAREIT Indices with the asset classes and not the foreign currency. For this purpose, we include the FTSE EPRA/NAREIT Indices in local currency and compare national indices (local) wherever possible. Furthermore, we assume, that the investor hedge against currency risk in a way which causes no premium payments, i.e. by taking out a zero cost hedge. For the FTSE EPRA/NAREIT Global and Europe we cannot build up a full hedge position because they consist of economies with different currencies. The following presents selected results of the study. s with stocks First results show moderate to strong correlations between the returns of the FTSE EPRA/NAREIT Indices and stock returns. For FTSE EPRA/NAREIT US we observe correlations between.4 and.6 and for the FTSE EPRA/NAREIT Global, Europe and UK ranging between.6 and.8. In the period of I/94-I/99 the correlations are mostly constant, with the exception of the UK where the correlations vary temporarily between and.2 for the period I/96-I/, reverting back to similar levels as the other FTSE EPRA/NAREIT Indices in the period I/-I/6. correlations of property stocks with other asset classes - may

6 correlations of property stocks with other asset classes In earlier periods we observe contrasting patterns. While correlations are heavily positive with European stocks, correlations with US stocks are significantly lower, to the extent that in the period I/9 - I/96 they actually reach values close to zero. s of the FTSE EPRA/NAREIT for US and Australia with stocks show an inverse behaviour. For FTSE EPRA/NAREIT US, correlations with European stocks reach values close to zero in 9-96 while correlations with US stocks remain clearly positive. s of FTSE EPRA/NAREIT Australia and US stocks are heavily positive for the entire period and they even reach their heaviest extent in the period III/93-III/98. s with bonds In contrast, correlations between the FTSE EPRA/NAREIT Indices and Bonds Indices for Germany, UK and USA are not constant over time, decreasing from 999 till 26. They are mostly positive until 999; but at the end of 998 we observe a sharp decline in the correlation figures. From 2 on, we even find negative correlations (between. and.5). For all FTSE EPRA/NAREIT Indices (except Australia), correlations move in a similar fashion in the observation period. Here, we observe after a period of declining values a gradual climb from 23. For FTSE EPRA/NAREIT Australia we observe continuously the strongest correlations with bonds and there is no sharp decline in the correlation figure. On the contrary, correlations decline moderately but steadily from 998 till 23/24 and reach only minor negative values. s with money/treasury bonds of property stock returns with those of treasury bonds show a very interesting evolution over time. s are negative in , starting with values between -.5 and -.2. All correlations rise steadily until 26, ending with values between.3 and.6. We find the most stable evolution over time for correlations of FTSE EPRA/NAREIT Australia. s are close to zero until 22. Only in the following period, we observe increasing volatility in correlations. s with emerging market stocks Although correlations with emerging markets Europe, Asia and Latin America are currently strong positive for all FTSE EPRA/NAREIT Indices except FTSE/EPRA NAREIT Australia with moderate values between.3 and.4 we observe contrasting patterns in the considered period from 995 until 26. While correlations for the FTSE EPRA/NAREIT Global, Netherlands and also Europe are steadily strong, we observe after a decline in the correlation level even negative correlations for US (about 997), UK (about 2) and Sweden (about 998) followed by a constant climb until 26. s with direct real estate While correlations of property stocks with stocks are mostly strong positive especially in later periods, we can not make such a clear declaration about correlations with direct property. For FTSE EPRA/ NAREIT France, Netherlands and Sweden correlations vary about zero. For the remaining FTSE EPRA/NAREIT Indices we observe increasing correlations from about 999 until now. Currently, all correlations are positive ranging between.5 for Sweden and.55 for Australia. s with private equity Because of the limited history and the bounded representativeness of the index, we only observe the correlations in the period from 2 till 24. Here, correlations are mostly constant. For the period I/99-I/4 we find positive correlations of the FTSE EPRA/NAREIT Indices and venture capital Europe varying between. for the FTSE EPRA/NAREIT Australia and.6 for the FTSE EPRA/NAREIT Global. Furthermore, correlations with venture capital Europe are stronger than correlations with venture capital USA. These correlations vary between clearly negative values for the FTSE EPRA/NAREIT UK and clearly positive values for the FTSE EPRA/NAREIT Global and Sweden. correlations of property stocks with other asset classes - may

7 executive summary On the contrary, correlations with buyouts & mezzanine USA are notably stronger than correlations with buyouts & mezzanine Europe. For the period I/99-I/4, we observe correlations between.25 and.56 for the FTSE EPRA/NAREIT Indices with buyouts & mezzanine USA, while correlations with buyouts & mezzanine Europe vary between -.4 and.2. On average, correlations with the overall (private equity) index are weaker than correlations with venture capital and buyouts & mezzanine USA but stronger than correlations with buyouts & mezzanine Europe. s with hedge funds s with Hedge Funds behave similar to correlations with emerging markets. They are also currently strong positive, and we also observe the most moderate level for FTSE EPRA/NAREIT Australia. Furthermore, correlations of FTSE EPRA/NAREIT Global are remarkable steadily strong with a mean of.76, whereas we find a period of decreasing correlations for US ( ) and UK (2-24) and comparable to the evolution of correlations with emerging markets a climb in the following period until 26. s with commodities In the first periods correlations of property stocks with commodities are mostly negative. Here, we find on average the lowest correlation level for Australia (correlations between -.3 and -.5). In the period of 998/999 the correlations of all FTSE EPRA/NAREIT Indices increase, but especially for the FTSE EPRA/NAREIT Global, US and Sweden. And so we currently observe positive correlations of about.2, with the exception that correlations for the FTSE EPRA/NAREIT Australia again decrease from I/-I/5 and are clearly negative at the moment. Conclusion For all asset classes, we see that property stocks show correlations significantly below., and in some cases negative readings occur, thus indicating diversification potential for investing in property stocks. The evolution over time results in the assumption that diversification benefits are most likely to vary considerably over time. This phenomenon must, among others, be taken into consideration when including property stocks in a mixed asset portfolio. correlations of property stocks with other asset classes - may

