REIT-Based Pure-Play Portfolios: the Case of Property Types and Geographic Locations

REIT-Based Pure-Play Portfolios: The Case of Property Types and Geographic Locations

Eui-Hoe Kim

Bachelor in Architecture, 1997

Seoul National University, Korea

Submitted to the Department of Architecture in Partial Fulfillment of the Requirements for the Degree of Master of Science in Real Estate Development

at the

Massachusetts Institute of Technology

September, 2004

The author hereby grants to MIT permission to reproduce and to distribute publicly paper and electronic copies of this thesis document in whole or in part.

Signature of Author______Department of Urban Studies and Planning August 6, 2004

Certified by______Henry O. Pollakowski Visiting Scholar, Center for Real Estate Thesis Supervisor

Accepted by______David Geltner Chairman, Interdepartmental Degree Program in Real Estate Development

REIT-Based Pure-Play Portfolios: The Case of Property Types and Geographic Locations

Eui-Hoe Kim

Submitted to the Department of Urban Studies and Planning On August 6, 2004 in Partial Fulfillment of the Requirement for the Degree of Master of Science in Real Estate Development

ABSTRACT

Over the last 20 years the REIT industry has made remarkable progress in terms of the magnitude of market capitalization and management performance. However, it is difficult for investors to precisely target their investments because publicly traded REITs diversify their assets across property types and geographic locations. This research has explored the concept and methodology of a REIT-based pure-play portfolio. This portfolio is defined as an optimal combination of long and short positions in publicly traded REITs, such that the portfolio can replicate the investment returns to a specified target sector without any direct exposure to other sectors while minimizing the idiosyncratic risk component of the portfolio. This thesis constructed pure-play portfolios across four property types and four geographic locations using seven years of structural information on publicly traded REITs. For comparison with the privately held property market, NCREIF sub-indices which represent also four property types and four geographic locations are used. In addition to the construction of pure-play portfolios, the performance indices of REIT-based pure-play portfolios and private property-based NCREIF sub-indices are presented.

Thesis Supervisor: Henry O. Pollakowski Title: Research Associate, Center for Real Estate

ACKNOWLEDGEMENTS

I would like to thank my advisor Henry Pollakowski for his constant advice and support

I would like to thank David Geltner for his comments and suggestions

I would like to thank Matthew Ostrower at Morgan Stanley for his support and insight

I would like to thank Paul Reeder at SNL financial and Jeff Fisher for their support

Last but not least, I would like to thank Mina and Taein for being there for me

3 TABLE OF CONTENTS

Abstract ------2 Acknowledgements ------3 Table of Contents ------4

Chapter 1: Introduction

Overview ------5 Definition of a Pure-Play Portfolio ------6 Objectives of a Pure-Play Portfolio ------7

Chapter 2: Methodology - Construction of the Pure-Play Portfolio

2-1. Basic Assumptions Basic Model ------8 Variance Minimization ------11

2-2. Application of Two Methods Method 1: Matrix Inverse Method ------12 Method 2: Excel Solver Tool ------16 Comparison of Results ------17

2-3. Other Considerations Adjusting for Debt ------18 The Data ------18

Chapter 3: Application of Pure-play Portfolio

3-1. Property-Type Pure-play Portfolios General Characteristics ------22 Historical Index of Pure-Play Return ------23 Comparison with NCREIF Returns ------26 Comparison with NAREIT Property Returns ------31 Lagged Correlation ------34

3-2. Geographic Location Pure-play Portfolios General Characteristics ------35 Historical Index of Pure-Play Return vs. NCREIF ------36 Contemporaneous Correlation and Lagged Correlation ------40

Conclusion ------43

References ------44

APPENDIX-A ------44

APPENDIX-B ------46

4 CHAPTER 1 : Introduction

Overview

Over the last 20 years the REIT industry has made remarkable progress in terms of the magnitude of market capitalization and management performance. REITs provide a way to realize the economic benefits of underlying real estate assets, obtain stable, consistent income and long-term growth while increasing portfolio diversification. Therefore, the correlation of REIT returns to the returns of other stocks and bonds has declined significantly. However, many investors and analysts are interested in obtaining pure-play return and historical performance which are exposed to only one target sector such as a property type and a geographic location. It is difficult for investors to precisely target their investments because publicly traded REITs hold large number of individual properties which vary by property types or locations. Although the REIT industry has specialized in its investments with regard to property type for the last 10 years, it is impossible to achieve the portfolio which is exactly exposed to only one target sector by investing in a group of REITs which represents the targeted property type. The construction of a pure-play portfolio is a mechanism to address this issue in a systematic way. This thesis demonstrates and applies the procedure of deriving unlevered returns to the underlying properties held by the REITs, broken out by property type and geographic location.

In addition to construction of REIT-based pure-play portfolios, a comparison of performance with privately owned properties is performed. In this case, the NCREIF sub index was used as a proxy of performance of privately held real estate assets. As the REIT-based pure-play portfolio is based on the public stock market and underlying property market while the NCREIF index is based on the private property market, the comparison of performance between two markets can help identify REIT-level management performance. We constructed pure-play portfolios for property types and geographic locations for 7 years, 1997-2003.

5 Definition of a Pure-Play Portfolio

A REIT-based pure-play portfolio is defined as an optimal combination of long and short positions in publicly traded REITs, such that the portfolio can replicate the investment returns to a specified target sector without any direct exposure to other sectors. Here, the target sector can be defined in terms of any attributes of property assets such as usage, location, and size. For example, if we want to invest into REITs which are exposed only to office properties in the east region, we can construct the pure-play portfolio whose performance is related to the target sector without exposure to other attributes using a combination of long and short positions in REITs. Here, short positions in the portfolio are used to eliminate exposure to non-target sectors.

It is important to note that there can be many combinations which can meet the condition of exposure to a target sector. For example, suppose that we can construct a pure-play portfolio whose target is an office property by a 150% long position to REIT A, and a -50% short position to REIT B. We could also construct another pure-play portfolio whose target sector is the same by a 300% long position and a -100% short position to REIT A and B respectively. Therefore, we have to choose the optimal portfolios among the possible combinations. The optimal pure- play portfolio is the one which minimizes random volatility, or idiosyncratic risk, while maintaining pure exposure to the target.

Idiosyncratic risk is defined as a return component that is unique to each REIT and property type. That is, a return of a REIT in one property type is made up of two components, the idiosyncratic component and the pure-play component which is same for any investment in the given property type. For instance, assume that REIT A makes an 11% return in an office property and REIT B makes a 9% in an office property. If an aggregate-level pure-play office return is 10%, REIT A has a +1% idiosyncratic component in its return and REIT B has a -1% idiosyncratic return. However, as we do not know the aggregate pure-play return of office, say 10%, in advance, we need to extract the pure-play return component by diversifying away the idiosyncratic component. From the statistical point of view, the more assets and properties we hold in an office property, the more diversification effects we can have and the more accurate a pure-play return we can achieve. Note that the pure-play component of our REIT-based portfolio can reflect not

6 only the passive return of underlying assets, but also the REIT-level management effect of each property type.

Objectives of a Pure-Play Portfolio

There are four main objectives for construction of REIT-based pure-play portfolios: speculation, hedging, estimates of beta, and construction of historical index.

From an investment point of view, investors want to construct portfolios which are exposed to a target sector or hedged against one sector. Since the assets of REITs are already diversified across property sectors and geographic locations, it is difficult for investors to meet their needs perfectly by simply investing in one or a group of REITs which represent their target sectors. Once pure-play portfolios are constructed, we can estimate sectoral betas using the correlation between targeted sectors and market. These sectoral betas can be used when estimating the cost of capital in capital budgeting. For example, if we obtain the beta of REITs in west region as 2 against the total REIT market, the opportunity cost of capital of investing in west region can be achieved from the risk-free rate and expected market return using Capital Asset Pricing Model (CAPM). The last objective is to construct historical index using pure-play returns across time. The historical index can help evaluate the performance of specified REIT sectors. In addition, we can identify REIT-specific and target-specific management components by comparing across several sectors that index with other indices of assets which are already constructed.

