不動産市場の国際ポートフォリオ

Global Property Investment Return
Reitaku-University
国際不動産投資のリターンを理解する
-Understanding Global Property Investment Return-
清水千弘(Chihiro SHIMIZU)
麗澤大学経済学部・ブリティッシュコロンビア大学経済学部 教授
Chihiro SHIMIZU [email protected]
page. 1
Global Property Investment Return
Reitaku-University
1. 不動産投資リターンを理解する
Chihiro SHIMIZU [email protected]
page. 2
Global Property Investment Return
Reitaku-University
不動産投資リターンと不動産投資インデックス
IPD Total Return Definition
NCREIF Total Return Definition
Total return - This is the sum of capital appreciation and net
operating income in a single period expressed as a percentage of
capital employed, with income reinvested.
Total return - This is the sum of capital appreciation and net
operating income in a single period expressed as a percentage of
capital employed, with income reinvested.
With respect to a single month total return is defined as:
With respect to a single quarter total return is defined as:
(MVt  MV(t  1)  Pt  St  Ct  NIt)
TRt 
(MV(t  1)  Pt  12 Ct  12 NIt)
TRt 
(MVt  MV(t  1)  St Ct  NIt)
(MV(t  1)  12 Ct  12 St  13 NIt)
Where:
TRt is the total return in month t;
Where:
TRt is the total return in quarter t;
MVt is the market value at the end of month t;
MVt is the market value at the end of quarter t;
Pt is the gross purchase cost of whole property purchases;
St is the net sale receipts from whole property sales during the
month and any other partial sales;
St is the net sale receipts from whole property sales during the
quarter and any other partial sales;
Ct is the net value of all other capital expenditure less receipts
during the month, after excluding any flows greater than 20% of
the start month value of the asset; and
Ct is the net value of all other capital expenditure less receipts
during the month, after excluding any flows greater than 20% of
the start month value of the asset; and
NIt is the net operating income during the month, taken as the
quarter amount divided by 3
NIt is the net operating income during the quarter
Chihiro SHIMIZU2008 [email protected]
page. 3
Global Property Investment Return
Reitaku-University
IPDインデックスのリターン
Investment Property Databank in Japan
Japan databank
Index data started
IPD databank capital value
(million)
Feb 2013
2002
JPY9,900,571
Market total return
4.1%
Number of properties
2,425
IPD coverage
Number of funds
データバンクは規模を順調に拡大し、資産価値
10兆円弱・物件数2425棟にまで拡大。
市場カバレッジも13.7%となり、日本不動産投資
市場の動向捕捉に十分なサンプル数となった。
13.7%*
50
日本の不動産投資リターン（全不動産）- 年次（各月時点）
日本の不動産投資ﾄｰﾀﾙ・ﾘﾀｰﾝ（ｾｸﾀｰ別）-
年次（各月時点）
25
16
12
20
8
15
4
10
0
5
-4
-8
-12
-16
Total Return
Income Return
Capital Return
12-02 12-03 12-04 12-05 12-06 12-07 12-08 12-09 12-10 12-11 12-12
0
-5
-10
Retail
Office
Residential
Industrial
12-02 12-03 12-04 12-05 12-06 12-07 12-08 12-09 12-10 12-11 12-12