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9 data description 2 Data Description Stocks We use the stock market indices for Europe and the United States provided by Morgan Stanley Capital International (MSCI Indices) to calculate total market returns. The MSCI-Indices exclude capital arrangements especially dividend payments. According to MSCII the indices cover at least 6 per cent of the market capitalisation. The index currency is Euro and US Dollars respectively. Source: DataStream DataStream Codes: MSCI USA - TOT RETURN IND - MSUSAML(RI) MSCI EUROPE - TOT RETURN IND - MSEROPL(RI) Bonds The bonds indices are DataStream total all lives government bond indices for Germany, USA and UK. The indices include bonds with different liquidity to cover the development of the whole market and are calculated following the recommendations of the European Federation of Financial Analysts Societies (EFFAS). So capital arrangements especially dividend payments are excluded. The DataStream indices are investable and replicable. Index currency is USD, GBP or EURO respectively. Source: DataStream DataStream Codes: BD TOTAL ALL LIVES DS GOVT. INDEX - TOT RETURN IND - ABDGVAL(RI) US TOTAL ALL LIVES DS GOVT. INDEX - TOT RETURN IND - AUSGVAL(RI) UK TOTAL ALL LIVES DS GOVT. INDEX - TOT RETURN IND - AUKGVAL(RI) Money/Treasury bonds As proxies for an investment in the money market we used the 3 Month Libor (London Interbank Offered Rate) and 3 Month Fibor (Frankfurt Interbank Offered Rate). Source: DataStream DataStream Codes: UK INTERBANK 3 MONTH (LDN:BBA) OFFERED RATE - BBGBP3M GERMANY INTERBANK 3 MONTH - OFFERED RATE - FIBOR3M Emerging market stocks The MSCI Emerging Markets Indices represent stocks of emerging markets. The indices are free floatadjusted market capitalization indices that are designed to measure equity market performance in the global emerging markets. They exclude capital arrangements especially dividend payments. According to MSCI the indices cover at least 6 per cent of the market capitalisation. We use the MSCI-Total-Return Indices for Asia, Europe and Latin America. Source: DataStream DataStream Codes: MSCI EM ASIA U$ - TOT RETURN IND - MSEMFA$(RI) MSCI EM EUROPE U$ - PRICE INDEX MSEEUR$ (RI) MSCI EM LATIN AMERICAU$ - PRICE INDEX - MSEFLA$ (RI) Direct real estate The NPI (NCREIF Property Index) represents an investment in US Real Estate. The index includes cash flows and estimated changes in value of aggregated US Funds portfolios. Estimations are updated at least once a year. The index value is reported quarterly. Source: National Council of Real Estate Investment Fiduciaries NPI National Returns ( correlations of property stocks with other asset classes - may

10 correlations of property stocks with other asset classes Private equity We use the Private Equity Indices of Venture Economics. According to the provider these are non annualised, quarterly calculated time weighted returns. They are composed of the concrete cash flow on the one hand and of estimations of changes in value on the other hand. We use an overall index consisting of the following indices: Venture Capital USA 5 %, Venture Capital Europe 5 %, Buy Outs USA 2 % and Buy Outs Europe 6 %. Due to the limited history the overall index cannot be calculated over the entire considered time period. We are only able to calculate correlations from 997 till 24. Representativeness of the index is bounded at the beginning because it consists only of few projects. However, at the end the index represents a highly diversified portfolio. Because the index is not replicable, adjustments are necessary if the investment does not correspond to the portfolio composition. According to the provider the index excludes management fees but particularly includes taxes and transaction costs. No further information is available on this. Source: Venture Economics Hedge funds The HFRX Global Hedge Fund Index represents an investment in hedge funds. Index currency is US Dollar. According to HFR the index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of eight strategies (convertible arbitrage, merger arbitrage, equity hedge, equity market neutral, relative value arbitrage, event driven, distressed securities and macro). The strategies are asset weighted based on the distribution of assets in the hedge fund industry. Funds that stop reporting or shut down are included in the database, so according to the provider there is no survivorship bias. Source: Credit Suisse First Boston/Tremont ( Commodities The Reuter s Commodity Price Index is an arithmetic average of commodity futures prices with monthly rebalancing. According to the provider, the Reuter s Commodity Price Index is designed to provide timely and accurate representation of a long-only, broadly diversified investment in commodities. Source: DataStream DataStream Codes: Reuters Commodities Index - PRICE INDEX - RECMDTY(PI) correlations of property stocks with other asset classes - may

11 correlations with stocks 3. s of Property Stocks with other Asset Classes 3.. s with Stocks 3.. FTSE EPRA/NAREIT Global Total Return Index Stocks Europe Stocks USA - - period Stocks Europe Stocks USA I/9 - I/95,869,647 I/9 - I/96,88,347 I/92 - I/97,856,33 I/93 - I/98,752,37 I/94 - I/99,764,76 I/95 - I/,724,724 I/96 - I/,644,63 I/97 - I/2,683,638 I/98 - I/3,742,7 I/99 - I/4,774,747 I/ - I/5,756,665 I/ - I/6,775,696 mean of correlation, standard deviation of correlation,79,77 coefficient of variation of correlation,4,37 correlations of property stocks with other asset classes - may

12 correlations of property stocks with other asset classes 3..2 FTSE EPRA/NAREIT Europe Total Return Index Stocks Europe Stocks USA - - period Stocks Europe Stocks USA I/9 - I/95,755,424 I/9 - I/96,73,83 I/92 - I/97,724,29 I/93 - I/98,73,99 I/94 - I/99,875,622 I/95 - I/,67,474 I/96 - I/ 4,388 I/97 - I/2,627,487 I/98 - I/3,66 5 I/99 - I/4, I/ - I/5,795,645 I/ - I/6,85,673 mean of correlation,75,433 standard deviation of correlation,8,86 coefficient of variation of correlation,5,429 2 correlations of property stocks with other asset classes - may

13 correlations with stocks 3..3 FTSE EPRA/NAREIT United States Total Return Index Stocks Europe Stocks USA - - period Stocks Europe Stocks USA I/9 - I/95 37,79 I/9 - I/96,6 66 I/92 - I/97,59,39 I/93 - I/98,78,36 I/94 - I/99,437,377 I/95 - I/,397,46 I/96 - I/,28,22 I/97 - I/2,397,345 I/98 - I/3,46,34 I/99 - I/4 6,482 I/ - I/5,7,6 I/ - I/6,646,65 mean of correlation,36,435 standard deviation of correlation,227,54 coefficient of variation of correlation,629,354 correlations of property stocks with other asset classes - may