7 CHAPTER 2: Methodology - Construction of a Pure-Play Portfolio

2-1. Basic Assumptions

Basic Model

We can model the return of one REIT which invests only one property type: retail property. In that case, we can break down the return component into the true return to that property type and idiosyncratic return which can be thought of as random “noise.” This idiosyncratic return of the REIT can be also regarded as the results of REIT-level asset management components and financial leverage effects. This model is shown in equation (1) below:

~ ~ ~ ri = rR + eRi (1)

Where the “r” is a true return and the “e” is an idiosyncratic return.

Now, we can apply above relations to a set of n REITs, whose assets are made up of just two property types: office properties and retail properties. Again, the return components can be broke down into a pure-play return and a REIT-specific idiosyncratic return. The idiosyncratic return components are different according to different companies and property types since the idiosyncratic returns of large amount of assets should be smaller than those of small amount of assets. On the contrary, the pure-play “true” return components are considered to be same across the same property type by definition. For example, REIT A which holds $100 million assets in office and $2 million in retail should have larger idiosyncratic components in retail property. By the same token, REIT B which holds $2 million assets in office and $100 million in retail should have larger idiosyncratic risks in an office property. However, the true return components of same properties are same regardless of the absolute amount of assets. Therefore, the return to REIT i is

~ ~ ~ ~ ~ ri = xRi (rR +eRi ) + xOi (rO +eOi ) (2)

8 ~ ri = Return to REIT i. ~ rR = Pure-play retail property return. ~ rO = Pure-Play office property return.

xRi = Fraction of REIT i invested in retail property.

xOi = Fraction of REIT i invested in office property. ~ eRi = Idiosyncratic return to REIT i’s retail property. ~ eOi = Idiosyncratic return to REIT i’s office property.

Where xRi + xOi should be one because each REIT holds only office and retail properties. Again, it is important to note that the pure-play portion of the return is the same for any investments in the given property-type sector. The idiosyncratic components are uncorrelated with other random variables and the expected value is zero.

Now, since the objective of a pure-play portfolio is to construct a portfolio from the information on asset fractions of many REITs, we can think of investing in a number of companies. The return of our portfolio would be

n ~ ~ rP = ∑wi ri (3) i=1

where the weight wi is REIT i’s proportion of the total value of our portfolio. In other words, wi is the weight of REIT i in our pure-play portfolio. From equations (2) and (3), the portfolio return can be the equation below:

n n n ~ ~ ~ ~ ~ rP = rO ∑ wi xOi + rR ∑ wi xRi + ∑(wi xOi eOi + wi xRi eRi ) (4) i=1 i=1 i=1

Note that in above equation we split the return components of a given property-type to handle the processes more efficiently. Now as a next step, we have to construct the pure-play portfolio, which is exposed only to the specified target sector, office or retail in this case, while minimizing

9 the idiosyncratic risks at the same time. For example, the office pure-play portfolio can be achieved by constraining several terms in above equation. First, the sum of weights to office investment should be one while the sum of weights to retail investment should be zero. Second, we should come up with the one optimal solution which can minimize the idiosyncratic variance since there can be several solutions that can meet the first conditions. Since the variance of pure- play return components, that is Var(rO) in this case, is same regardless of different weights, the solution which minimizes the variance of a portfolio can also minimize the variance of an idiosyncratic component. The first constraint can be expressed as below:

n n ∑ wi xOi = 1 and ∑wi xRi = 0 (5) i=1 i=1

As mentioned above, the first part of the equation (5) makes sure that the portfolio is exposed only to office property and the second part eliminates any exposure to the retail property. Table 1 shows simple case that explains the basic model of a pure-play portfolio. If we consider only three REITs, each of which holds only two property sectors: office and property, we can construct a pure-play portfolio using the equation (5). Note that in this example we can come up with infinite solutions which can meet weight constraints since we have only three unknown variables, w1, w2, and w3, while there are two equations related to these variables from the weight constraints. In general, when the number of companies exceeds the number of sectors, there are many ways to construct a pure-play portfolio. To obtain the optimal solution among the possible numerous answers, we should apply the optimization procedure which can yield the minimum variance solution.

Table 1: Example, Pure-play portfolio with two property types and three REITs

Share of Firm Assets Exposure to Exposure to Portfolio Office Retail Office (xOi) Retail (xRi) Investment (wi) (wi × xOi) (wi × xRi) REIT 1 80.0% 20.0% 100.0% 80.0% 20.0% REIT 2 20.0% 80.0% -100.0% -20.0% -80.0% REIT 3 40.0% 60.0% 100.0% 40.0% 60.0% Total 100.0% 100.0% 0.0%

10 Variance Minimization

As explained above, there can be numerous solutions of a pure-play portfolio since usually the number of firms that constitute a portfolio is bigger than that of property types. For example, Table 2 computes the idiosyncratic components of a portfolio. When we invest 100%, -100%, and 100% into REIT 1, REIT 2, and REIT 3 respectively, the total idiosyncratic exposure is 22.4%. However, if we change the weights into 119%, -62%, and 43% while meeting the office and retail weight constraints, we can come up with 15.6% total idiosyncratic exposure in Table 3. This result makes sense as the idiosyncratic risk of retail properties is larger than that of office properties, the absolute weight value of REIT 2 which has a high fraction of the retail property should be smaller than before.

Table 2: Example, Pure-play portfolio with two property types and three REITs

Share of Firm Idiosyncratic Portfolio Exposure Exposure Assets Std.Dev Idiosyncratic Investment to Office to Retail Office Retail Office Retail exposure (wi) (wi × xOi) (wi × xRi) (xOi) (xRi) (σoi) (σRi) REIT 1 80.0% 20.0% 10.0% 20.0% 100.0% 8.9% 80.0% 20.0% REIT 2 20.0% 80.0% 10.0% 20.0% -100.0% 16.1% -20.0% -80.0% REIT 3 40.0% 60.0% 10.0% 20.0% 100.0% 12.6% 40.0% 60.0% Total 100.0% 22.4%* 100.0% 0.0%

3 * Total idiosyncratic exposure = 2 2 ∑(xoi wiσ oi ) + (xRi wiσ Ri ) 1

Table 3: Example, Pure-play portfolio with two property types and three REITs

Share of Firm Idiosyncratic Portfolio Exposure Exposure Assets Std.Dev Idiosyncratic Investment to Office to Retail Office Retail Office Retail exposure (wi) (wi × xOi) (wi × xRi) (xOi) (xRi) (σoi) (σRi) REIT 1 80.0% 20.0% 10.0% 20.0% 118.9% 10.6% 95.1% 23.8% REIT 2 20.0% 80.0% 10.0% 20.0% -62.1% 10.0% -12.4% -49.7% REIT 3 40.0% 60.0% 10.0% 20.0% 43.2% 5.5% 17.3% 25.9% Total 100.0% 15.6% 100.0% 0.0%

11 To address this potential several solution issue, we should find the optimal solution which can minimize the variance of idiosyncratic components, which in turn can minimize the variance of a portfolio. There are two ways to achieve a minimum variance portfolio: matrix inverse method and excel solver function method.