Market analysed annually and monthly, in local currencies. *as of end 2012
page. 4
Global Property Investment Return
Reitaku-University
日本不動産市場の動向
Latest Results of Japan Property Market
不動産市場の国際比較：年次ｷｬﾋﾟﾀﾙ・ﾘﾀｰﾝ（各月時点）
21
世界における日本不動産は、リターンは低いが変
動も少ない。
14
7
不動産株式が大きくパフォーマンスを伸ばしたが、
不動産はほんのわずかに改善を見せている状態
0
-7
-14
-21
-28
US
Australia
UK
Japan
住宅がいまだパフォーマンスが良く、オフィスはい
まだに優れない。
-35
12-03 12-04 12-05 12-06 12-07 12-08 12-09 12-10 12-11 12-12
ﾍﾞｽﾄ＆ﾜｰｽﾄ ｻﾌﾞ・ﾏｰｹｯﾄ - 全市場平均との差
不動産と他の資産 - 年次ﾘﾀｰﾝ（各月時点）
120
100
80
60
40
20
0
-20
-40
-60
-80
12-05
Osaka Residential
Rest of Japan Residential
Other
Offices - Tokyo 5 wards
Offices - Rest of Tokyo
Bonds
12-06
Equities
12-07
12-08
RE Equities
12-09
12-10
Real Estate
12-11
12-12
Osaka Offices
-8.0 -6.0 -4.0 -2.0
0.0
2.0
4.0
6.0
page. 5
Global Property Investment Return
Reitaku-University
IPDベンチマーク分析
洗練された英国不動産市場で培われた透明性向上・リスク管理支援ツール
アウトパフォーマンスはどう達成されたのか？再現性はあるのか？
様々な観点からベンチマークとの比較分析を行う：
・セクター／セグメント
・投資行動（保有・売却・購入・開発など）
・アロケーション、物件選択のスキル
・個別不動産
・ファンド・レベル（借入金、現金、その他資産、ポートフォリオコスト等）
・リスク（トラッキング・エラー）
・築年数、資産規模、など
相対リターン
3%
ベンチマー
ク
5%
分析対象
ファンド
8%
page. 6
CRE : Corporate Real Estate
Reitaku-University
38
IPDは
回、 British Land（英国リート）の年次レポート2010
で引用されています。
P13, 17, 18, 19, 21, 36, 37, 42, 49, 50, 51, 59, 71, 73, 74, 75, 76, 130
page.
CRE : Corporate Real Estate
Reitaku-University
主要目標：IPDベンチマークをアウトパフォームする
page. 8
Global Property Investment Return
Reitaku-University
不動産ファンドにおける２つのリターン
投資口リターンとファンドリターン
18
16
14
12
17.80
投
資
口
変
動
投資口リターン
13.90
ファンド・リターン
＝ ファンダメンタルズ
10
8
6
 投資口価格の変動
（キャピタル・リターン）
 分配金（インカム・リターン）
不動産投資リターン
不動産価格の変動
（キャピタル・リターン）
賃貸純収益（インカム・リターン）
借入金
現金
その他投資資産
ファンド運用費用報酬
分
配
金
4
2
0
投資口
リターン
ファンド
リターン
page. 9
Global Property Investment Return
Reitaku-University
不動産ファンドにおける２つのリターン
投資口リターンとファンドリターン
18
16
14
12
17.80
投
資
口
変
動
13.90
10.90
→
要
因
分
解
10
8
6
分
配
金
4
2
0
投資口
リターン
ファンド
リターン
16.20
ファンド
リターン
10.85
レ
バ
レ
ッ
ジ
13.90
14.78
13.90
価
値
変
動
不動産がファンドのパ
フォーマンスを大きく
左右
賃
貸
収
入
不動産 その他の 借入金
資産
現金
費用
報酬
page. 10
Global Property Investment Return
Reitaku-University
不動産ファンドにおける２つのリターン
投資口リターンとファンドリターン
18
16
14
12
17.80
投
資
口
変
動
期待・
センチメント等
相
関
は
あ
る
の
か
？
10
8
6
Ｊリートのデータで検証
13.90
分
配
金
4
2
リートは不動産を原資とした投資商品
純収益の90%を分配
•不動産キャッシュフローを基礎とした分配金
流動性
取引額
取引コスト
不動産
低い
大口
高い
リート
高い
小口
低い
0
投資口
リターン
ファンド
リターン
page. 11
Global Property Investment Return
Reitaku-University
Jリート全体：投資口リターンとファンド・レベル・リターン
JREIT overall: Stock-market return vs. Vehicle Return, Rolling Returns
3YR
3YR Direct Property Return
150.00
3YR Fund Level Return
100.00
3YR SMTRI JREIT TR
3YR SMTRI JREIT
50.00
0.00
‐50.00
Jun‐12
Dec‐11
Mar‐12
Jun‐11
Sep‐11
Dec‐10
Mar‐11
Jun‐10
Sep‐10
Dec‐09
Mar‐10
Jun‐09
Sep‐09
Dec‐08
Mar‐09
Jun‐08
Sep‐08
Dec‐07
Mar‐08
Jun‐07
Sep‐07
Mar‐07
Sep‐06
Dec‐06
‐100.00
Direct Correlation
Property
Direct Property
1
Fund Level
1.000
SMTRI JREIT TR
0.583
SMTRI JREIT Price