14 correlations of property stocks with other asset classes 3..4 FTSE EPRA/NAREIT Australia Total Return Index Stocks Europe Stocks USA - - period Stocks Europe Stocks USA I/9 - I/95,48,447 I/9 - I/96, I/92 - I/97 69,48 I/93 - I/98 94,625 I/94 - I/99,44 83 I/95 - I/,232,48 I/96 - I/,264,384 I/97 - I/2,34,454 I/98 - I/3,379,48 I/99 - I/4,362,325 I/ - I/5 9 I/ - I/6, mean of correlation,46,474 standard deviation of correlation,8,92 coefficient of variation of correlation,266,95 4 correlations of property stocks with other asset classes - may

15 correlations with stocks 3..5 FTSE EPRA/NAREIT United Kingdom Total Return Index Stocks Europe Stocks USA - - period Stocks Europe Stocks USA I/9 - I/95,66,492 I/9 - I/96,474,244 I/92 - I/97,463,362 I/93 - I/98,49,2 I/94 - I/99,337,273 I/95 - I/,3,6 I/96 - I/ -,88 -,9 I/97 - I/2,34,34 I/98 - I/3,288,7 I/99 - I/4 3,383 I/ - I/5,74 7 I/ - I/6,764,652 mean of correlation,4,239 standard deviation of correlation,26,246 coefficient of variation of correlation,65,27 correlations of property stocks with other asset classes - may

16 correlations of property stocks with other asset classes 3..6 FTSE EPRA/NAREIT France Total Return Index Stocks Europe Stocks USA - - period Stocks Europe Stocks USA I/9 - I/95,75,47 I/9 - I/96,63,7 I/92 - I/97,673,9 I/93 - I/98,674 -,5 I/94 - I/99,693,35 I/95 - I/ 7,64 I/96 - I/,453,226 I/97 - I/2 37,349 I/98 - I/3,62,479 I/99 - I/4 7,42 I/ - I/5, I/ - I/6, mean of correlation,63,29 standard deviation of correlation,5,86 coefficient of variation of correlation,7,64 6 correlations of property stocks with other asset classes - may

17 correlations with stocks 3..7 FTSE EPRA/NAREIT Netherlands Total Return Index Stocks Europe Stocks USA - - period Stocks Europe Stocks USA I/9 - I/95 88,2 I/9 - I/96,724,26 I/92 - I/97,782,243 I/93 - I/98,723,22 I/94 - I/99,72 7 I/95 - I/, I/96 - I/,497,462 I/97 - I/2,465,43 I/98 - I/3,492,379 I/99 - I/4,442,388 I/ - I/5 3,395 I/ - I/6 76,46 mean of correlation 88,368 standard deviation of correlation,28,43 coefficient of variation of correlation,28,389 correlations of property stocks with other asset classes - may

18 correlations of property stocks with other asset classes 3..8 FTSE EPRA/NAREIT Sweden Total Return Index Stocks Europe Stocks USA - - period Stocks Europe Stocks USA I/9 - I/95,486,45 I/9 - I/96 38,6 I/92 - I/97 6,75 I/93 - I/98,83,2 I/94 - I/99,496,36 I/95 - I/ 42,399 I/96 - I/,382,228 I/97 - I/2,639 2 I/98 - I/3,73 27 I/99 - I/4,86,622 I/ - I/5,865,664 I/ - I/6,777,68 mean of correlation 82,36 standard deviation of correlation,79,25 coefficient of variation of correlation, correlations of property stocks with other asset classes - may

19 correlations with bonds 3.2. s with Bonds 3.2. FTSE EPRA/NAREIT Global Total Return Index Bonds Germany Bonds UK Bonds USA - - period Bonds Germany Bonds UK Bonds USA I/9 - I/95 75,63,5 I/9 - I/96, , I/92 - I/97,329 2,4 I/93 - I/98,448 42,45 I/94 - I/99,3,7 -,36 I/95 - I/ -,228 -,76 -,445 I/96 - I/ -,283 -,239 -,477 I/97 - I/2 -,427 -,299-8 I/98 - I/ ,73 I/99 - I/4 -,494 -,458 -,63 I/ - I/5 -, ,44 I/ - I/6 -,27 -,273 -,392 mean of correlation -,86 -,29 -,36 standard deviation of correlation,363,426,275 coefficient of variation of correlation -4,25-4,86 -,87 correlations of property stocks with other asset classes - may

20 correlations of property stocks with other asset classes FTSE EPRA/NAREIT Europe Total Return Index Bonds Germany Bonds UK Bonds USA - - period Bonds Germany Bonds UK Bonds USA I/9 - I/95,35,47,88 I/9 - I/96,266,424,74 I/92 - I/97,256,365,76 I/93 - I/98,484 9,356 I/94 - I/99,53,75 -,55 I/95 - I/ -,26 -,378 -,355 I/96 - I/ -,255 -,49 -,45 I/97 - I/2 -,429 -, I/98 - I/3-9 -,665 -,69 I/99 - I/ I/ - I/5 -,49 -,489-6 I/ - I/6 -,274 -,38 -,44 mean of correlation -,33 -,49 -,263 standard deviation of correlation,347,432,35 coefficient of variation of correlation -2,6-2,895 -,57 2 correlations of property stocks with other asset classes - may

21 correlations with bonds FTSE EPRA/NAREIT United States Total Return Index Bonds Germany Bonds UK Bonds USA - - period Bonds Germany Bonds UK Bonds USA I/9 - I/95,483,34,475 I/9 - I/96,329,24,468 I/92 - I/97,262,44,44 I/93 - I/98,22,35,4 I/94 - I/99 -,9 -,53 -,7 I/95 - I/,85 -,3,4 I/96 - I/, -,58,25 I/97 - I/2 -,287 -,223 -,68 I/98 - I/3 -,45-3 -,397 I/99 - I/4 -,298 -,34 -,32 I/ - I/5 -,278 -,372 -,326 I/ - I/6 -,87 -,69 -,25 mean of correlation -,2 -,98,3 standard deviation of correlation,259,233,32 coefficient of variation of correlation -3,256-2,37,43 correlations of property stocks with other asset classes - may

22 correlations of property stocks with other asset classes FTSE EPRA/NAREIT Australia Total Return Index Bonds Germany Bonds UK Bonds USA - - period Bonds Germany Bonds UK Bonds USA I/9 - I/95,423 3,432 I/9 - I/96,487 44,492 I/92 - I/97,493,68 4 I/93 - I/98,644,749,674 I/94 - I/99 27,68 I/95 - I/,448,67,447 I/96 - I/,457,68,382 I/97 - I/2,3 87,235 I/98 - I/3,89,387,3 I/99 - I/4 -,7,77,65 I/ - I/5 -,2,79 -,6 I/ - I/6,2,24 -,69 mean of correlation,329,488,294 standard deviation of correlation,29,228,253 coefficient of variation of correlation,666,467,86 22 correlations of property stocks with other asset classes - may