2-2. Application of Two Methods

Method 1: Matrix inverse method using Lagrangean Relaxation

First, by applying the weight constraints of the equation (5) to the equation (4), we can simplify the portfolio return equation as below:

n ~ ~ ~ ~ rP = rO + ∑(wi xOi eOi + wi xRi eRi ) (6) i=1

Note that the idiosyncratic return part remains in the above equation. The variance of the portfolio would be

n ~ ~ 2 2 ~ 2 2 ~ Var(rP ) = Var(rO ) + ∑[w i x OiVar(eOi ) + w i x RiVar(eRi )] (7) i=1

To get the minimum variance, Lagrangean relaxation method is used. Lagrangean relaxation is a technique which was invented by Lagrange in 1797. This technique has been very useful in conjunction with Branch and Bound method as to boundary solutions. Usually, this is an obvious tool for getting lower bounds. Given the original problem, with some “fixed” variables, this technique relaxes some of the constraints by inserting Largrange multiplier and performs sub- gradient optimization, which in turn will give a lower bound. From this relaxation assumption, new function of L is created as below

12 n n n ~ 2 2 ~ 2 2 ~ ⎛ ⎞ ⎛ ⎞ L = Var((rO ) + ∑[w i x OiVar(eOi ) + w i x RiVar(eRi )]+ a⎜∑ wi xRi ⎟+ h⎜∑ wi xOi −1⎟ 8) i=1 ⎝ i=1 ⎠ ⎝ i=1 ⎠ where a and h are Lagrange multipliers. Note that the value of the new equation (8) is the same

n n as the equation (7) since we assumed that ∑ wi xOi =1 and ∑ wi xRi =0 in the equation (5). To i=1 i=1 get the minimum of L, the first derivatives according to different weights, δL/ δwj (for j =1, . . ,n), should be equal to zero. Therefore, we can get the following n different equations as below:

2 ~ 2 ~ [2w j x OjVar(eOj ) + 2w j x RjVar(eRj )]+ a(xRj )+ h(xOj )=0 (for j =1, . . ,n) (9)

Now we have n + 2 linear equations (n in equations (9) and two in equation (5)) with n + 2 unknown variables (n weights and two in a and h). All we have to do is solve the n + 2 linear equations by using basic algebra.

However, we need to generalize the n + 2 equations because the number of REITs considered in analysis tends to be quite high and the number of property sectors or the number of other target categories is different according to the situation. Suppose that there are t categories in pure-play portfolios and you want to construct a portfolio in property category 1. Hi would be defined as below:

t 2 ~ H i = 2∑ x ki Var(eki ) (10) k =1

If we substitute the equation (10) into the equation (9) and define t more variables as in the equation (8), we can achieve generalized matrix system of pure-play equations as the equation (11) below.

13 ⎡H1 0 0 L 0 x11 x21 L xt1 ⎤ ⎡w1 ⎤ ⎡0⎤ ⎢ 0 H 0 0 x x x ⎥ ⎢w ⎥ ⎢0⎥ ⎢ 2 L 12 22 L t 2 ⎥ ⎢ 2 ⎥ ⎢ ⎥ ⎢ 0 0 H 3 L 0 x13 x23 L xt3 ⎥ ⎢w3 ⎥ ⎢0⎥ ⎢ ⎥ ⎢ ⎥ ⎢ ⎥ ⎢ M M M O M M M M ⎥ ⎢ M ⎥ ⎢M⎥ ⎢ ⎥ ⎢ ⎥ ⎢ ⎥ 0 0 0 L H n x1n x2n L xtn wn = 0 (11) ⎢ ⎥ ⎢ ⎥ ⎢ ⎥ ⎢x11 x12 x13 L x1n 0 0 L 0 ⎥ ⎢ h ⎥ ⎢1⎥ ⎢x x x x 0 0 0 ⎥ ⎢a ⎥ ⎢0⎥ ⎢ 21 22 23 L 2n L ⎥ ⎢ 2 ⎥ ⎢ ⎥ ⎢ M M M M M M M ⎥ ⎢ M ⎥ ⎢M⎥ ⎢ ⎥ ⎢ ⎥ ⎢ ⎥ ⎣ xt1 xt 2 xt3 L xtn 0 0 L 0 ⎦ ⎣ at ⎦ ⎣0⎦

Therefore, our portfolio weights of a target property sector can be achieved as below:

−1 ⎡w1 ⎤ ⎡H1 0 0 L 0 x11 x21 L xt1 ⎤ ⎡0⎤ ⎢w ⎥ ⎢ 0 H 0 0 x x x ⎥ ⎢0⎥ ⎢ 2 ⎥ ⎢ 2 L 12 22 L t 2 ⎥ ⎢ ⎥ ⎢w3 ⎥ ⎢ 0 0 H 3 L 0 x13 x23 L xt3 ⎥ ⎢0⎥ ⎢ ⎥ ⎢ ⎥ ⎢ ⎥ ⎢ M ⎥ ⎢ M M M O M M M M ⎥ ⎢M⎥ ⎢ ⎥ ⎢ ⎥ ⎢ ⎥ wn = 0 0 0 L H n x1n x2n L xtn 0 (12) ⎢ ⎥ ⎢ ⎥ ⎢ ⎥ ⎢ h ⎥ ⎢x11 x12 x13 L x1n 0 0 L 0 ⎥ ⎢1⎥ ⎢a ⎥ ⎢x x x x 0 0 0 ⎥ ⎢0⎥ ⎢ 2 ⎥ ⎢ 21 22 23 L 2n L ⎥ ⎢ ⎥ ⎢ M ⎥ ⎢ M M M M M M M ⎥ ⎢M⎥ ⎢ ⎥ ⎢ ⎥ ⎢ ⎥ ⎣ at ⎦ ⎣ xt1 xt 2 xt3 L xtn 0 0 L 0 ⎦ ⎣0⎦

Due to the characteristics of matrix calculations and definitions of variables, we can derive t target sets of portfolio weights by only seeing the upper-right t × n part of inverse matrix. If we define the components of t × n matrix as Itn (for t=1,. ., t and n=1,. ., n), we can simplify the final solution of pure-play portfolios as below:

⎡SET 1 SET 2 L SET t⎤ ⎡ ⎤ ⎢ w w w ⎥ ⎢I I I ⎥ ⎢ 11 21 L t1 ⎥ ⎢ 11 21 L t1 ⎥ ⎢ w12 w22 L wt 2 ⎥ ⎢I12 I 22 L I t 2 ⎥ ⎢ ⎥ = ⎢ ⎥ (13) ⎢ w13 w23 L wt3 ⎥ ⎢I13 I 23 L I t3 ⎥ ⎢ ⎥ ⎢ ⎥ ⎢ M M M ⎥ ⎢ M M M ⎥ ⎣⎢ w1n w2n L wtn ⎦⎥ ⎣⎢I1n I 2n L I tn ⎦⎥

14 To solve the matrix inverse, we used GAUSS which is a specialized matrix calculation program due to the huge size of the matrix.

Estimates of Idiosyncratic Variance

All data that is necessary to construct linear equations can be obtained directly from the ~ structural information of each REIT except for the idiosyncratic variance, Var(eki ) . Therefore, we need to estimate the idiosyncratic variance of each REIT from the structural information. In fact, precise value about the individual REIT idiosyncratic variances across sectors might be difficult to obtain. However, the pure-play portfolio weights are a function of the relative idiosyncratic variances instead of the absolute values. In other words, relative idiosyncratic amounts are enough to obtain the optimal weights. To show this, divide both sides of the equation (7) by a constant, Y.

~ ~ n ~ ~ Var(rP ) Var(rO ) 2 2 Var(eOi ) 2 2 Var(eRi ) = + ∑ [ w i x Oi + w i x Ri ] (14) Y Y i=1 Y Y

If the same Lagrangean relaxation procedure is applied as before to the above equation (14), we can see that the same portfolio weights can meet the conditions of a pure-play portfolio as below.

2 ~ 2 ~ [2w j x OjVar(eOj ) + 2w j x RjVar(eRj )]+ aY (xRj ) + hY (xOj ) =0 (15)

The only difference between the equation (9) and (15) is Lagrangean multipliers, aY and hY, which do not have any effects on the optimal solution. From above relationship, we could prove that the relative idiosyncratic variance is enough to obtain the optimal pure-play weights.

The next step is to estimate relative idiosyncratic variances. We assume that idiosyncratic variances are inversely proportional to the dollar amounts of each REIT’s holdings in each property type because the more assets they hold, the more idiosyncratic variances can be

15 diversified away. For example, if we think of REIT i and j which hold property types o and r, the relationship between idiosyncratic variances across REITs would be

~ Var(ebi ) Aj xaj ~ = (16) Var(eaj ) Ai xbi

where Ai is the dollar value of REIT i’s assets. Therefore, we can define the relative idiosyncratic variances of REIT in another way by inserting a constant, Z, as below

~ Z ~ Z Var(ebi ) = and Var(eaj ) = (17) Ai xbi Ai xaj

Using the above equation, we can estimate the relative idiosyncratic variance of each REIT from its structural information, which can finish the constructions of the linear equations.