0.622
Fund Level
SMTRI JREIT SMTRI JREIT TR Price
1
0.596
1
0.635
0.998
1
4YR
250.00
4YR Direct Property Return
200.00
4YR Fund Level Return
Correlation
Direct Property
SMTRI JREIT Fund Level SMTRI JREIT TR
Price
保有期間を延ばすと相関がみえる
Direct 4YR SMTRI JREIT TR
150.00
4YR SMTRI JREIT
100.00
50.00
0.00
‐50.00
Sep‐12
300.00
5YR Direct Property Return
250.00
5YR Fund Level Return
200.00
5YR SMTRI JREIT TR
150.00
5YR SMTRI JREIT
Dec‐12
Jun‐12
Mar‐12
Sep‐11
Dec‐11
Jun‐11
Mar‐11
Sep‐10
Dec‐10
Jun‐10
Mar‐10
Dec‐09
Jun‐09
Sep‐09
Dec‐08
Mar‐09
Jun‐08
Sep‐08
Dec‐07
Mar‐08
Sep‐07
Jun‐07
Mar‐07
Sep‐06
Dec‐06
‐100.00
50.00
0.00
‐50.00
Jun‐12
Mar‐12
Dec‐11
Sep‐11
Jun‐11
Dec‐10
Mar‐11
Sep‐10
Jun‐10
Mar‐10
Dec‐09
Sep‐09
Jun‐09
Mar‐09
Sep‐08
Dec‐08
Jun‐08
Mar‐08
Sep‐07
Dec‐07
Jun‐07
Dec‐06
‐100.00
Mar‐07
1
0.999
0.643
1
0.658
1
0.661
0.676
1.000
1
5YR
100.00
Sep‐06
Property
Fund Level
SMTRI JREIT TR
SMTRI JREIT Price
Correlation
Direct Property
Fund Level
SMTRI JREIT TR
SMTRI JREIT Price
Direct Property
Fund Level
SMTRI JREIT SMTRI JREIT TR Price
1
0.998
0.654
1
0.669
1
0.669
0.684
1.000
1
page. 12
Global Property Investment Return
Reitaku-University
不動産ファンドにおける２つのリターン
投資口リターンとファンドリターン
18
16
14
12
17.80
投
資
口
変
動
13.90
•
リートや上場不動産会社においては投資口リターンとファンド・
リターンの両方が比較的入手しやすい環境
•
しかし、私募ファンドでは利用可能な情報が限られていた
•
情報の透明性に関するアセットオーナーからの強い要請（特に
、リーマン・ショック以降）
10
8
6
分
配
金
4
グローバル・ファンド・インデックスの組成
2
0
投資口
リターン
ファンド
リターン
（NAVリターン）
page. 13
Global Property Investment Return
Reitaku-University
ファンド・リターンのベンチマーク分析
Benchmarking Fund Level Performance
ベンチマーク
25
20
ファンド
Potfrolio Cost&Fee Inclusion
25
Potfrolio Cost&Fee
Inclusion
Cash Inclusion
Cash Inclusion
Debt Inclusion
20
Debt Inclusion
Other Asset Inclusion
15
Direct Property Total Return
Other Asset Inclusion
15
Direct Property Total
Return
Fund Level Return
Fund Level Return
10
10
5
5
0
0
‐5
‐5
‐10
‐10
‐15
May‐12
Dec‐11
Jul‐11
Feb‐11
Sep‐10
Apr‐10
Nov‐09
Jun‐09
Jan‐09
Aug‐08
Mar‐08
Oct‐07
May‐07
Dec‐06
Jul‐06
Feb‐06
Sep‐05
Apr‐05
Sep‐02
Mar‐03
Sep‐03
Mar‐04
Sep‐04
Mar‐05
Sep‐05
Mar‐06
Sep‐06
Mar‐07
Sep‐07
Mar‐08
Sep‐08
Mar‐09
Sep‐09
Mar‐10
Sep‐10
Mar‐11
Sep‐11
Mar‐12
Sep‐12
Nov‐04
‐15
‐20
page. 14
Global Property Investment Return
Reitaku-University
ベンチマーク分析
ファンドとベンチマークを対比して考える
14
Potfrolio Cost&Fee Inclusion
Cash Inclusion
12
Debt Inclusion
10
Other Asset Inclusion
Direct Property Total Return
8
Fund Level Return
6
4
2
0
‐2
‐4
May‐12
Feb‐12
Nov‐11
Aug‐11
May‐11
Feb‐11
Nov‐10
Aug‐10
May‐10
Feb‐10
Nov‐09
Aug‐09
May‐09
Feb‐09
Nov‐08
Aug‐08
May‐08
Feb‐08
Nov‐07
Aug‐07
May‐07
Feb‐07
Nov‐06
Aug‐06
May‐06
Feb‐06
Nov‐05
Aug‐05
May‐05
Feb‐05
Nov‐04
‐6
page. 15
Global Property Investment Return
Reitaku-University
まとめ
 マルチ・アセットポートフォリオにおける不動産投資
– 不動産（投資）は「特別」？
 不動産ファンド運用の透明性向上
– 様々レベルにおけるベンチマーキングを活用して、投資パフォーマンスの分
析を行い、投資家とのコミュニケーションを高める。