23 correlations with bonds FTSE EPRA/NAREIT United Kingdom Total Return Index Bonds Germany Bonds UK Bonds USA - - period Bonds Germany Bonds UK Bonds USA I/9 - I/95,46 87,379 I/9 - I/96,322 56,329 I/92 - I/97,369 23,39 I/93 - I/ ,498 I/94 - I/99,296,28,334 I/95 - I/,76 -,3,7 I/96 - I/ -,3 -,75 -,24 I/97 - I/2 -,87 -,243 -,28 I/98 - I/3 -, ,42 I/99 - I/4 -,399 -,483 -,395 I/ - I/5 -,396 -,392 -,46 I/ - I/6 -,346 -,254 -,4 mean of correlation,5,6 -,6 standard deviation of correlation,353,436,37 coefficient of variation of correlation 77,9 78,485-9,734 correlations of property stocks with other asset classes - may

24 correlations of property stocks with other asset classes FTSE EPRA/NAREIT France Total Return Index Bonds Germany Bonds UK Bonds USA - - period Bonds Germany Bonds UK Bonds USA I/9 - I/95 8,456,252 I/9 - I/96,483,48,243 I/92 - I/97,449,376,24 I/93 - I/98,392,378,77 I/94 - I/99,6,2 -,45 I/95 - I/ -,3 -,377 -,322 I/96 - I/ -,299 -,42 -,454 I/97 - I/2 -,375 -,43-44 I/98 - I/3 -,385 -,44-3 I/99 - I/4 -, ,456 I/ - I/5 -,26 -,354 -,437 I/ - I/6 -,46 -,22 -,38 mean of correlation -,48 -,97 -,27 standard deviation of correlation,354,38,288 coefficient of variation of correlation -7,42-3,92 -, correlations of property stocks with other asset classes - may

25 correlations with bonds FTSE EPRA/NAREIT Netherlands Total Return Index Bonds Germany Bonds UK Bonds USA - - period Bonds Germany Bonds UK Bonds USA I/9 - I/95,343,24 -,77 I/9 - I/96,256,367,9 I/92 - I/97,45,275,4 I/93 - I/98,245,263, I/94 - I/99 -,92 -,7 -,66 I/95 - I/ -,262 -,38 -,398 I/96 - I/ -,74 -,28 -,456 I/97 - I/2 -,247 -,262 -,495 I/98 - I/3 -,442 -, I/99 - I/4 -,27 -,284 -,429 I/ - I/5 -,24 -,323 -,396 I/ - I/6,4 -,5 -,22 mean of correlation -,84 -,98 -,269 standard deviation of correlation,229,269,28 coefficient of variation of correlation -2,72-2,733 -,8 correlations of property stocks with other asset classes - may

26 correlations of property stocks with other asset classes FTSE EPRA/NAREIT Sweden Total Return Index Bonds Germany Bonds UK Bonds USA - - period Bonds Germany Bonds UK Bonds USA I/9 - I/95,32,38 -,327 I/9 - I/96,59,72 -,28 I/92 - I/97,73,89 -,2 I/93 - I/98,284,25,378 I/94 - I/99,6,32 -, I/95 - I/ -,4,29 -,57 I/96 - I/,5 -,56,67 I/97 - I/2 -,337 -,263 -,328 I/98 - I/ I/99 - I/4-2 -,452-3 I/ - I/5 -,463 -,47-8 I/ - I/6 -,263 -,26 -,44 mean of correlation -,27 -,24 -,239 standard deviation of correlation,279,269,265 coefficient of variation of correlation -2,9-2,65 -,7 26 correlations of property stocks with other asset classes - may

27 correlations with money / treasury bonds 3.3. s with Money / Treasury Bonds 3.3. FTSE EPRA/NAREIT Global Total Return Index Money Germany Money UK - - period Money Germany Money UK I/9 - I/95 -,363 -,432 I/9 - I/96 -,299 -,427 I/92 - I/97 -,266 -,296 I/93 - I/98 -,334 -,39 I/94 - I/99 -,242 -,73 I/95 - I/ -,4 -,24 I/96 - I/ -,265 -,89 I/97 - I/2 -,4 -,87 I/98 - I/3,74 -,99 I/99 - I/4,66,69 I/ - I/5,32,436 I/ - I/6,266,328 mean of correlation -,5 -,5 standard deviation of correlation,258,267 coefficient of variation of correlation -2,237-2,537 correlations of property stocks with other asset classes - may

28 correlations of property stocks with other asset classes FTSE EPRA/NAREIT Europe Total Return Index Money Germany Money UK - - period Money Germany Money UK I/9 - I/95 -,469 -,339 I/9 - I/96 -,425 -,279 I/92 - I/97 -,272 -,7 I/93 - I/98 -,46 -,36 I/94 - I/99,78,25 I/95 - I/ -,26,27 I/96 - I/ -,24,32 I/97 - I/2,5,44 I/98 - I/3,57,93 I/99 - I/4,58,332 I/ - I/5,279,63 I/ - I/6, mean of correlation -,28,87 standard deviation of correlation,253,34 coefficient of variation of correlation -9,66 3, correlations of property stocks with other asset classes - may

29 correlations with money / treasury bonds FTSE EPRA/NAREIT United States Total Return Index Money Germany Money UK - - period Money Germany Money UK I/9 - I/95 -,75 -,49 I/9 - I/96,24 -,48 I/92 - I/97 -,55 -,225 I/93 - I/98,4 -,23 I/94 - I/99 -,,32 I/95 - I/ -,232,245 I/96 - I/ -,5,29 I/97 - I/2,35,4 I/98 - I/3,37,73 I/99 - I/4,59,4 I/ - I/5,26,32 I/ - I/6,5,29 mean of correlation,29,72 standard deviation of correlation,4,254 coefficient of variation of correlation 3,977 3,528 correlations of property stocks with other asset classes - may

