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Global Real Estate Fund Index

The Global Real Estate Fund Index (GREFI) is jointly produced by INREV, ANREV and NCREIF, and measures the performance of non-listed real estate vehicles on a global scale.

The GREFI is updated on a quarterly basis and published 12 weeks following the quarter end.

The GREFI aims to improve transparency of non-listed real estate funds and to help our members make better informed investment decisions. As an industry, it is vital that we work towards being able to make robust global and inter-regional comparisons.

Background

The GREFI (Global Real Estate Funds Index) measures Net Asset Value (NAV) weighted  performance of non-listed real estate funds on a quarterly basis. Performance is measured net of fees and other costs, and represents the aggregate investor return.

The Index was launched in 2014 and is now published 12 weeks after quarter end (except for Q4 index that is published 13 weeks after quarter end). The GREFI is an unfrozen index which means that historical data can change with future updates. 

The GREFI includes performance of non-listed real estate funds since Q1 2005. US closed end funds (CEVA funds) are included in the Index from Q1 2010 to Q2 2018 performance. From Q3 2018 onwards, GREFI does not include CEVA funds. 

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.

Latest publications

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Global Real Estate Fund Index (GREFI) Quarterly  

Published on 23 Jun 2020

The Global Real Estate Fund Index (GREFI) is jointly produced by INREV, ANREV and NCREIF and measures the performance of non-listed real estate vehicles on a global scale.

Please send feedback to edgar.orlovskis@inrev.org, daisy.huang@anrev.org, or ddierking@ncreif.org

The GREFI is an index showing the performance of non-listed real estate funds on a global scale. The GREFI is updated on a quarterly basis and is published 12 weeks following the quarter end.

The aims of the GREFI are to improve transparency of real estate as an asset class and to help our members make better informed investment decisions. As an industry, it is vital that we work towards being able to make robust global and intra-regional comparisons.

This initiative represents the integration of three member-driven non-profit organisations to meet the data collection and information needs of their expanding global activities, and to serve as the basis for further collaboration in the future.

Calculation methodology

The performance for ANREV and INREV funds are calculated from underlying cash flows, while NCREIF funds are based on numerators and denominators provided to NCREIF in compliance with the NCREIF / PREA Reporting Standards Handbook.

Performance for ANREV and INREV are calculated using the Modified Dietz methodology. The Modified Dietz methodology is used to calculate 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 Global Real Estate Fund Index can be found in the Index Guide, for more information about Performance Measurement visit the INREV Guidelines on Performance Measurement (for INREV and ANREV) and 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. 

Asia Pacific data are collected as part of the ANREV Quarterly Index.

European data are collected as part of the INREV Quarterly Index.

US data are collected as part of the NCREIF ODCE and NCREIF Open End Funds indices. 

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

FAQ

General


1.    What is the GREFI Quarterly Index? 
The Global Real Estate Fund Index is a fund level index which covers the performance of the global institutional non-listed real estate funds taking part in the index.

2.    Do you have to be a member of either of the partner organisation 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 GREFI publication is only available to members of ANREV, INREV or NCREIF and is accessible via 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.    How can we join the Global Real Estate Fund Index?

Index specifications


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

  • All funds included in the ANREV Quarterly Index – core, value added and opportunity.  
  • All funds included in the INREV Quarterly Index – core and value added.  
  • US core funds – NCREIF Fund Index Open End Diversified Core Equity, NFI – ODCE.  
  • US non-core funds – NCREIF Fund Index Open End, NFI – OE


2.    Are US closed end funds (CEVA funds) included in the Index?
US closed end funds (CEVA funds) are included in the index from Q1 2010 to Q2 2018 performance. From Q3 2018 onwards, CEVA funds are not included in the GREFI.

Does this index include global strategy funds?
Yes, the Global Real Estate Fund Index includes global strategy funds.

3.    Is the index frozen or unfrozen?
The Global Real Estate Fund Index is unfrozen, which means that historical data can change with future updates. 

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, ANREV and NCREIF directly by fund managers. 

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; historical data will be kept in the index to ensure continuity.

7.    Is the index equally weighted or value weighted?
The Global Real Estate Fund Index is value weighted, meaning that larger funds have a bigger impact on the performance of the index. 

8.    What is the frequency of data reported in this index?
The Global Real Estate Fund Index includes funds that are reported on a quarterly basis.

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

10.    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. To remove the effect of currency fluctuations, the quarterly figures that are reported in currencies other than the USD are converted using the exchange rate of the first day of the quarter. 

11.    Do partner organisations collect historical data?
All partner organisation encourage the provision of full history of participating funds. 

12.    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.

13.    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.

14.    What calculation methodology is used to calculate performance?
The performance for ANREV and INREV funds are calculated from underlying cash flows, while NCREIF funds are based on numerators and denominators provided to NCREIF in compliance with the NCREIF / PREA Reporting Standards Handbook.

Performance for ANREV and INREV are calculated using the Modified Dietz methodology. The Modified Dietz 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 (for INREV and ANREV) and NCREIF / PREA Reporting Standards Handbook Volume I and Volume II.

15.    When was the Index launched and when does the data date back up to?
The Global Real Estate Fund Index was launched in 2014 and is now published 12 weeks after quarter end. The GREFI is an unfrozen index which means that historical data can change with future updates. The history of GREFI starts at Q1 2005. 

16.    What currency is used in GREFI publication?
The underlying data for the Global Real Estate Fund Index are in local currency. Aggregation of indices is done by converting the reporting period data into USD using the exchange rate of the first day of the period. This approach eliminates the currency movement impact on the returns for the period.

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

18.    Does GREFI provide a breakdown by currencies?
The Global Real Estate Fund Index provides breakdowns by regional indices, style and structure but does not provide a breakdown by currencies. Further additions to the GREFI will be rolled out as part of the index development.