 グローバル・ファンド・インデックスの構築
– グローバルに比較可能：アジア・日本における展開
page. 16
Global Property Investment Return
Reitaku-University
2. グローバル不動産投資のリターンを理解する
page. 17
Global Property Investment Return
Reitaku-University
… but IPD has amassed data
on assets in a further seven
Asia Pacific markets,
and is worth in total
US$ 418 billion
Australia and
New Zealand are
not included in PARI
page. 18
Global Property Investment Return
Reitaku-University
IPD’s Global Index began in 2000
Total return by market, %pa
50
Average of Extant Indices
IPD Global Index (since 2000)
40
30
20
10
0
-10
-20
-30
1985
1988
1991
1994
1997
2000
2003
2006
2009
2012
page. 19
la
Po nd
rtu
ga
Sp l
ai
n
J
N
a
et pa
he n
r la
nd
s
I
t
De al
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Be ark
lg
Hu ium
n
G gar
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m
a
Fi ny
nl
a
Au nd
st
ria
N
N
o
ew rw
Z ay
Sw eal
itz and
er
la
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nd
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h
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pu
b
Fr lic
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re
Po a
la
Sw nd
e
Au den
So s
ut tral
h
i
Af a
ric
a
U
C SA
an
ad
a
Ire
Global Property Investment Return
15
Reitaku-University
Markets in IPD’s Global Property Index
Total Return by Market, %pa
18
Year to December 2011
Year to December 2012
12
9
6
3
0
-3
-6
page. 20
Sp
Hu ain
ng
Po ary
Ne rtu
th ga
er l
la
nd
s
It a
Ire ly
la
nd
Be UK
lg
iu
m
Ja
De pan
nm
G ar
er k
m
a
C
ze N ny
ch orw
Re ay
Fi pu
nl bl
an ic
d
K
Au TI
st
r
Fr ia
an
c
Po e
la
Sw nd
Sw ed
itz en
er
la
n
N K d
ew or
Ze ea
a
Au lan
st d
ra
l ia
U
C SA
So an
ut ad
h
Af a
ric
a
Global Property Investment Return
12
9
Reitaku-University
Markets in IPD’s Global Property Index, 2012
Total Return, Income Return and Capital Return, %pa
18
15
Total Return
Income Return
Capital Return
6
3
0
-3
-6
-9
page. 21
Sp
Hu ain
ng
a
Ire ry
l
Po an d
rtu
ga
Ne I l
th taly
er
la
nd
s
Cz
U
ec Bel K
h giu
Re m
pu
b
Ja lic
p
No a n
De rw a
n y
G ma r
er k
m
a
Po ny
Fi
n l lan
Ne a nd d
w K
Ze TI
al
a
Fr nd
an
Au ce
s
Sw tria
ed
e
Ko n
Au re a
Sw str
itz alia
er
la
nd
So
U
ut S
h
A
Af
r
Ca ica
na
da
Global Property Investment Return
-6
-8
-10
Reitaku-University
Markets in IPD’s Global Property Index, 2012
Real and Nominal Capital Returns, %pa
10
8
6
4
2
0
-2
-4
Capital Return
CPI Inflation
Real Growth
-12
-14
page. 22
Global Property Investment Return
Reitaku-University
IPD Global Index - Composition by Market
Americas
41%
Sweden
3%
Switzerland
3%
UK
7%
Australia
5%
Other
EMEA
17%
Americas
41%
Asia
Pacific
Japan
15%
United
States
38%
Eurozone / EMEA
39%
20%
Eurozone
Asia Pacific
22%
Netherlands
3%
France
6%
Germany
7%
Canada
3%
20%
page. 23
Global Property Investment Return
Reitaku-University