30 correlations of property stocks with other asset classes FTSE EPRA/NAREIT Australia Total Return Index Money Germany Money UK - - period Money Germany Money UK I/9 - I/95 -,46 -,23 I/9 - I/96 -,49 -,87 I/92 - I/97 -, -,58 I/93 - I/98 -,22 -,2 I/94 - I/99, -,5 I/95 - I/,37,87 I/96 - I/,87,94 I/97 - I/2,92,76 I/98 - I/3, -,22 I/99 - I/4,225,29 I/ - I/5,69,338 I/ - I/6,9,256 mean of correlation,58,37 standard deviation of correlation,8,62 coefficient of variation of correlation,39 4,432 3 correlations of property stocks with other asset classes - may

31 correlations with money / treasury bonds FTSE EPRA/NAREIT United Kingdom Total Return Index Money Germany Money UK - - period Money Germany Money UK I/9 - I/95 -,424 -,47 I/9 - I/96 -,444 -,45 I/92 - I/97 -,427 -,425 I/93 - I/98 -,365 -,445 I/94 - I/99 -,6,228 I/95 - I/ -,255,84 I/96 - I/ -,23,7 I/97 - I/2,233,68 I/98 - I/3,99,87 I/99 - I/4,84,289 I/ - I/5, I/ - I/6,3 63 mean of correlation -,53,33 standard deviation of correlation,277,364 coefficient of variation of correlation -5,94,85 correlations of property stocks with other asset classes - may

32 correlations of property stocks with other asset classes FTSE EPRA/NAREIT France Total Return Index Money Germany Money UK - - period Money Germany Money UK I/9 - I/95 -,348 -,35 I/9 - I/96 -,272 -,325 I/92 - I/97 -,226 -,238 I/93 - I/98 -,72 -,42 I/94 - I/99,7 -,43 I/95 - I/ -,3 -,46 I/96 - I/ -,6 -,49 I/97 - I/2,4,95 I/98 - I/3,35,38 I/99 - I/4,95,487 I/ - I/5,28 92 I/ - I/6,4 27 mean of correlation -,6,49 standard deviation of correlation,79,348 coefficient of variation of correlation -28,244 7,5 32 correlations of property stocks with other asset classes - may

33 correlations with money / treasury bonds FTSE EPRA/NAREIT Netherlands Total Return Index Money Germany Money UK - - period Money Germany Money UK I/9 - I/ ,362 I/9 - I/96 -,283 -,33 I/92 - I/97 -,73 -,258 I/93 - I/98 -,44 -,375 I/94 - I/99 -,57 -,88 I/95 - I/ -,322 -,52 I/96 - I/ -,324 -,99 I/97 - I/2 -,55 -,44 I/98 - I/3 -,78 -,49 I/99 - I/4 -,27 -,6 I/ - I/5,28,344 I/ - I/6 -,26,39 mean of correlation -,66 -,96 standard deviation of correlation,72,229 coefficient of variation of correlation -,36-2,372 correlations of property stocks with other asset classes - may

34 correlations of property stocks with other asset classes FTSE EPRA/NAREIT Sweden Total Return Index Money Germany Money UK - - period Money Germany Money UK I/9 - I/95 -,26 -,54 I/9 - I/96 -,26 -,2 I/92 - I/97 -,6 -,24 I/93 - I/98,2,4 I/94 - I/99,92,265 I/95 - I/ -,64,236 I/96 - I/,35,296 I/97 - I/2,298,27 I/98 - I/3,249,344 I/99 - I/4,26,444 I/ - I/5,37 76 I/ - I/6,88,48 mean of correlation,9,232 standard deviation of correlation,25,236 coefficient of variation of correlation 2,27,6 34 correlations of property stocks with other asset classes - may

35 correlations with emerging market stocks 3.4. s with Emerging Market Stocks 3.4. FTSE EPRA/NAREIT Global Total Return Index Emerging Markets Europe Emerging Markets Asia Emerging Markets Latin America - - period Emerging Markets Europe Emerging Markets Asia Emerging Markets Latin America I/9 - I/95,39,72 66 I/9 - I/96,45,632,43 I/92 - I/97 25,62,427 I/93 - I/98,47, I/94 - I/99,69,632,674 I/95 - I/ 84,79,8 I/96 - I/ 45,67,787 I/97 - I/2 93,639,833 I/98 - I/3,678,662,824 I/99 - I/4 38,6,756 I/ - I/5,6 23,699 I/ - I/6,683,74,753 mean of correlation 53,647,68 standard deviation of correlation,95,66,5 coefficient of variation of correlation,7,2,22 correlations of property stocks with other asset classes - may

36 correlations of property stocks with other asset classes FTSE EPRA/NAREIT Europe Total Return Index Emerging Markets Europe Emerging Markets Asia Emerging Markets Latin merica - - period Emerging Markets Europe Emerging Markets Asia Emerging Markets Latin America I/9 - I/95,4,479,92 I/9 - I/96,455,37,4 I/92 - I/97 2,27,223 I/93 - I/98 39,378,38 I/94 - I/99 2,278 I/95 - I/,448,49,62 I/96 - I/,354,282,462 I/97 - I/2,45, I/98 - I/3,444,452,65 I/99 - I/4, I/ - I/ ,68 I/ - I/6,68,757,728 mean of correlation,473,426,485 standard deviation of correlation,82,4,9 coefficient of variation of correlation,74,328, correlations of property stocks with other asset classes - may

37 correlations with emerging market stocks FTSE EPRA/NAREIT United States Total Return Index Emerging Markets Europe Emerging Markets Asia Emerging Markets Latin America - - period Emerging Markets Europe Emerging Markets Asia Emerging Markets Latin America I/9 - I/95,8,294,225 I/9 - I/96,6 -,4,99 I/92 - I/97, -,327 -,9 I/93 - I/98,2 -,233,5 I/94 - I/99,385,98,434 I/95 - I/,3,5,45 I/96 - I/,64,5,356 I/97 - I/2,322,47,498 I/98 - I/3,325,342 I/99 - I/4,264,392,469 I/ - I/ ,667 I/ - I/6,62,686,68 mean of correlation,266,58,34 standard deviation of correlation,26,298,257 coefficient of variation of correlation,774,884,753 correlations of property stocks with other asset classes - may

