INREV Index

The INREV Annual Index and the INREV Quarterly Index cover the performance of European non-listed real estate funds over the previous year and quarter, respectively. In addition to the overall fund performance index, it provides sub-indices by style, country, structure and sector. 

INREV members are able to analyse the INREV Index in more depth using the INREV Index Analysis Tool.

Background

The INREV Annual and Quarterly Indices measure the net asset value performance of European non-listed real estate funds on an annual and quarterly basis.

Performance is measured net of fees and other costs, and represents the aggregate investor return.

Quarterly Index

The Quarterly Index was launched in 2011 and is  published 8 weeks after quarter end. Owing to the success of the Historical Data Collection project, the history of the INREV Quarterly Index now starts at Q2 2000, previously it started at Q1 2010.

The INREV Quarterly Index is an unfrozen index which means that historical data can change with future updates.

Annual Index

The Annual Index was launched in 2005 and is now published on the last Wednesday of April each year. The history of the index starts in 2001.

The INREV Annual Index is an unfrozen index which means that historical data can change with future updates. It was previously frozen in 2011, and subsequently unfrozen in 2019 due to the success of the Historical Data Collection project, which led to a much larger and a more comprehensive sample of funds for the European non-listed real estate industry.

Analysis tool

Fund Level Analysis Tool allows members to slice and dice our INREV Annual Index and INREV Quarterly Index universe and create their own tailored indices, compare their vehicles against INREV indices or customised indices.

Fund level analysis tool

Calculation methodology

Fund level performance is calculated using the Modified Dietz methodology. This methodology is used to calculate annual and quarterly net asset value fund performance.

The total return measures the performance over a specific period and does not include projections to the end of the fund’s life.

The total return is computed as follows:

$$ NAV_t - NAV_{t-1} - contributions + redemptions + distributions \over NAV_{t-1} + TwdC - TwdR - TwdD $$

The capital growth is computed as follows:

$$ NAV_t - NAV_{t-1} - contributions + redemptions \over NAV_{t-1} + TwdC - TwdR - TwdD $$

The distributed income return is computed as follows:

$$ ∑distributions \over NAV_{t-1} + TwdC - TwdR - TwdD $$

Further information about the INREV Annual Index and the INREV Quarterly Index can be found in the Index Guide, for more information about Performance Measurement visit the INREV Guidelines on Performance Measurement.

Related downloads

Data collection

Fund Data is collected via the INREV Data Platform, where users are able to register their vehicles and provide periodic financial data. The system runs a number of validations to ensure the quality of the data received egusers are asked to approve data before submission to INREV.

How is data validation carried out?

Data validation is carried out in a three step process:

  1. Systems based validation – the system uses rules-based algorithm to validate data
  2. Member approval – the member needs to approve information before submission to INREV
  3. INREV verification – the INREV team verifies information before inclusion to the database

How is data confidentiality  managed?

INREV does not disclose or share any fund level performance data.

INREV will only use performance data in a composite, where the vehicle and the manager are not identifiable.  

What type of returns are measured on an index level?

Quarterly and annual performance is measured by time weighted returns over the measurement period. Income return, capital growth and total return are calculated for the measurement period.

FAQ

General Questions

1.    What are the INREV Annual and Quarterly Indices? 
The INREV Annual Index and Quarterly Indices are fund level indices which cover the performance of the European institutional non-listed real estate funds of core and value added manager defined style. 

The performance is reported on annual basis for the INREV Annual Index publication and on a quarterly basis for the INREV Quarterly Index publication.

2.    Do you have to be an INREV member to be part of the index?
Data contribution to the INREV Annual Index and INREV Quarterly Index is on a voluntary basis, both members of INREV and non members can provide data for these Indices.

Although access to the INREV Index publications and the Fund Level Analysis Tool, is available to memebrs only. 

3.    Who can join the INREV Annual Index and the INREV Quarterly Index?
Fund managers with a fund investing in Europe that want to join INREV Annual Index and INREV Quarterly Index can deliver their fund data using our Data Platform

No fees are requested to participate in the Index.

4.    Can we see the individual fund performance data available in your platform? 
No, performance data is only available at an  aggregate level. Individual fund performance data is never disclosed and cannot be accessed by any external party.

5.    How can we join the INREV Index?
To join the INREV Index please contact data@inrev.org

Index specifications

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

  • Institutional funds, target >50% institutional holding
  • Funds invested in Europe, target >90% of GAV invested in European real estate 
  • Commingled funds, target >2 investors
  • Only core or value-added funds, opportunity funds are not included
  • Annual, bi-annual and quarterly valued funds
  • Quarterly valued funds (Quarterly Index)

2.    Is the index frozen or unfrozen?
The INREV Annual and Quarterly Indices are unfrozen, which means that historical data can change with future updates. 

In 2019, due to the success of the Historical Data Collection project which led to a much larger and a more comprehensive sample of funds for the European non-listed real estate industry, the INREV Annual Index has been unfrozen and the INREV Quarterly Index has been extended back to Q2 2000.

3.    Can this index be used as a benchmark?
The INREV Annual and Quarterly Indices are not considered to be a benchmark under the Benchmarks Regulation (BMR) which entered into effect on 1 January 2018. 

For more information about the EU BMR listen to the Tax and Regulations Briefing call.