Global Index Returns since 2000
Total Return, Income Return and Capital Return, %pa
24
20
Total Return
Income Return
16
Capital Return
12
8
7.3
4
0
-4
-8
-12
-16
00 001 002 003 004 005 006 007 008 009 010 011 012
0
2
2
2
2
2
2
2
2
2
2
2
2
2
page. 24
Global Property Investment Return
Reitaku-University
In Asia, IPD has data
on assets worth
US$ 262.9 billion
page. 25
Global Property Investment Return
Reitaku-University
Evolution of the Asia database
Proportion of databank, % of total value
100%
Indonesia
75%
Taiwan
Thailand
Malaysia
50%
China
Singapore
Hong Kong
25%
Korea
Japan
Ju
n07
D
ec
-0
7
Ju
n08
D
ec
-0
8
Ju
n0
D 9
ec
-0
9
Ju
n1
D 0
ec
-1
0
Ju
n11
D
ec
-1
1
Ju
n12
D
ec
-1
2
0%
page. 26
Global Property Investment Return
Reitaku-University
Asia Databank by Market, 2012
6%
China
Hong Kong
Indonesia
19%
Korea
Malaysia
42%
Singapore
1%
Taiwan
Thailand
6%
4%
5,705 assets
220 portfolios
1%
1%
Japan
20%
US$ 262.9 billion
page. 27
Global Property Investment Return
Reitaku-University
Asia Databank by Sector, 2012
17%
Retail
28%
Office
7%
Industrial
Other
5,705 assets
220 portfolios
48%
US$ 262.9 billion
page. 28
Global Property Investment Return
Reitaku-University
Returns by Market in local currency
Total Return, %pa
Year to December 2011
25
Year to December 2012
20
15
10
5
ai
la
nd
Th
iw
an
Ta
e
po
r
Si
ng
a
ys
ia
al
a
Ko
n
Ja
pa
re
a
M
In
do
n
es
ia
ng
Ko
g
H
on
C
hi
na
0
page. 29
S
H pai
un n
P ga
N ort ry
et u
h e ga
rla l
nd
s
Ita
Ire ly
la
nd
Be UK
lg
iu
Ja m
D pa
en n
G ma
er rk
m
C
ze N an
ch or y
Re wa
pu y
bl
C ic
h
Fi ina
nl
a
Au nd
s
Fr tria
an
Po ce
S l an
Sw we d
itz de
er n
la
nd
K
Si or
N ng ea
ew ap
Ze ore
a
Au la n
s d
In tra
do lia
ne
si
a
U
Th SA
H aila
on n
gK d
M on
al g
ay
Ta si a
iw
So Ca an
ut na
h da
Af
ric
a
Global Property Investment Return
Reitaku-University
Global real estate performance, 2012
Total Return by Market, %pa
Europe
New World
Asia
page. 30
Global Property Investment Return
Reitaku-University
Weights by Market, 2012
IPD Asia Databank
Adopted Weights
6%
10%
10%
19%
42%
2%
45%
1%
10%
6%
4%
6%
1%
1%
China
Hong Kong
20%
Indonesia
3%
Korea
Malaysia
Singapore
10%
4%
Taiwan
Thailand
Japan
page. 31
Global Property Investment Return
Reitaku-University
Returns by Market in local currency, 2012
Total Return, %pa
16
14
12
10
6.7
8
6
4
2
0
-2
As
ia
n
Pa
ai
la
nd
Th
iw
an
Ta
e
po
r
Si
ng
a
ys
ia
M
al
a
re
a
Ko
n
Ja
pa
es
ia
do
n
ng
In
Ko
g
H
on
C
hi
na
-4
page. 32
Global Property Investment Return
Reitaku-University
Returns by Market in local currency, 2012
Income and Capital Returns, %pa
16
Total Return
Income Return
14
Capital Return
12
10
8
6.7
6
1.2
4
5.5
2
0
-2
As
ia
n
Pa
ai
la
nd
Th
iw
an
Ta
e
po
r
Si
ng
a
ys
ia
M
al
a
re
a
Ko
n
Ja
pa
es
ia
do
n
ng
In
Ko
g
H
on
C
hi
na
-4
page. 33
Global Property Investment Return
Reitaku-University