Method 2: Excel Solver Tool

Excel solver tool can identify the optimal solution by trial and error methods given specified constraints. Keep in mind that our objective is to find the optimal weights which lead to the minimum idiosyncratic variance. From above assumptions in the equation (17), we can obtain total relative idiosyncratic variance of REIT i, which holds t property sectors as below

t t ⎛ Z ⎞ t ⎛ 1 ⎞ ~ 2 2 ~ 2 2 ⎜ ⎟ 2 2 ⎜ ⎟ Var(ei ) = ∑ wi xti Var(eti ) = wi ∑ xti ⎜ ⎟ = Zwi ∑ xti ⎜ ⎟ (18) t=1 t=1 ⎝ Ai xti ⎠ t=1 ⎝ Ai xti ⎠

Therefore, the total portfolio-level amount of idiosyncratic variance would be

i ⎛ t ⎛ 1 ⎞ ⎞ Var(e~ ) = Z ⎜ w2 x 2 ⎜ ⎟ ⎟ (19) P ∑∑⎜ i ti ⎜ ⎟ ⎟ i==11⎝ t ⎝ Ai xti ⎠ ⎠

16 Now, we defined the whole components necessary to run Solver tool. The input of Solver tool is made up of three parts: target cells, changing cells, and constraints.

• Target Cells: Make sure that the total idiosyncratic variance, equation (19), should be minimum amount. • Changing Cells:

Make sure that the weight cells, wi, should be changing cells. • Constraints Input several constraints defined above. When an office property is a target,

∑ wi =1, ∑ wi xOi = 1, and ∑ wi xRi = 0

It is important to note that the optimal portfolio weights which lead to the minimum idiosyncratic variance has nothing to do with the magnitude of a constant Z.

Comparison of results

We applied the two methods to the same situation in an effort to check the accuracy of the two methodologies. Table 4 shows the main assumption, where there are 5 REITs, each of which has different amount of assets but holds only two property sectors.

Table 4: Main assumption in the comparison of the two methodologies

Share of Firm Assets Relative Idiosyncratic Var. Asset H (A ) Office Retail i i Office (xOi) Retail (xRi) Total (Z/(AixOi)) (Z/(AixRi)) REIT 1 500 10% 90% 100% 2.00 0.22 0.40 REIT 2 400 25% 75% 100% 1.00 0.33 0.50 REIT 3 300 50% 50% 100% 0.67 0.67 0.67 REIT 4 200 60% 40% 100% 0.83 1.25 1.00 REIT 5 100 90% 10% 100% 1.11 10.00 2.00 Total

17 Table 5: Comparison of the two methodologies, Matrix Inverse and Solver Tool

Matrix Inverse (1) Solver Tool (2) Difference (2)-(1) Office Retail Office Retail Office Retail REIT 1 -0.6028 0.8156 -0.6046 0.8156 -0.0017 0.0000 REIT 2 -0.0142 0.4113 -0.0125 0.4112 0.0017 -0.0002 REIT 3 0.5745 0.0071 0.5736 0.0074 -0.0008 0.0003 REIT 4 0.5390 -0.0757 0.5411 -0.0757 0.0021 -0.0001 REIT 5 0.5035 -0.1584 0.5023 -0.1584 -0.0012 -0.0001 Total 1.0000 1.0000 1.0000 1.0000 0.0000 0.0000

As we can see in above Table 5, the resulting sets of optimal weights from two methods have negligible differences. In following analysis of pure-play portfolios, we mainly conducted the Matrix Inverse method since there is higher volume of operations in the Excel tool method.

2-3. Other Considerations

Adjusting for Debt

Until now, we just assumed that REITs hold 100% equity in their assets. However, we have to know unlevered property level returns of REITs in case they use debt among their assets. To apply above solution to REITs which hold debt in their assets, we need to redefine several variables using leverage ratios of REITs. Leverage ratios are obtained from balance sheet information across REITs and years. (See Appendix A)

The Data

As we can see in above equation (13), only one matrix inverse procedure can lead to the total pure-play portfolio weights as long as we are able to get the appropriate input information of the matrix equation (11). In other words, one of the most critical parts in pure-play analysis is data

18 gathering. The data we need to fill out the matrix consist of three parts: balance sheet information, return data, and asset breakdown data.

First, balance sheet data is needed to identify the amount of idiosyncratic variance terms across REITs and to unlever REIT returns using leverage ratios. Second, return data is needed to obtain the total portfolio return from pure-play weights across REITs. These two kinds of information are easy to obtain from financial data base such as CRSP (Center for Research in Security Prices).

Finally, we need information on the fraction of assets across specified sectors such as property types and locations. This final information is the most challenging part to obtain and, in turn, the most critical part in the pure-play analysis. It is impossible to get perfectly precise asset breakdown because the balance sheet information is related to the book value while the asset breakdown should be based on their market values. Moreover, the marked to market real estate value across time and REITs is private information, which is difficult to obtain from all REITs directly. Instead, we used publicly available data from NAREIT (The National Association of REITs) and the commercial data service firm, SNL financial. Since this data is based on the lease area, we converted area information into market values by multiplying price per SF data by property type and region from NCREIF (National Council of Real Estate Investment Fiduciaries).

As explained above, very little information is required to construct a pure-play portfolio. We do not need the statistical relationship between property returns and REIT returns. All we need is the structural information on REITs and their balance sheet information to estimate the relative magnitude of the idiosyncratic risk. In other words, the procedures of constructing pure-play portfolios are very straightforward as long as the accuracy of data is guaranteed. In this research, we followed an indirect path to obtain the structural information of REITs. More accurate and market value-based information on REITs holding can lead to more reliable results.

19 CHAPTER 3: Application of Pure-play Portfolio

We applied above pure-play methodologies to construct REIT-based pure-play portfolios for major property types (apartments, office, industrial, and retail) and geographic locations (east, west, south, and midwest) for the period 1997-2003. For the analysis, we used area-based property holding data from SNL financial and Morgan Stanley. We also used NCREIF market value data to obtain value-based property holdings. For the geographic location, regional breakdown of NCREIF was applied since our market values of properties can be organized according to NCREIF regions. Property holdings and balance sheet data are on an annual basis; we constructed annual pure-play portfolios across property types and geographic locations.

We started from publicly traded REITs across the period, which can be derived from NAREIT. Among those REITs, about 50% of REITs were filtered out for the accuracy of analysis and the relevance of information. The main considerations in the filtering process are as below.

Equity REITs: Equity REITs own and operate income-producing real estate but Mortgage REITs lend money directly to real estate owners, or indirectly through acquisition of loans or mortgage-backed securities. Hybrid REITs are companies that both own properties and make loans to owners and operators. Even though there is technical way to adjust REIT investments considering the percentage of mortgage in their assets, these mortgage REITs can introduce error into the results because it is difficult to get the exact information on their mortgage holding values and the accompanying returns.

Main-Property REITs: We exclude REITs which hold more than 10% of their property holdings in property sectors such as health care, hotel, golf course, and self storage. It is not possible to infer the values of those miscellaneous sectors from NAREIF information. In addition, the other sectors would generate more short positions to get the pure-play portfolios of main sectors, which, in turn, would magnify the idiosyncratic risk in the portfolio.

20 Adjustment: The remaining REITs after two tests are assumed to hold only major property sectors, apartment, office, industrial, retail. Therefore, if one REIT hold 95% asset in major sectors, the remaining 5% asset is distributed according to the proportions of asset in major sectors.

We also excluded several REITs on which we cannot get structural information. This would not make a major difference since the number of REITs whose data is unavailable is very small compared to total number. In addition, the data of most major REITs which hold a large magnitude of assets is available. The lists of REITs in pure-plays for geographic locations also followed the same lists for property sectors of given year. Table 6 shows the summary of REITs included in pure-play portfolios for 7 years. We can see the large increase in the average asset of REITs compared to the number of REITs in the portfolios for 7 years. It is also important to note that the average leverage ratio, average asset divided by average debt, is 2.61. Since we have to achieve unlevered property level REITs returns, this high leverage ratios make the unlevered REITs returns largely attributable to corporate bond index. The detailed explanation of REITs leverage will be made in Appendix A.