38 correlations of property stocks with other asset classes FTSE EPRA/NAREIT Australia Total Return Index Emerging Markets Europe Emerging Markets Asia Emerging Markets Latin merica - - period Emerging Markets Europe Emerging Markets Asia Emerging Markets Latin America I/9 - I/95 66,356,223 I/9 - I/96 7,33,54 I/92 - I/97 39,42 -, I/93 - I/98,334,4,99 I/94 - I/99,48,3,47 I/95 - I/ -,22,3,33 I/96 - I/ -,23,27,2 I/97 - I/2,78,57,63 I/98 - I/3,9,22,8 I/99 - I/4,87 -,67,52 I/ - I/5,46,279,48 I/ - I/6,49,334,46 mean of correlation,238,93,56 standard deviation of correlation,233,4,37 coefficient of variation of correlation,98 37, correlations of property stocks with other asset classes - may

39 correlations with emerging market stocks FTSE EPRA/NAREIT United Kingdom Total Return Index Emerging Markets Europe Emerging Markets Asia Emerging Markets Latin America - - period Emerging Markets Europe Emerging Markets Asia Emerging Markets Latin America I/9 - I/95,25,372, I/9 - I/96,428,23 -,65 I/92 - I/97 39,33 -,95 I/93 - I/98,64,48,5 I/94 - I/99,365,42,9 I/95 - I/,85,96,85 I/96 - I/ -,37 -,93,54 I/97 - I/2,27 -,2,2 I/98 - I/3,9,22,36 I/99 - I/4,288,372,47 I/ - I/5,464, I/ - I/6 57,732,67 mean of correlation,288,28,233 standard deviation of correlation,229,228,244 coefficient of variation of correlation,793,82,46 correlations of property stocks with other asset classes - may

40 correlations of property stocks with other asset classes FTSE EPRA/NAREIT France Total Return Index Emerging Markets Europe Emerging Markets Asia Emerging Markets Latin merica - - period Emerging Markets Europe Emerging Markets Asia Emerging Markets Latin America I/9 - I/95,36,39,232 I/9 - I/96,224,28,24 I/92 - I/97,354,3,284 I/93 - I/98,46,33,265 I/94 - I/99,254,79,52 I/95 - I/,96,328,26 I/96 - I/,97,259,66 I/97 - I/2,29,39,25 I/98 - I/3,326,33,348 I/99 - I/4,42,464,447 I/ - I/5 58 4,6 I/ - I/6,63,65,648 mean of correlation,342,359,38 standard deviation of correlation,45,32,85 coefficient of variation of correlation,423, correlations of property stocks with other asset classes - may

41 correlations with emerging market stocks FTSE EPRA/NAREIT Netherlands Total Return Index Emerging Markets Europe Emerging Markets Asia Emerging Markets Latin America - - period Emerging Markets Europe Emerging Markets Asia Emerging Markets Latin America I/9 - I/95,467,467,237 I/9 - I/96,485,48,32 I/92 - I/97,467,373,368 I/93 - I/98,462,485 4 I/94 - I/99 38,399 7 I/95 - I/ 23 42,743 I/96 - I/,36,42 54 I/97 - I/2,333,429 6 I/98 - I/3,36,454 2 I/99 - I/4,254,475,476 I/ - I/5,4,49 6 I/ - I/6, mean of correlation,427,466 5 standard deviation of correlation,95,6,8 coefficient of variation of correlation,223,3,234 correlations of property stocks with other asset classes - may

42 correlations of property stocks with other asset classes FTSE EPRA/NAREIT Sweden Total Return Index Emerging Markets Europe Emerging Markets Asia Emerging Markets Latin merica - - period Emerging Markets Europe Emerging Markets Asia Emerging Markets Latin America I/9 - I/95,92,58,22 I/9 - I/96,,33,56 I/92 - I/97,2 -,53,249 I/93 - I/98 -,4 -,72,7 I/94 - I/99 -,38 -,8,275 I/95 - I/,9,57,472 I/96 - I/,69,43,3 I/97 - I/2,44,262 7 I/98 - I/3,49,34,636 I/99 - I/4 3,465,643 I/ - I/5 55 4,72 I/ - I/6,474,679,63 mean of correlation,239,88,42 standard deviation of correlation,24,275,27 coefficient of variation of correlation,7, correlations of property stocks with other asset classes - may

43 correlations with direct real estate 3.5. s with Direct Real Estate 3.5. FTSE EPRA/NAREIT Global Total Return Index NPI - - period NPI I/9 - I/95 -,8 I/9 - I/96,2 I/92 - I/97 -,8 I/93 - I/98-8 I/94 - I/99 -,93 I/95 - I/ -,43 I/96 - I/ -22 I/97 - I/2 -,274 I/98 - I/3,3 I/99 - I/4,25 I/ - I/5,247 I/ - I/6 mean of correlation -,96 standard deviation of correlation,3 coefficient of variation of correlation -3,47 correlations of property stocks with other asset classes - may

44 correlations of property stocks with other asset classes FTSE EPRA/NAREIT Europe Total Return Index NPI - - period NPI I/9 - I/95,2 I/9 - I/96,24 I/92 - I/97,57 I/93 - I/98 -,34 I/94 - I/99,33 I/95 - I/ -,55 I/96 - I/ -,238 I/97 - I/2,5 I/98 - I/3,64 I/99 - I/4,8 I/ - I/5,349 I/ - I/6 mean of correlation,63 standard deviation of correlation,2 coefficient of variation of correlation 3,7 44 correlations of property stocks with other asset classes - may

45 correlations with direct real estate FTSE EPRA/NAREIT United States Total Return Index NPI - - period NPI I/9 - I/95 -,364 I/9 - I/96 -,283 I/92 - I/97, I/93 - I/98,238 I/94 - I/99 -,28 I/95 - I/ -,323 I/96 - I/ -,26 I/97 - I/2 -, I/98 - I/3 -,52 I/99 - I/4,8 I/ - I/5,328 I/ - I/6 mean of correlation -,52 standard deviation of correlation,259 coefficient of variation of correlation -4,997 correlations of property stocks with other asset classes - may

46 correlations of property stocks with other asset classes FTSE EPRA/NAREIT Australia Total Return Index NPI - - period NPI I/9 - I/95 -,346 I/9 - I/96 -,32 I/92 - I/97,4 I/93 - I/98 -,36 I/94 - I/99,294 I/95 - I/,5 I/96 - I/,89 I/97 - I/2,94 I/98 - I/3,264 I/99 - I/4,9 I/ - I/5,475 I/ - I/6 mean of correlation, standard deviation of correlation,248 coefficient of variation of correlation 2, correlations of property stocks with other asset classes - may