Returns by Market in local currency, 2012
Real and nominal capital returns, %pa
14
Capital Return
CPI Inflation
12
Real Growth
10
8
6
4
2
0
-2
-4
As
ia
n
Pa
iw
an
Ta
ng
Ko
g
H
on
al
a
ys
ia
e
M
po
r
Si
ng
a
ai
la
nd
Th
na
C
hi
re
a
Ko
es
ia
do
n
In
Ja
pa
n
-6
page. 34
Global Property Investment Return
Reitaku-University
Returns by Market over 4 and 6 years
Total Return, local currency, %pa
21
Last 4 years
18
Last 6 years
15
12
9
5.2
6
6.2
3
As
ia
Pa
n
ai
la
nd
Th
iw
an
Ta
po
re
Si
ng
a
M
al
a
re
a
ys
ia
N/A
Ko
n
Ja
pa
es
ia
do
n
In
Ko
g
na
H
on
C
hi
N/A
ng
N/A
0
page. 35
Global Property Investment Return
Reitaku-University
Asia composite returns, last six years
Total Return, Income Return and Capital Return, %pa
18
Total Return
Income Return
15
Capital Return
12
9
6.2
6
3
0
-3
-6
-9
2007
2008
2009
2010
2011
2012
6 Year
page. 36
Global Property Investment Return
Reitaku-University
Asia composite returns, last six years
Total Return, Income Return and Capital Return, %pa
18
Total Return
Income Return
15
Capital Return
12
9
6.2
6
0.9
3
5.3
0
-3
-6
-9
2007
2008
2009
2010
2011
2012
6 Year
page. 37
Global Property Investment Return
Reitaku-University
Asia Returns – Impact of Currency
Total Return, %pa
24
Local Currency
20
US Dollar
16
Japanese Yen
12
9.8
8
4.1
4
0
-4
-8
-12
2007
2008
2009
2010
2011
2012
6yrs
page. 38
Global Property Investment Return
Reitaku-University
Returns by Sectors in 2012
Income and Capital Returns, %pa
12
Total Return
Income Return
10.9
Capital Return
10
8
6.7
6.2
6
4.3
4
2
0
ta
l
To
al
du
st
ri
In
ce
O
ff i
R
et
ai
l
-2
page. 39
Ja
pa
Ja n
pa
H Ch n
on i
g na
Ko
Ja ng
Th p a
ai n
la
nd
K
Si o
ng re
ap a
o
Ko re
re
C a
hi
n
C a
h
Ta ina
M iwa
a
Si lay n
ng sia
Si ap
ng or
e
In apo
do re
M nes
al ia
a
Th ysi
H ai a
on la
g nd
Ko
Ta ng
M iwa
al n
a
Th ysi
H ai a
on la
g nd
Ko
ng
Global Property Investment Return
Reitaku-University
Returns ranked by Market and Sector, 2012
Total Return in local currency, %pa
Retail
Office
Industrial
page. 40
Global Property Investment Return
Reitaku-University
Asia Returns by Sector (local currency)
Total Return, %pa
21
All Property
18
Retail
15
Office
12
Industrial
9
8.8
6
5.9
5.5
3
0
-3
-6
2007 2008
2009 2010 2011 2012
6 yrs
page. 41
Ja
pa
Ja n
pa
Ja n
Th p an
Si aila
ng nd
ap
or
Ko e
re
Ko a
Si
ng rea
ap
M or
al e
Si ays
ng ia
ap
T h o re
ai
M lan
al d
ay
si
a
C
hi
Ta na
iw
a
C n
h
Th ina
ai
M lan
al d
a
In ys
do ia
H ne
on s i
g a
H Ko
on n
g g
Ko
ng
Global Property Investment Return
Reitaku-University
Returns ranked by Market and Sector, four years
Total Return in local currency, %pa
Retail
Office
Industrial
page. 42
Global Property Investment Return
Reitaku-University
Asia vs Other regions (local currency)
Total Return, %pa
20
Pan Asia
15
United States
10
5
10.7
9.7
10.9
4.3