Table 6 : Summary of Pure-Play Portfolios

Number of Total Asset Total Debt Av. Asset Av. Debt Av. Leverage Year REITs (Million $) (Million $) (Million $) (Million $) Ratio 1997 77 63,383 38,851 823 505 2.58 1998 85 114,200 63,965 1,344 753 2.27 1999 88 174,874 103,339 1,987 1,174 2.44 2000 92 206,760 127,675 2,247 1,388 2.61 2001 95 223,591 142,096 2,354 1,496 2.74 2002 90 233,934 148,040 2,599 1,645 2.72 2003 96 267,194 174,349 2,783 1,816 2.88 Average 89 183,419 114,045 2,061 1,281 2.61

21 3-1. Property-Type Pure-play Portfolios

General Characteristics

Table P1-P7 in Appendix B show the pure-play portfolios whose targets are major property sectors, apartment, office, industrial, and industrial, for the period 1997-2003. Fourth and fifth columns show total asset and leverage ratio (total asset divided by total equity) on a book-value basis. The other parts explain the asset breakdown into property sectors and the final portfolio weights. The positive signs in weights mean long positions and negative signs mean short positions in their investments. As we can see, we should invest about 65% in bonds to obtain property level REIT returns. Especially, retail pure-play portfolios need higher weights in bonds since the REITs who specialize in retail sectors use higher leverage in their assets. The Ibbotson corporate-bond total return index was used to represent bond returns in the portfolios since we assumed that the general corporate bond index can represent the overall bond market regardless of different industries.

The REITs industry has made a lot of progress over the past two decades in terms of the number of REITs and specialization by property types. Specifically, after mid 90s a large number of REITs tended to have specialized investment targets such as apartment and office. In other words, many recent REITs are already individual pure play vehicles by themselves. We can see these trends from their fractions of assets across property types. Except several REITs which diversified well across property types, most REITs hold their specialized investment sectors. These improvements in REITs industry make it possible to construct more effective pure-play portfolios with small amount of short positions since large short positions act like leverage within the portfolio, increasing idiosyncratic risk of the portfolio.

It is important to note that during the period 1997-2003 REIT industry has been stabilized in terms of specialization and structure of investments. For instance, if we look at the pure-play portfolio of apartment in 2003, the sum of short positions is only 1.37% with the lowest position in one REIT 0.34%. Moreover, 96% of long positions are invested in residential REITs which are classified by NAREIT. In other words, this result means that most REITs already hold pure-

22 play portfolio by themselves with regard to property types, so constructing pure-play portfolios makes no big difference compared to investments in the specialized REITs according to the target property types. In fact, if we compare pure-play portfolio index with NAREIF property index adjusted with bond returns, we could come up with almost same index. This result will be discussed in next section.

For comparison, we can contrast the pure-play portfolio in 2003 with 1987 which was constructed by David Geltner and Brian Kluger in 1998. In 1987, there is small number of REITs in the industry and the REITs were less specialized with regard to property types compared to the present. Therefore, we need to have very large amount of short position to eliminate non-target property sectors, which makes a great deal of noise in the return components and increases idiosyncratic risk. For example, the 1987 apartment portfolio demanded 95% of the portfolio be invested in just four REITs, and the total of all the required short positions equals 67% of the entire portfolio value.

Another issue we need to consider is the frequency of rebalancing of portfolios. Before mid 90s, there was a big change in the REIT industry with regard to the number of REITs and specialization by property types. Therefore, we need to rebalance our pure-play portfolio at least every year. However, during the period of 1997-2003 in our analysis, it is less necessary to rebalance the portfolios as frequently because of the stabilization of REITs industry. Nevertheless, we rebalanced our portfolios on an annual basis since we performed pure-play procedures to not only property sectors but also geographical locations, which are less stabilized than property sectors. In addition, the big increase in total assets can have an impact on the pure- play weights.

Historical Index of Pure-Play Return

One of the main objectives of constructing pure-play portfolio is to compute the historical returns and compare those returns with comparable returns. The analysis of investment performance by property type can be very important for several perspectives. From a fundamental perspective,

23 disaggregating by property type can allow the richness in the study of the economic relationship between underlying property markets and capital markets. From an investment analysis perspective, property type has always been considered a major dimension for diversification of real estate portfolios. NAREIT property index which has been constructed from 1993 by classifying each REIT as representing a given property type has the same motivation. In addition to the above considerations, the correlations between REIT pure-play returns with those of total markets can help obtain the beta components with regard to overall market situations. For instance, the relative volatility of pure-play portfolios across property types compared to the total REIT market can represent the risk component of a given property type. That risk components can be translated to market beta, which have an impact on the required cost of capital of investment.

From the pure-play weights that we derived in table P1-P7 in Appendix B and the past return components including corporate bond index, we can compute historical returns of REIT-based pure-play portfolios for four property sectors. As explained above, the Ibbotson corporate-bond total return index was used to represent bond returns. Table 7 shows the historical returns and Index of pure-play portfolios for the period 1997-2003. The Index value of pure-play returns was obtained by computing compound return of one dollar value invested in 1996. We can see that, industrial and retail sectors outperformed apartment and office sectors for the past 7 years.

24 Table 7: Historical Index of Pure-Play Quarterly Returns vs. NCREIF unsmoothed Quarterly Returns, 1997~2003

Pure-Play Index Returns NCREIF Index Returns (Unsmoothed)