4.    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.

5.    What type of data are the index results based on?
The Index results are based on fund level data that is provided to INREV directly by fund managers. INREV does not use publicly available information, and both members and non members can provide data for the Indices. Due to tight reporting deadlines, some data, eg quarterly NAV, might be provided on a provisional basis for a given quarter and will be finalised in the next quarter. 

The Annual Index includes annually, bi-annually and quarterly valued funds.

The Quarterly Index includes only quarterly valued funds.

6.    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. As with other INREV indices, the historical data will be kept in the index to ensure continuity.

7.    Is the index equally weighted or value weighted?
INREV Index is value weighted, meaning that large funds have a bigger impact on the performance of the index. 

8.    What is the frequency of data reported in this index?
INREV Annual index includes funds that are reported on a quarterly, semi-annual and annual basis.

INREV Quarterly index includes funds that are reported on a quarterly basis.

9.    What are the confidentiality rules for this index?
Performance for any index or sub-index is reported only when the sample includes at least 3 funds from 3 different companies.

10.    How is  currency conversion dealt with when calculating returns?
To calculate aggregate returns, a local currency methodology is used. All figures that are reported in currencies other than the Euro  are converted using the exchange rate of the first day of the quarter for the quarterly indices or the first day of the year for the annual indices. This ensures that no currency effect is taking place at a fund level. Please note that the currency fluctuations that take place at a property level are embedded in the fund reported values and fall outside the scope of local currency conversion.

11.    If I wanted specific data on a certain region, can I do this with the INREV Indices?
Yes, from fund allocation to performance measurement, our analysis tool allows peer-to-peer and market comparison. INREV members have access to our index analysis tool which let members slice and dice to make their own tailored indices, subject to confidentiality rules.

12.    Does INREV collect historical data?
INREV encourages fund managers to provide the historical and current data of their funds. The Research and Market Information team can support and facilitate historical data collection. To provide data, please contact data@inrev.org.

13.    How is data collected?
Data is collected via the Data Platform, where members are able to update their funds using a user-friendly interface. The system runs validations to ensure the quality of the data received. 

Members are asked to approve data before submission to INREV.

14.    When should we provide and update the data?
Annual data collection starts immediately after year end for a period of up to 12 weeks. 

Quarterly data collection starts immediately after quarter end for a period of up to 6 weeks.

Funds can provide estimates if final data are not available by the deadline. In this case, provided data can be amended after the publication date and will be restated in the next publication.

15.    How is data validation carried out?
Data validation is carried out in a three step process:

  1. Systems based validation – the system uses rules-based algorithm to validate data.
  2. Member approval – the member needs to approve information before submission to INREV
  3. INREV verification – the INREV team verifies information before inclusion to the database

16.    What calculation methodology is used to calculate performance?
The INREV Annual and Quarterly Indices measure net asset value performance of European non-listed real estate funds on an annual and quarterly basis, respectively.

Performance is measured net of fees and costs at fund level.

Performance is calculated using the Modified Dietz methodology. This methodology is used to calculate annual and quarterly net asset value fund performance.

The total return measures the performance over a specific period and does not include projections to the end of the fund’s life.

The total return is computed as follows:

$$ NAV_t - NAV_{t-1} - contributions + redemptions + distributions \over NAV_{t-1} + TwdC - TwdR - TwdD $$

The capital growth is computed as follows:

$$ NAV_t - NAV_{t-1} - contributions + redemptions \over NAV_{t-1} + TwdC - TwdR - TwdD $$

The distributed income return is computed as follows:

$$ ∑distributions \over NAV_{t-1} + TwdC - TwdR - TwdD $$

For more information about Performance Measurement visit the INREV Guidelines on Performance Measurement.

17.    Are the indices calculation reviewed by any external organisation?
After the closure of each data collection campaign, an external party performs a review on the INREV Quarterly and Annual Index and performs a validation of the index calculation. This is to ensure the mathematical correctness of the indices; data validation is carried out at the data submission stage.

18.    When was the Index launched and when does the data date back up to?
The Annual Index was launched in 2005 and is now published on the last Wednesday of April each year. The history of the index starts in 2001.

The Quarterly Index was launched in 2011 and is now published 8 weeks after quarter end. Owing to the success of the Historical Data Collection project, the history of the INREV Quarterly Index now starts at Q2 2000, previously it started at Q1 2010.

19.    What currency is required for data submission?
Data  are reported in fund’s reporting currency.

Latest releases

Related downloads

INREV Quarterly Index  

Published on 26 May 2020

The INREV Index is a performance index for European non-listed real estate funds investing 90% or more in Europe. The information for the quarterly goes back to Q2 2000. The Quarterly Index is published 8 weeks after the end of the quarter, and reports are available in PDF format. The reports cover the performance of non-listed funds in Euro, USD, GBP, JPY, AUD and in Local Currency and are available for members only, please login to download.

INREV Annual Index 2019  

Published on 23 Apr 2019

The INREV index is a performance index for the European non-listed real estate funds investing 90% of GAV or more in Europe. The INREV Index measures annual Net Asset Value based performance. The information for the annual index goes back to 2001. The Annual Index is published in the third week of April. INREV members are able to analyse the INREV Index in more depth on the INREV website using the INREV Index Analysis Tool.