3.6
3.5
Pan Europe
Asia x Japan
0
-5
-10
-15
-20
2007 2008 2009 2010 2011 2012
6yrs
page. 43
Ire
H lan
un d
ga
Sp ry
a
Ja in
P p
N or an
et t u
h g
C erla al
ze n
ch ds
Re
p
G Ita
er ly
m
Be an
lg y
iu
m
U
Po SA
D l
N en and
ew m
Ze ark
al
a
Au nd
s
Fi tria
Si nla
ng nd
ap
N ore
or
w
Fr ay
a
Au nc
Sw s t e
itz ral i
er a
la
n
Ko d
Sw re a
ed
en
Th UK
ai
C la nd
an
a
Ta da
iw
a
C n
h
M i
So al na
ut ays
h ia
A
In f ri
do ca
H n
on es
g ia
Ko
ng
Global Property Investment Return
Reitaku-University
Global real estate performance, last four years
Total Return by Market, %pa
Europe
New World
Asia
page. 44
Global Property Investment Return
Reitaku-University
How can the
Pan Asia Return Indicator
be used?
page.
Global Property Investment Return
Reitaku-University
Portfolio benchmarking and attribution
Real Estate
Total Return
Vehicle Level
Returns
Components of Return
Income
Return
Capital
Growth
Attribution of Relative Return
Asset
Allocation
Stock
Selection
Weighted Contributions
Purchases
Developments
Held Props
Sold Props
Part Trans
Indirect
Assets
page. 46
Global Property Investment Return
Reitaku-University
Asset Class Returns, last six years
Total Return, %pa
18
Property
15
Equities
12
Property Equities
9
Bonds
6
3
0
-3
-6
-9
Th
ai
la
nd
an
Ta
iw
Si
ng
ap
or
e
Ko
re
a
Ja
pa
n
Ho
ng
Ko
ng
-12
page. 47
Global Property Investment Return
Reitaku-University
3. ファンドレベルの不動産投資リターンを理解する
Chihiro SHIMIZU [email protected]
page. 48
CRE : Corporate Real Estate
Reitaku-University
ストラクチャードファイナンスの基礎: レバレッジ
現物
（120）
現物
デット
（70）
デット
（70）
エクイティ
（50）
リターン
現物
：+20%
エクイティ：+67%
レバレッジ効果
（100）
エクイティ
（30）
現物
デット
（70）
（80）
リターン
現物
：▲20%
エクイティ：▲67%
エクイティ
（10）
page. 49
Global Property Investment Return
Reitaku-University
Modelled Benchmarks for Funds
Assumed Leverage
32
50%
Assumed Country Weights
Asset Return
Impact of Debt
28
Cash
Costs & Fees
24
NAV Return
20
20%
16
30%
12
10%
8
4
0
-4
40%
Hong Kong
Malaysia
Singapore
Japan
-8
2007
50
2008
2009
2010
2011
5 Year
page. 50
Global Property Investment Return
Reitaku-University
IPD’s offering of Property Fund Indices widens
• IPD measures over 1500 funds
across the world
• But they have very different
characteristics (style, valuation,
liquidity...)
• IPD Global Property Fund Index focuses on a
comparable set of funds across the world
page. 51
Global Property Investment Return
Reitaku-University
Global Quarterly Property Fund Index definition
Benchmarking core real estate performance globally
Global dataset of core investible funds
• Unlisted funds invested in a
single country or cross-border
• All funds share similar features
• Core
• Open-ended (broadly
defined)
• Quarterly valued (IVS)
• Performance validated by
IPD
Top down and bottom up analysis
Fund level analysis
(investor return:
including debt, cash,
fees, ...)