47 correlations with direct real estate FTSE EPRA/NAREIT United Kingdom Total Return Index NPI - - period NPI I/9 - I/95 -,64 I/9 - I/96,33 I/92 - I/97 -,6 I/93 - I/98 -,363 I/94 - I/99 -,9 I/95 - I/ -,284 I/96 - I/ -,69 I/97 - I/2,28 I/98 - I/3 -,8 I/99 - I/4,9 I/ - I/5,429 I/ - I/6 mean of correlation,2 standard deviation of correlation,248 coefficient of variation of correlation 5,73 correlations of property stocks with other asset classes - may

48 correlations of property stocks with other asset classes FTSE EPRA/NAREIT France Total Return Index NPI - - period NPI I/9 - I/95,77 I/9 - I/96, I/92 - I/97 -,49 I/93 - I/98 -,326 I/94 - I/99,37 I/95 - I/,73 I/96 - I/,97 I/97 - I/2,89 I/98 - I/3,262 I/99 - I/4,74 I/ - I/5,326 I/ - I/6 mean of correlation,4 standard deviation of correlation,4 coefficient of variation of correlation, correlations of property stocks with other asset classes - may

49 correlations with direct real estate FTSE EPRA/NAREIT Netherlands Total Return Index NPI - - period NPI I/9 - I/95 -,8 I/9 - I/96 -,96 I/92 - I/97,2 I/93 - I/98 -,226 I/94 - I/99,73 I/95 - I/ -,9 I/96 - I/ -,297 I/97 - I/2 -,4 I/98 - I/3 -,54 I/99 - I/4,4 I/ - I/5,239 I/ - I/6 mean of correlation -,25 standard deviation of correlation,7 coefficient of variation of correlation -6,897 correlations of property stocks with other asset classes - may

50 correlations of property stocks with other asset classes FTSE EPRA/NAREIT Sweden Total Return Index NPI - - period NPI I/9 - I/95,77 I/9 - I/96,233 I/92 - I/97,9 I/93 - I/98 -,44 I/94 - I/99,3 I/95 - I/ -,94 I/96 - I/ -,76 I/97 - I/2 -,77 I/98 - I/3,9 I/99 - I/4,67 I/ - I/5,292 I/ - I/6 mean of correlation,47 standard deviation of correlation,72 coefficient of variation of correlation 3,684 5 correlations of property stocks with other asset classes - may

51 correlations with private equity and venture capital 3.6. s with Private Equity and Venture Capital 3.6. FTSE EPRA/NAREIT Global Total Return Index Private Equity Venture Capital USA Venture Capital Europe - - period Private Equity Venture Capital USA Venture Capital Europe I/9 - I/95,343 I/9 - I/96,89 I/92 - I/97,4 I/93 - I/98,38,28,29 I/94 - I/99,36,754 7 I/95 - I/,328,488,668 I/96 - I/,32,453,649 I/97 - I/2,277, I/98 - I/3,37,478,67 I/99 - I/4,372,495,63 I/ - I/5 I/ - I/6 mean of correlation,332, standard deviation of correlation,72,83,4 coefficient of variation of correlation,27,46,25 correlations of property stocks with other asset classes - may

52 correlations of property stocks with other asset classes FTSE EPRA/NAREIT Europe Total Return Index Private Equity Venture Capital USA Venture Capital Europe - - period Private Equity Venture Capital USA Venture Capital Europe I/9 - I/95,38 I/9 - I/96,84 I/92 - I/97,76 I/93 - I/98 -,24,2 -,278 I/94 - I/99,25 39,266 I/95 - I/,67,45,287 I/96 - I/,37,53,479 I/97 - I/2,7,8,486 I/98 - I/3,27,68,444 I/99 - I/4,54,27,377 I/ - I/5 I/ - I/6 mean of correlation,49,84,33 standard deviation of correlation,9,62,236 coefficient of variation of correlation,6,88, correlations of property stocks with other asset classes - may

53 correlations with private equity and venture capital FTSE EPRA/NAREIT United States Total Return Index Private Equity Venture Capital USA Venture Capital Europe - - period Private Equity Venture Capital USA Venture Capital Europe I/9 - I/95,424 I/9 - I/96, I/92 - I/97,8 I/93 - I/98 -,354,2 -,62 I/94 - I/99, I/95 - I/,86,7,379 I/96 - I/,4 -,7,327 I/97 - I/2,48,5,28 I/98 - I/3 -,8,32,279 I/99 - I/4 -,38 -,34,76 I/ - I/5 I/ - I/6 mean of correlation,2,26,283 standard deviation of correlation,87,85,58 coefficient of variation of correlation 9,5, correlations of property stocks with other asset classes - may

54 correlations of property stocks with other asset classes FTSE EPRA/NAREIT Australia Total Return Index Private Equity Venture Capital USA Venture Capital Europe - - period Private Equity Venture Capital USA Venture Capital Europe I/9 - I/95,26 I/9 - I/96,3 I/92 - I/97,48 I/93 - I/98 -,,475,3 I/94 - I/99 -,29 5,227 I/95 - I/ -,2 -,7, I/96 - I/ -,56 -,,93 I/97 - I/2 -,4,93,46 I/98 - I/3 -,5,75,94 I/99 - I/4,74,85, I/ - I/5 I/ - I/6 mean of correlation -,36,7,25 standard deviation of correlation,3,86,75 coefficient of variation of correlation -3,49,94,6 54 correlations of property stocks with other asset classes - may

55 correlations with private equity and venture capital FTSE EPRA/NAREIT United Kingdom Total Return Index Private Equity Venture Capital USA Venture Capital Europe - - period Private Equity Venture Capital USA Venture Capital Europe I/9 - I/95,227 I/9 - I/96,7 I/92 - I/97 -,45 I/93 - I/98,75 -,7 -,249 I/94 - I/99,33,367,347 I/95 - I/,8 -,23,225 I/96 - I/,54 -,286,287 I/97 - I/2 -,5 -,34,36 I/98 - I/3 -,39 -,4,282 I/99 - I/4 -,3 -,96,27 I/ - I/5 I/ - I/6 mean of correlation,88 -,2,23 standard deviation of correlation,72,25,97 coefficient of variation of correlation,943 -,23,852 correlations of property stocks with other asset classes - may