Quarterly Total Return (%) Cumulative Total Value ($) Quarterly Total Return (%) Cumulative Total Value ($) Year Q Indus Industr Industr Indus APT office Retail APT office Retail APT office Retail APT Office Retail trial ial ial trial 1996 4 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1997 1 -0.3% 0.7% -0.2% -1.8% 1.00 1.01 1.00 0.98 0.7% -0.5% 3.1% 1.3% 1.01 0.99 1.03 1.01 2 4.4% 4.8% 4.1% 5.3% 1.04 1.06 1.04 1.04 3.8% 4.6% 4.3% 3.6% 1.05 1.04 1.07 1.05 3 7.0% 10.7% 10.2% 5.4% 1.11 1.17 1.14 1.09 3.4% 7.2% 5.9% 3.3% 1.08 1.12 1.14 1.08 4 2.4% 3.3% 5.9% 4.0% 1.14 1.21 1.21 1.14 5.3% 9.5% 4.2% 4.0% 1.14 1.22 1.19 1.13 1998 1 1.5% -0.6% -0.3% 2.2% 1.16 1.20 1.21 1.16 1.1% 5.4% 2.7% 3.9% 1.15 1.29 1.22 1.17 2 0.5% -1.9% 0.2% 2.4% 1.16 1.18 1.21 1.19 4.3% 4.5% 6.7% 3.7% 1.20 1.35 1.30 1.21 3 -0.5% -4.7% 1.4% 1.5% 1.16 1.12 1.23 1.20 3.7% 2.1% 2.5% 2.4% 1.24 1.37 1.33 1.24 4 -0.7% 0.7% -2.3% 1.1% 1.15 1.13 1.20 1.22 3.7% 5.2% 2.6% 3.5% 1.29 1.44 1.37 1.29 1999 1 -1.9% -2.2% -4.2% -4.4% 1.13 1.10 1.15 1.16 1.6% 0.7% 1.4% 3.9% 1.31 1.45 1.38 1.34 2 4.6% 3.4% 3.6% -0.4% 1.18 1.14 1.19 1.16 2.1% 3.1% 3.7% 2.0% 1.34 1.50 1.44 1.36 3 -2.5% -4.8% -4.0% -2.7% 1.15 1.09 1.14 1.13 2.5% 3.2% 3.3% 2.7% 1.37 1.55 1.48 1.40 4 0.3% 0.3% 2.3% -1.7% 1.16 1.09 1.17 1.11 4.3% 2.7% 2.1% 3.2% 1.43 1.59 1.51 1.44 2000 1 2.0% 2.6% 2.3% 2.9% 1.18 1.12 1.20 1.14 0.9% 2.4% 2.9% 1.7% 1.44 1.63 1.56 1.47 2 5.6% 5.3% 6.8% 2.2% 1.25 1.18 1.28 1.17 3.4% 4.2% 4.3% 3.3% 1.49 1.69 1.62 1.52 3 6.0% 6.9% 6.4% 3.3% 1.32 1.26 1.36 1.20 2.6% 2.9% 3.7% 2.0% 1.53 1.74 1.68 1.55 4 6.4% 5.7% 4.1% 5.4% 1.40 1.33 1.42 1.27 5.2% 4.1% 4.9% 0.9% 1.61 1.81 1.77 1.56 2001 1 2.0% 0.6% 0.4% 6.0% 1.43 1.34 1.42 1.35 0.1% -0.1% -0.2% 2.3% 1.62 1.81 1.76 1.60 2 4.0% 4.9% 4.3% 4.3% 1.49 1.40 1.48 1.40 3.8% 1.7% 3.8% 1.6% 1.68 1.84 1.83 1.62 3 3.0% 2.2% 0.1% 2.0% 1.53 1.43 1.48 1.43 1.6% 0.3% 0.9% 2.8% 1.70 1.85 1.85 1.67 4 1.6% 0.8% 3.4% 4.4% 1.56 1.45 1.53 1.50 1.3% -1.9% -0.7% 1.2% 1.72 1.81 1.83 1.69 2002 1 1.9% 2.5% 4.4% 2.9% 1.59 1.48 1.60 1.54 2.1% 2.3% 2.7% 2.4% 1.76 1.85 1.88 1.73 2 3.1% 3.7% 7.3% 6.3% 1.64 1.54 1.72 1.64 1.7% 0.2% 1.0% 3.8% 1.79 1.86 1.90 1.79 3 0.9% 1.1% 2.9% 6.0% 1.65 1.55 1.77 1.73 3.9% 1.8% 2.6% 3.6% 1.86 1.89 1.95 1.86 4 1.6% 1.3% 1.8% 2.1% 1.68 1.57 1.80 1.77 1.1% -1.5% 2.1% 5.4% 1.88 1.86 1.99 1.96 2003 1 0.8% 1.9% 2.4% 3.6% 1.69 1.60 1.84 1.84 2.7% 3.1% 2.6% 6.0% 1.93 1.92 2.04 2.08 2 7.0% 8.6% 6.0% 7.2% 1.81 1.74 1.95 1.97 3.3% 1.3% 1.5% 4.2% 2.00 1.94 2.07 2.17 3 2.9% 0.6% 2.6% 1.5% 1.86 1.75 2.01 2.00 1.4% 2.1% 3.4% 0.4% 2.03 1.98 2.14 2.17 4 1.0% 4.0% 3.4% 2.7% 1.88 1.82 2.07 2.05 2.7% 1.7% 2.9% 9.6% 2.08 2.02 2.21 2.38

25 Comparison with NCREIF returns

The pure-play index is based on REIT and Bond returns, and therefore represents the economics of public securities and bond market. In other words, REIT performance can be attributable to underlying property market, stock market, and REIT-level management power such as asset management and financial leverage. On the contrary, NCREIF index is based on the privately held properties of institutional investors. NCREIF index is the most widely used benchmark of appraisal-based total returns to commercial property of institutional investors. Therefore, the performance of NCREIF index can be attributable to the economic of the underlying property market although there are some smoothing and lagging effects caused by the appraisal process and the index construction procedure.

Recent studies have suggested that there are interesting differences and similarities between REIT returns index and appraisal-based returns index. Specifically, several recent studies have suggested that REIT returns and appraisal based returns are fundamentally related, but with REIT returns leading appraisal returns by one to three years. From the several perspectives mentioned above, it is very interesting to compare REIT-based index with appraisal-based NCREIF index.

The right eight columns in table 7 show NCREIF quarterly returns and compound return values invested in 1996. The NCREIF returns have been unsmoothed using the procedures described in Fisher, Geltner and Webb (1994). This unsmoothing technique is applied to correct for the effect of appraisal smoothing and temporal aggregation. NCREIF returns consist of two components, income returns and appreciation returns, and there are two ways to define the corresponding income components: NOI based and Cash flow based. According to Michael, David, Willard, Douglas (1995), if the bulk of the REIT share price appreciation reflects property development and acquisitions that are largely externally financed, the comparable form of the NCREIF Index appreciation returns should be the official NOI-based definition. If, on the other hand, the bulk of the REIT share price appreciation reflects same-store property market value growth and routine capital improvement expenditures that are internally financed (essentially, from the cash flow generated by the REITs’ property holdings), then the cash flow based definition of appreciation

26 return in the NCREIF Index is best to use for comparability to REIT price appreciation. We used cash flow based returns since we assumed that method would more accurately portray the actual price path of properties over time given the reality of capital improvements to the properties.

Figure 1 shows the values of $1 invested to pure-play portfolios and NAREIF index at the end of 1996 for each property type which were computed in Table 7. The overall movements of the index value are almost similar, but NCREIF returns outperformed REIT-based pure-play returns by small amount. In particular, REIT portfolios suffered very lower returns in the period of 1997-1999 in every sector because of the general poor performance of REIT market. After that period, REIT-based pure-play returns slightly outperformed NCREIF returns, decreasing the gap between two indices. From the shape of index line and the summary statistics explained in next section, we can see that the returns of REIT portfolio tend to be more volatile than NCREIF returns, even though the REIT-based returns are unlevered and the NCREIF returns are unsmoothed.

Figure 1 : Value of $1 invested at the end of 1996, REIT-based Pure-Play vs. NCREIF

Apartme nts 2.50

2.00 )

$ 1.50 ( e u l

Va 1.00

0.50

0.00 96- 97- 97- 98- 98- 99- 99- 00- 00- 01- 01- 02- 02- 03- 03- 4 2 4 2 4 2 4 2 4 2 4 2 4 2 4

Quarter

Pure-Play NCREIF

27 Industrial 2.50

2.00 )

$ 1.50 ( e u l

Va 1.00

0.50

0.00 96- 97- 97- 98- 98- 99- 99- 00- 00- 01- 01- 02- 02- 03- 03- 4 2 4 2 4 2 4 2 4 2 4 2 4 2 4

Quarter

Pure-Play NCREIF

Office 2.50

2.00 )

$ 1.50 ( e u l

Va 1.00

0.50

0.00 96- 97- 97- 98- 98- 99- 99- 00- 00- 01- 01- 02- 02- 03- 03- 4 2 4 2 4 2 4 2 4 2 4 2 4 2 4

Quarter

Pure-Play NCREIF

We can also see that the best performance property sectors during the past 7 years are industrial and retail sectors both in REIT pure-play index and NCREIF index.

28 Retail 3.00

2.50

2.00 ) $ ( e

u 1.50 l Va 1.00

0.50

0.00 96 97 97 98 98 99 99 00 00 01 01 02 02 03 03 ------4 2 4 2 4 2 4 2 4 2 4 2 4 2 4

Quarter

Pure-Play NCREIF

Although the orders of performance do not perfectly match between two indices, the general trends of performance are very similar with each other. We can infer that the difference in absolute index value can be caused by the different characteristics of two market, public REIT market and private property market. However, the economics of underlying properties in both markets can make the relative values almost similar. For example, if apartment properties generate higher returns than other sectors in property market, the REITs which specialize in an apartment sector tend to have higher performance than other REITs.

Table 9 shows the summary statistics for the quarterly returns of REIT-based pure-play portfolio and unsmoothed NCREIF index. As explained above, pure-play portfolios have higher volatility and lower average returns than NCREIF returns. The correlations between pure-play portfolios and NCREIF returns for the same property sectors are around 25%. We can infer that the potential lagging situation between two markets and the difference in market economics can lead to these low correlations. On the other hand, the correlations between different property sectors in the same market show very close movements except for the retail sector in NCREIF returns.

