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Global IRR Index

The Global Internal Rate of Return (IRR) Indexis jointly produced by INREV, ANREV and NCREIF and measures the since inception internal rate of return performance of closed end non-listed real estate vehicles on a global scale. 

The Global IRR is updated on a quarterly basis and published 13 weeks after the quarter end.

This is the second index produced jointly with ANREV and NCREIF to provide a suite of global indices to further transparency, accessibility and professionalism to the global non-listed real estate investment industry. As an industry, it is vital that we work towards being able to make robust global and intra-regional comparisons. 

Background

The Global IRR measures the since inception internal rate of return performance of closed end non-listed real estate vehicles on a quarterly basis. Performance is measured net of fees and other costs.

The Index was launched in 2020 and is  published 13 weeks after quarter end (except for Q4 index which  is published 14 weeks after quarter end). The Global IRR is an unfrozen index which means that historical data can change with future updates. 

The index includes IRRs of institutional non-listed closed end real estate funds launched before 2000 up to the most recent year.

The Index results are based on fund level data that is provided to ANREV, INREV and NCREIF directly by managers. Data collection starts immediately after a quarter end.

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Calculation methodology

The Global IRR results are based on fund level data that is provided to ANREV, INREV and NCREIF directly by managers.

Performance calculation 

The IRR, internal rate of return, is also known as a money-weighted return.

The since inception IRR (SI-IRR) for each vehicle is computed as follows:

$$ f_0 + {{f_1}\over {(1 + IRR)}} + {{f_2}\over {{(1 + IRR)}^2}} + {{f_3}\over {{(1 + IRR)}^3}} + ... + {{f_n}\over {{(1 + IRR)}^n}} = 0 $$

Where:

$$ f_0 ... f_n $$

denotes the cash flows for the period 0 through to period n (positive values for inflows and negative values for outflows).

Arithmetic mean

The arithmetic mean represents the average IRR for vehicles of the same vintage on an equally weighted basis by taking the individual IRRs of each vehicle and then computing the arithmetic mean of these vehicles.

The arithmetic mean IRR Index per vintage is computed as follows:

$$ {1\over {m_j}} \displaystyle \sum_{i=1}^{m_j} {IRR_i}$$

Where:

$$ IRR_i $$

is the IRR for fund i

$$ m_j $$

is the number of funds for vintage j

For more information about Performance Measurement visit the INREV Guidelines on Performance Measurement and the NCREIF / PREA Reporting Standards Handbook Volume I and Volume II.

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Data collection

ANREV, INREV and NCREIF collect data directly from managers in accordance to respective organisation’s data collection practices. 

Data on global strategy funds are collected in addition to the above-mentioned indices by all organisations.

FAQ

General Questions

 

1.    What is the Global IRR Index? 
The Global IRR Quarterly Index measures since inception internal rate of return performance of institutional closed end non-listed real estate funds with non-core manager defined strategy, value added and opportunity, on a quarterly basis. Performance is measured net of fees and other costs, and represents the aggregate investor return.
The Global IRR Index is computed on an equally weighted basis (arithmetic mean).

2.    Do you have to be an INREV member to be part of the index?
To contribute data to ANREV or INREV you do not need to be a member of either organisation. To contribute data to NCREIF, you need to be a member of NCREIF.
The Global IRR publication is only available to members of ANREV, INREV or NCREIF and is accessible on the respective organisation’s website.

3.    Can we see the individual fund performance data available in your platform? 
No, performance data is only available in aggregate format. Individual fund performance data is never disclosed and is not accessible by any external party.

4.    Who can join the Global IRR Index?


Index specifications


1.    What are the criteria for Global IRR Index inclusion?
The Global IRR Index includes the following assets:

  INREV ANREV NCREIF
Manager defined strategy Value added; Opportunity Value added; Opportunity Value added
Fund investment targets Asia Pacific, with at least 75% of GAV invested in Asian Pacific real estate Europe, with >90% of GAV invested in European real estate US, with at least 75% of GAV invested in US real estate
Institutional capital requirement Real estate funds accessible to institutional investors. Funds which also have retail investors should target at least a 50% institutional holdings Real estate funds accessible to institutional investors. Funds which also have retail investors should target at least a 50% institutional holdings Commingled fund that is operated predominantly for US institutional investors
Number of target investors At least three institutional investors in the fund At least three institutional investors in the fund n.a.
Leverage n.a. n.a No more than 75% leverage as defined in the fund documents
Reporting criteria ANREV are encouraging members to provide data in compliance to INREV Performance Measurement guidelines INREV are encouraging members to provide data in compliance to INREV Performance Measurement guidelines Members of NCREIF are required to deliver data in accordance to the NCREIF / PREA Reporting Standards Handbook Volume I and Volume II.

2.     Is the index frozen or unfrozen?
The Global IRR Quarterly Index is unfrozen, which means that historical data can change with future updates.

3.    Can this index be used for derivatives?
The INREV Index cannot be used for derivatives, due to the Benchmarks Regulation (BMR) which entered into effect on 1 January 2018
 

4.    What type of data are the index results based on?
The Index results are based on fund level data that is provided to INREV, ANREV and NCREIF directly by fund managers. 

The Quarterly Index includes only quarterly valued funds.

5.    What happens when a member stops contributing data, would their fund data remain in the index?
When a member stops contributing their data to the Index, this data will remain in the Index ending at the last date of contribution. The historical data will be kept in the index to ensure continuity.

6.    What is the frequency of data reported in this index?
Global IRR Quarterly Index includes funds that are reported on a quarterly basis.

7.    What are the confidentiality rules for this index?
Performance is shown only when the sample size meets the minimum threshold of 6 funds for a composite and a minimum of 8 funds to display quartiles and standard deviation metrics. 

For individual publications please refer to the following links:

8.    What is done regarding currency conversion when calculating returns?
To calculate aggregate returns, a local currency methodology is used. This means that all funds level indices do not take currency fluctuations into account.

9.    How is data collected?
ANREV, INREV and NCREIF collect data directly from managers in accordance to respective organisation’s data collection practices.

  • Fund managers with a fund investing in APAC, please contact Kip Kong
  • Fund managers with a fund investing in Europe, please contact Oscar Fusco
  • Fund managers with a fund investing in US, please contact Dan Diering
  • Fund manager with a global strategy fund can contact the partner organisation of the fund domicile.

10.    When should we provide and update the data?
Quarterly data collection starts immediately after a quarter has ended. Please visit the partner organisations’ website for more information on deadlines.

11.    When was the Index launched and when does the data date back  to?
The Index was launched in 2020 and is now published 13 weeks after quarter end, except for Q4 index that is published 14 weeks after quarter end.

12.    Are the IRRs quoted on a net or gross basis?
In the Global IRR Quarterly Index the IRRs are quoted on a net basis.

13.    What currency is required for data submission?
Financial data for the funds need to be reported in the reporting currency of the fund.

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