Current Prices
As of 09/19/2017


Index Price Daily Δ QTD Δ YTD Δ
Retail $256.82 / Sqft -0.87% 1.46% -7.39%
Residential $271,378 / Unit -0.21% 3.32% 8.36%
Office $487.10 / Sqft -0.20% -1.32% 2.70%
Hospitality $376,407 / Key -0.25% -0.18% 0.56%
Composite 339.46 Index -0.45% 1.34% 0.45%
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About


 

The Advanced Fundamentals CRE Indexes measure real time changes in total returns across multiple sectors of the commercial real estate market.

      Residential       ◊       Office       ◊       Retail       ◊       Hospitality       ◊       Composite      

Indexes are priced using real-time public market data that aggregates over $600 billion in property values, measuring unlevered returns in commodity pricing such as $/Sqft, $/Key, and $/Unit to support hedging, benchmarking, and portfolio allocation strategies for both public and private real estate investors.

The Advanced Fundamentals Composite Index has a correlation of over 94% to the most-widely accepted private market index, NCREIF Property Index (NPI), with 12 months lead time.

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Highlights


  • Aggregates $600+ billion in property values
  • Unlevered returns
  • Commodity pricing in $/Sqft, $/Key, and $/Unit
  • Real Time Valuation
  • Benchmark for all (public & private) real estate investors
  • High correlations to private market indexes with lead time

Structured Products


 

Funds

 

Using the Advanced Fundamentals index methodology, investors can realize unlevered based returns comparable to NPI typically available through private market real estate, yet with the timing, transparency, and liquidity that public market securities funds offer.

Further, investors will be able to control their sector allocation and leverage approach, providing customizable alpha strategies.

Derivatives

 

The Advanced Fundamental CRE Indexes will enable the trading of real estate derivatives in the form of swaps, futures, and options.

While most asset classes (equities, fixed income, commodities) have derivatives markets that dwarf the underlying markets, the real estate derivatives market in the United States is almost nonexistent. The reason for this is simply that a true, real-time valuation measurement index to provide the transparency and correlations required for widespread use and adoption did not exist until now.

With the introduction of the Advanced Fundamentals structured products, the real estate derivatives market could quickly grow to a notional value in the trillions of dollars.

Index Correlations


Annualized Return

Year AF Comp NPI ODCE
2006 21.9% 16.6% 16.3%
2007 -9.3% 15.8% 16.0%
2008 -17.7% -6.5% -10.0%
2009 11.3% -16.9% -29.8%
2010 16.4% 13.1% 16.4%
2011 7.0% 14.3% 16.0%
2012 18.1% 10.5% 10.9%
2013 7.7% 11.0% 13.9%
2014 21.9% 11.8% 12.5%
2015 8.4% 13.3% 15.0%
2016 5.1% 8.0% 8.8%
Correlation 0.301 0.260
Leading Correlation 0.943 0.930

Index Return

Year AF Comp NPI ODCE
2006 121.85 116.59 116.32
2007 110.57 135.05 134.89
2008 91.00 126.33 121.40
2009 101.28 105.03 85.27
2010 117.93 118.80 99.22
2011 126.17 135.74 115.08
2012 148.99 150.06 127.68
2013 160.41 166.54 145.48
2014 195.62 186.21 163.65
2015 211.98 211.02 188.21
2016 223.76 227.84 204.72
Correlation 0.963 0.919
Leading Correlation 0.996 0.979
  • Leading Correlation = 12 month lead period: ie. 2006 AF Composite vs 2007 NCREIF returns
  • Source: NCREIF Based on quarterly returns over last 30 years, all property types
  • NPI = NCREIF Property Index
  • ODCE = NCREIF Fund Index- Open End Diversified Core

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