Table 8: Basic Statistics for REIT-based pure-play portfolio, NCREIF unsmoothed Return, and Other Index based on quarterly returns, 1997~2003

Pure-Play Quarterly Return (%) NCREIF Unsmoothed Return (%) Adjusted NAREIT property INDEX (%) Corp. S&P Bond Indus Indus Indus 500 APT Office Retail APT Office Retail APT Office Retail Index trial trial Trial Mean 2.3% 2.2% 2.7% 2.6% 2.7% 2.6% 2.9% 3.2% 2.3% 2.3% 2.6% 2.6% 2.3% 2.1%

Median 1.9% 2.0% 2.8% 2.8% 2.6% 2.3% 2.8% 3.2% 1.6% 2.1% 3.1% 2.6% 2.8% 2.1%

Maxi. 7.0% 10.7% 10.2% 7.2% 5.3% 9.5% 6.7% 9.6% 7.5% 12.8% 8.6% 7.3% 21.3% 9.0%

Min. -2.5% -4.8% -4.2% -4.4% 0.1% -1.9% -0.7% 0.4% -2.5% -3.9% -3.7% -4.3% -17.3% -3.6%

Standard deviation 2.6% 3.5% 3.3% 2.9% 1.4% 2.5% 1.6% 1.8% 2.6% 3.6% 3.1% 2.8% 10.3% 3.0%

CORRELATION

Pure-Play APT 100.0%

Office 89.6% 100.0%

Industrial 81.5% 82.6% 100.0%

Retail 63.1% 60.8% 66.9% 100.0%

NCREIF APT 21.8% 22.1% 29.8% 20.1% 100.0%

Office 22.1% 23.5% 25.3% 8.6% 63.9% 100.0%

Industrial 30.2% 26.8% 28.0% -0.2% 58.7% 70.5% 100.0%

Retail -17.5% 6.9% 1.6% 6.5% 11.6% 8.0% -1.7% 100.0%

NAREIT APT 99.1% 89.1% 82.4% 64.9% 30.5% 25.5% 31.4% -14.0% 100%

Property Office 86.7% 97.6% 80.7% 59.8% 21.0% 28.0% 27.3% 6.6% 87% 100%

Industrial 83.0% 83.7% 97.5% 69.3% 20.9% 18.7% 19.8% 1.9% 83% 81% 100%

Retail 66.8% 64.0% 71.2% 99.4% 21.1% 10.2% 2.2% 8.7% 69% 62% 74% 100%

S&P 500 3.9% 18.5% -1.0% -16.0% 9.1% 22.2% 13.2% 22.3% 6% 20% -2% -16% 100%

Corporate Bond Index 36.4% 31.6% 39.1% 79.1% 37.7% 18.5% 6.0% 7.6% 41% 34% 38% 78% -36% 100%

30 Comparison with NAREIT property returns

Over the past 10 years, REIT industry experienced considerable specialization into property sectors. Therefore, it has been very easy to classify one REIT as representing a given property sector. As of Dec. 2003, there were only 16 REITs classified as diversified out of 173 NAREIT member companies. The whole remaining REITs have their own specialty in the property sectors such as apartment, office, and retail. NAREIT constructed NAREIT sub-index of property from 1993 according to their classifications. Property index is calculated using portfolios whose weights are proportional to their market capitalization within their specialized property sectors.

We included NAREIT property index in our quarterly return analysis to compare the results with pure-play portfolio returns. To make “apples to apples” comparison with unlevered pure-play returns, the index was adjusted using the weights of debt investment in the pure-play portfolios. For instance, if 50% debt investment is needed in the pure-play portfolio of the apartment sector in 2000, the adjusted NAREIT property index of apartment in a given year is achieved by applying the same 50% weight in debt investment. By doing so, we can obtain the comparable return components independent of bond returns. Table 8 also includes several basic statistics of adjusted NAREIT property index and Figure 2 shows the quarterly returns of three different indices: Pure-play portfolio, Unsmoothed NCREIF index, and NAREIF property index.

As we can see, the minimum correlation between pure-play portfolio and adjusted NAREIT index is 97.5%. Since the REIT industry already specialized in its investment across property sectors, the investment strategy of focusing one specialized property sector does not make a big difference with pure-play portfolios. We can expect these results from above pure-play computations since, for example, pure-play portfolio for apartment in 2003 calls for 96% long positions in apartment REITs classified by NAREIT. Figure 2 shows that the pure-play and NAREIT returns are almost similar to each other, sometimes perfectly overlap.

Figure 2 : Quarterly returns for Pure-Play, NCREIF, and NAREIT for property sectors, 1997~2003

Apartme nts 10.0%

8.0%

6.0%

$) 4.0% ue( l

a 2.0% V

0.0% 97 97 98 98 99 99 00 00 01 01 02 02 03 03 ------2.0% 1 3 1 3 1 3 1 3 1 3 1 3 1 3

-4.0% Quarter

Pure-Play NCREIF NAREIT

Office 14.0% 12.0% 10.0% 8.0% 6.0% $) 4.0% lue( a

V 2.0% 0.0% 97 97 98 98 99 99 00 00 01 01 02 02 03 03 ------

-2.0% 1 3 1 3 1 3 1 3 1 3 1 3 1 3 -4.0% -6.0% Quarter

Pure-Play NCREIF NAREIT

32 Industrial 12.0%

10.0%

8.0%

6.0%

$) 4.0% lue(

a 2.0% V 0.0% 97 97 98 98 99 99 00 00 01 01 02 02 03 03 ------

-2.0% 1 3 1 3 1 3 1 3 1 3 1 3 1 3

-4.0%

-6.0% Quarter

Pure-Play NCREIF NAREIT

Retail 12.0% 10.0%

8.0%

6.0%

$) 4.0% lue(

a 2.0% V 0.0% 97 97 98 98 99 99 00 00 01 01 02 02 03 03 ------

-2.0% 1 3 1 3 1 3 1 3 1 3 1 3 1 3

-4.0% -6.0% Quarter

Pure-Play NCREIF NAREIT

33 Lagged Correlation

With regard to the statistical relationship between REIT-based pure-play portfolio and NAREIF sub-index, the correlations shown in Table 8 are contemporaneous correlations using quarterly returns within sectors. However, according to the previous study, quarterly contemporaneous correlations are subject to obfuscation by noise and transient effects. Therefore, more fundamental relationship between two markets can be identified using annual return across time. In this analysis, the results of the previous pure-play study by Geltner and Kluger (1998) are used since 7 year data is not enough to get reliable statistical results. Therefore, we computed lagged correlations between pure-play portfolio and NCREIF sub-index using 17 year (1987- 2003) annual return data.

Previous research has shown that REIT-based returns tend to lead private-property returns by several years. Table 9 shows annual-frequency lagged correlations between pure-play portfolio and NAREIF sub-indices within each property type. With no lag in time, office and industrial sectors show positive correlations while apartment and retail sectors have negative relation. By increasing lag up to 4 years, we can see more substantial positive correlations between two markets. In particular, all four property types display positive correlation at two-year lag. Therefore, these results can partly support the previous research that the REIT market tends to lead property market by some years.

Table 9: Lagged Correlation between REIT-based pure-play portfolios and NCREIF, annual frequency total returns, 1987~2003

Lag(Year) Apartment Office Industrial Retail

0 -76% 43% 48% -11% 1 -34% 57% 47% 46% 2 44% 40% 53% 25% 3 31% 45% 64% -3% 4 5% 37% 46% -22%

34 3-2. Geographic Location Pure-play Portfolios

General Characteristics

After applying the procedures of pure-play Figure 3: Geographic Locations by NCREIF portfolios and historical index to property usages, we applied the same procedures to geographic locations, which are classified as West, East, South, and Midwest by NCREIF (See figure 3). For the effective comparison and data availability, the same REITs from property-type portfolios are picked up for a given year.