56 correlations of property stocks with other asset classes FTSE EPRA/NAREIT France Total Return Index Private Equity Venture Capital USA Venture Capital USA - - period Private Equity Venture Capital USA Venture Capital USA I/9 - I/95,49 I/9 - I/96,279 I/92 - I/97,253 I/93 - I/98 -,82 -,48 -,427 I/94 - I/99 -,4,246 -,238 I/95 - I/ -,27 -,56 -,255 I/96 - I/ -,64 -,83 -,3 I/97 - I/2 -,,47,9 I/98 - I/3,86,6,34 I/99 - I/4,,28,37 I/ - I/5 I/ - I/6 mean of correlation -,69,99 -,67 standard deviation of correlation,3,63,28 coefficient of variation of correlation -,63,644-3, correlations of property stocks with other asset classes - may

57 correlations with private equity and venture capital FTSE EPRA/NAREIT Netherlands Total Return Index Private Equity Venture Capital USA Venture Capital Europe - - period Private Equity Venture Capital USA Venture Capital Europe I/9 - I/95,359 I/9 - I/96,53 I/92 - I/97,5 I/93 - I/98 -,3,22 -,69 I/94 - I/99 -,,397,37 I/95 - I/ -,8,56,239 I/96 - I/ -,55,6,243 I/97 - I/2 -,96,8,237 I/98 - I/3,3,44,92 I/99 - I/4 -,9 -,2,7 I/ - I/5 I/ - I/6 mean of correlation -,8,2,48 standard deviation of correlation,98,36,38 coefficient of variation of correlation -,28,29,934 correlations of property stocks with other asset classes - may

58 correlations of property stocks with other asset classes FTSE EPRA/NAREIT Sweden Total Return Index Private Equity Venture Capital USA Venture Capital Europe - - period Private Equity Venture Capital USA Venture Capital Europe I/9 - I/95,453 I/9 - I/96,386 I/92 - I/97,345 I/93 - I/98 -,229,74 -,42 I/94 - I/99,34,43,377 I/95 - I/ 8,34 I/96 - I/,45, I/97 - I/2,45,4 78 I/98 - I/3,44,34,453 I/99 - I/4,349,276,49 I/ - I/5 I/ - I/6 mean of correlation,37,33,44 standard deviation of correlation,262,8,247 coefficient of variation of correlation,827,246,62 58 correlations of property stocks with other asset classes - may

59 correlations with private equity and buy outs & mezzanine 3.7. s with Private Equity and Buy Outs & Mezzanine 3.7. FTSE EPRA/NAREIT Global Total Return Index Private Equity Buyouts & Mezzanine USA Buyouts & Mezzanine Europe - - period Private Equity Buyouts & Mezzanine USA I/9 - I/95,493 I/9 - I/96,479 I/92 - I/97 76 Buyouts & Mezzanine Europe I/93 - I/98,38,329,259 I/94 - I/99,36 79, I/95 - I/,328 8, I/96 - I/,32,434,57 I/97 - I/2,277,424 -,2 I/98 - I/3,37 8,28 I/99 - I/4,372 46,6 I/ - I/5 I/ - I/6 mean of correlation,332,496,9 standard deviation of correlation,72,83,38 coefficient of variation of correlation,27,67,537 correlations of property stocks with other asset classes - may

60 correlations of property stocks with other asset classes FTSE EPRA/NAREIT Europe Total Return Index Private Equity Buyouts & Mezzanine USA Buyouts & Mezzanine Europe - - period Private Equity Buyouts & Mezzanine USA I/9 - I/95,459 I/9 - I/96,48 I/92 - I/97,489 Buyouts & Mezzanine Europe I/93 - I/98 -,24,258 -,2 I/94 - I/99,25,62,59 I/95 - I/,67,494, I/96 - I/,37,3 -,29 I/97 - I/2,7,37 -,39 I/98 - I/3,27,47 -,33 I/99 - I/4,54,462 -,3 I/ - I/5 I/ - I/6 mean of correlation,49,422 -,2 standard deviation of correlation,9,99,99 coefficient of variation of correlation,6,234-4,925 6 correlations of property stocks with other asset classes - may

61 correlations with private equity and buy outs & mezzanine FTSE EPRA/NAREIT United States Total Return Index Private Equity Buyouts & Mezzanine USA Buyouts & Mezzanine Europe - - period Private Equity Buyouts & Mezzanine USA I/9 - I/95,66 I/9 - I/96 -,7 I/92 - I/97,23 Buyouts & Mezzanine Europe I/93 - I/98 -,354,299 -,44 I/94 - I/99,352 4,68 I/95 - I/,86 54, I/96 - I/,4,275 -,2 I/97 - I/2,48,9 -,9 I/98 - I/3 -,8,22 -,222 I/99 - I/4 -,38,3 -,394 I/ - I/5 I/ - I/6 mean of correlation,2,257 -,53 standard deviation of correlation,87,93,98 coefficient of variation of correlation 9,5,75 -,296 correlations of property stocks with other asset classes - may

62 correlations of property stocks with other asset classes FTSE EPRA/NAREIT Australia Total Return Index Private Equity Buyouts & Mezzanine USA Buyouts & Mezzanine Europe - - period Private Equity Buyouts & Mezzanine USA I/9 - I/95,43 I/9 - I/96,423 I/92 - I/97,472 Buyouts & Mezzanine Europe I/93 - I/98 -,,389 -,69 I/94 - I/99 -,29,265 -,4 I/95 - I/ -,2,32, I/96 - I/ -,56,44 -,237 I/97 - I/2 -,4,22 -,32 I/98 - I/3 -,5,23 -,34 I/99 - I/4,74,22 -, I/ - I/5 I/ - I/6 mean of correlation -,36,285 -,35 standard deviation of correlation,3,29,5 coefficient of variation of correlation -3,49,452 -, correlations of property stocks with other asset classes - may

63 correlations with private equity and buy outs & mezzanine FTSE EPRA/NAREIT United Kingdom Total Return Index Private Equity Buyouts & Mezzanine USA Buyouts & Mezzanine Europe - - period Private Equity Buyouts & Mezzanine USA I/9 - I/95,242 I/9 - I/96,37 I/92 - I/97,259 Buyouts & Mezzanine Europe I/93 - I/98,75,2,89 I/94 - I/99,33,3,23 I/95 - I/,8,4, I/96 - I/,54 -,274,89 I/97 - I/2 -,5 -,9 -,33 I/98 - I/3 -,39,43 -,69 I/99 - I/4 -,3,284 -,64 I/ - I/5 I/ - I/6 mean of correlation,88,2,24 standard deviation of correlation,72,25,86 coefficient of variation of correlation,943,7 7,69 correlations of property stocks with other asset classes - may