Asset level
analysis
(performance of the
underlying unlevered assets)
page. 52
Global Property Investment Return
Reitaku-University
Regional Coverage
December 2012
Europe
Funds Assets CV (USD)
North America
Funds
Assets
CV (USD)
15
2,000
87.5bn
Fund managers
AEW
JP Morgan
Bentall Kennedy Principal
BlackRock
Prudential
Clarion
RREEF
Heitman
Stockbridge
Invesco
TIAA‐CREF
Global Total:
42
2,200
38.8bn Fund managers
Aberdeen
Legal & General
Aviva Investors Lothbury
AXA
Mayfair Capital
BlackRock
Pramerica
CBRE
Prologis
CCLA
PRUPIM
Cordea Savills
Rockspring
Fidelity
Royal London
Henderson
Schroder
Hermes
Standard Life
Hines
Threadneedle Invesco
Tishman Speyer
LaSalle
UBS
Asia Pacific
Funds
Assets
CV (USD)
15
400
45.2bn
Fund managers
AMP
Investa
Dexus
ISPT
Goodman
Lend Lease
GPT
QIC PRUPIM
72 funds │ 4668 assets │ CV USD 172 bn │ NAV USD 151 bn
page. 53
Global Property Investment Return
Reitaku-University
Global performance to December 2012
12-mth rolling total return, Fund level v Direct asset level
20.0
15.0
7.9
10.0
7.0
12‐mth tatoal return
5.0
0.0
‐5.0
‐10.0
‐15.0
‐20.0
‐25.0
‐30.0
‐35.0
Fund
Asset
page. 54
Global Property Investment Return
Reitaku-University
Performance versus other asset classes
Equities, Property Equities and bonds
35.0%
3‐year annualised total return
14%
30.0%
Total return
25.0%
20.0%
15.0%
10.0%
5.0%
Property Equities
GPFI
10%
8%
Bonds
6%
Equities
4%
2%
0%
0%
0.0%
‐5.0%
12%
3mth
Fund
12mth
Equities
3yr
Real estate securities
5yr
2%
4%
6%
8%
10%
3‐year volatility
JP Morgan Bonds
Sources:
Property: IPD.
Equities: MSCI World Index.
Real estate securities: MSCI World Real Estate Index.
Bonds: J.P. Morgan GBI Global Composite 7-10 Years
Performance is calculated in constant USD (Dec12)
page. 55
Global Property Investment Return
Reitaku-University
Regional performance to December 2012
Total return, NAV level v Direct asset level
North America
United Kingdom
14.0%
15%
15%
12.2%
9.9% 9.7%
10%
10%
6.6%
5%
5%
2.1%2.1%
1.3%1.8%
0.8%
0%
7.4%
0%
‐0.1%‐0.1%
‐3.0%
‐5%
4Q 2012
1 Yr
3 Yr ann'sed
‐0.5%
‐1.6%
‐5%
5 Yr ann'sed
Continental Europe
4Q 2012
1 Yr
3 Yr ann'sed
5 Yr ann'sed
Asia Pacific
15%
15%
10%
5.9%
4.2%
5%
0.8%
9.1%
7.9%
10%
10.3%
8.8%
5.2%
4.1%
5%
1.6%
0.6%
0%
2.4%
2.1%2.1%
0%
‐0.1%
‐5%
4Q 2012
1 Yr
Fund TR
3 Yr ann'sed
‐4.8%
5 Yr ann'sed
‐5%
4Q 2012
1 Yr
3 Yr ann'sed
5 Yr ann'sed
Direct TR
page. 56
Global Property Investment Return
Reitaku-University
Different fund structures across regions (cont.)
Leverage and cash distributions
Leverage (% GAV)
Cash holdings (% GAV)
20.0
60.0
18.0
50.0
16.0
14.0
40.0
12.0
10.0
30.0
8.0
20.0
6.0
4.0
10.0
2.0
0.0
0.0
AsiaPac
UK
Cont Eur
US
AsiaPac
UK
Cont Eur
US
95th %ile
34.55
20.91
51.84
46.19
95th %ile
12.18
12.07
17.65
9.68
5th %ile
3.45
0.00
9.69
21.24
5th %ile
0.14
0.46
0.52
0.84
Wtd avg
15.7
2.1
38.8
25.9
Wtd avg
1.9
6.4
6.4
3.4
page. 57
Global Property Investment Return
Reitaku-University
Different fund structures across regions (cont.)
Risk factors
Vacancy rate is indicative only
page. 58