Table G1-G7 in Appendix B show the pure-play portfolios whose targets are locations, West, East, South, and Midwest, for the period 1997-2003. Every data in table is organized in the same way as the property-type case except that the location classification is used instead of the property type. As mentioned above, most REITs have specialized investment targets across property types. As for locations, on the other hand, we can see that the assets of many REITs are more diversified than property types. Therefore, to cancel out untargeted sectors, we should use larger amount of short positions within the portfolios. For example, if we see the pure-play portfolio in 2003, the sum of short positions of south is 29.96%, which is fairly high compared to 1.37% of the apartment-targeted portfolio in 2003. In addition, to get the same portfolio, we should have long positions in 50 REITs out of 96 but, in case of the apartment portfolio in 2003, only 27 REITs get long positions. In one sense, large number of REITs in long positions can be thought to be helpful in the diversification effect of idiosyncratic risks. However, this advantage tends to be offset by small amount of total assets in long position and large amount of assets in short position. Therefore, pure-play results of locations can have more noise in the return components and accompanying idiosyncratic risks.

35 It is also important to note that even though the assets of REITs are more diversified across geographic locations than property usages, most part of long positions are held by several big REITs which have large assets in given regions. This result is the same as the case of property type pure-plays.

Historical Index of Pure-Play Return vs. NCREIF

Again, we computed the historical returns of pure-play portfolios and compared those returns with comparable returns, NCREIF sub-indices. Like the case of property sectors, we achieved historical returns of REIT-based pure-play portfolios for four geographic locations from the pure-play weights in table G1-G7 in Appendix B and the past return information on REITs and corporate bond index. Table 10 shows the quarterly returns of pure-play portfolios and NCREIF for the period 1997-2003. Here, NCREIF index is also adjusted using unsmoothing technique applied to the previous property typed case. Figure 4 shows the comparison of performance for four different regions, which is interpreted as the amount of $1 invested in 1996.

We can see that the West region outperformed the other regions in both REIT and NCREIF index for the past 7 years. However, the orders of performance from 2nd to 4th are a little different. For instance, REIT-based pure-play results are sorted as West, Midwest, East, and South by descending order but NCREIF results are West, East, South, and Midwest. This can result from REIT-specific management components which are assumed to be different for every sector, different economics of stock market and underlying property market, and the possible data noise from the construction of pure-play portfolios. If we see Figure 4, the overall movements of index for the two markets are almost similar, but NCREIF returns outperformed REIT-based pure-play returns by small amount except Midwest region. For the same reason of the property sector case, REIT portfolios suffered low returns or losses in the period of 1997~1999.

36 Table 10: Historical Index of Pure-Play Quarterly Returns vs. NCREIF unsmoothed Quarterly Returns, 1997~2003

Pure-Play Index Returns NCREIF Index Returns (Unsmoothed) Quarterly Total Return (%) Cumulative Total Return ($) Quarterly Total Return (%) Cumulative Total Return ($) Year Q Mid Mid Mid Mid East West South East West South East West South East West South west west west west 1996 4 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1997 1 -1.0% 1.8% -2.3% -0.8% 0.99 1.02 0.98 0.99 0.9% 2.2% 0.6% 1.9% 1.01 1.02 1.01 1.02 2 4.4% 3.8% 6.0% 5.3% 1.03 1.06 1.04 1.04 4.5% 5.2% 3.6% 2.7% 1.05 1.08 1.04 1.05 3 7.5% 9.3% 6.0% 6.9% 1.11 1.15 1.10 1.12 4.7% 5.7% 4.6% 5.1% 1.10 1.14 1.09 1.10 4 3.4% 3.3% 3.3% 4.8% 1.15 1.19 1.14 1.17 7.3% 6.7% 5.0% 4.2% 1.18 1.21 1.14 1.15 1998 1 1.1% -0.3% 0.9% 1.7% 1.16 1.19 1.15 1.19 2.3% 2.7% 5.5% 2.3% 1.21 1.25 1.21 1.17 2 0.1% -1.0% 0.6% 1.7% 1.16 1.18 1.15 1.21 4.8% 6.7% 4.3% 3.0% 1.27 1.33 1.26 1.21 3 -1.7% -2.4% -1.9% 3.2% 1.14 1.15 1.13 1.25 3.1% 2.4% 1.6% 4.4% 1.31 1.36 1.28 1.26 4 0.7% 1.3% -1.8% 0.2% 1.15 1.16 1.11 1.25 4.3% 3.1% 3.6% 4.6% 1.37 1.40 1.32 1.32 1999 1 -3.2% -1.9% -2.7% -4.9% 1.11 1.14 1.08 1.19 1.7% 1.2% 2.7% 1.1% 1.39 1.42 1.36 1.33 2 2.1% 4.3% 3.0% 0.4% 1.14 1.19 1.11 1.19 2.7% 3.5% 1.9% 3.4% 1.43 1.47 1.39 1.38 3 -4.1% -3.7% -2.3% -3.8% 1.09 1.15 1.09 1.15 3.8% 2.5% 3.0% 3.0% 1.48 1.50 1.43 1.42 4 -0.6% 0.8% -0.5% 0.5% 1.08 1.16 1.08 1.16 3.1% 4.1% 2.3% 1.8% 1.53 1.57 1.46 1.44 2000 1 2.1% 3.8% 2.2% 1.5% 1.11 1.20 1.10 1.17 1.6% 2.8% 1.6% 1.6% 1.55 1.61 1.48 1.47 2 1.7% 7.7% 5.6% 4.6% 1.13 1.29 1.17 1.23 4.4% 5.1% 3.1% 2.3% 1.62 1.69 1.53 1.50 3 5.4% 9.4% 2.6% 3.9% 1.19 1.41 1.20 1.27 4.9% 2.9% 1.6% 2.2% 1.70 1.74 1.55 1.53 4 6.2% 5.5% 5.2% 5.4% 1.26 1.49 1.26 1.34 3.1% 7.3% 2.3% 1.6% 1.75 1.87 1.59 1.56 2001 1 3.8% -1.7% 5.0% 4.1% 1.31 1.46 1.32 1.40 0.5% -1.3% 1.1% 2.3% 1.76 1.84 1.61 1.59 2 3.9% 4.8% 5.2% 4.0% 1.36 1.53 1.39 1.45 3.1% 3.3% 2.6% 1.4% 1.81 1.90 1.65 1.62 3 2.7% 2.4% 1.6% 1.0% 1.40 1.57 1.41 1.47 0.9% 1.3% 1.2% 0.3% 1.83 1.93 1.67 1.62 4 3.0% 1.4% 1.9% 3.4% 1.44 1.59 1.44 1.52 0.5% -0.4% -1.0% -0.8% 1.84 1.92 1.65 1.61 2002 1 3.2% 2.1% 2.7% 2.5% 1.48 1.63 1.48 1.55 2.3% 2.8% 2.7% 1.9% 1.88 1.98 1.70 1.64 2 4.5% 3.7% 4.2% 7.7% 1.55 1.69 1.54 1.67 2.0% 1.3% 0.6% 1.9% 1.92 2.00 1.71 1.67 3 2.8% 1.7% 4.1% 2.2% 1.59 1.72 1.60 1.71 3.2% 2.6% 2.9% 2.4% 1.98 2.05 1.76 1.71 4 1.3% 1.4% 2.4% 1.8% 1.62 1.74 1.64 1.74 1.8% 1.7% 0.0% 1.4% 2.02 2.09 1.76 1.73 2003 1 1.8% 2.0% 1.8% 4.1% 1.65 1.77 1.67 1.81 2.5% 2.8% 5.5% 1.5% 2.07 2.15 1.86 1.76 2 8.8% 7.0% 7.8% 5.2% 1.79 1.90 1.80 1.90 2.5% 2.5% 1.3% 2.9% 2.12 2.20 1.88 1.81 3 1.6% 1.8% 1.3% 1.8% 1.82 1.93 1.82 1.94 3.8% 2.7% 0.8% 0.9% 2.20 2.26 1.90 1.82 4 3.5% 2.6% 3.3% 0.7% 1.88 1.98 1.88 1.95 4.0% 4.5% 2.7% 1.2% 2.29 2.36 1.95 1.85

Figure 4 : Value of $1 invested at the end of 1996, REIT-based Pure-Play vs. NCREIF

East 2.50

2.00

$) 1.50 lue( a

V 1.00

0.50

0.00 96- 97- 97- 98- 98- 99- 99- 00- 00- 01- 01- 02- 02- 03- 03- 4 2 4 2 4 2 4 2 4 2 4 2 4 2 4

Quarter

Pure-Play NCREIF

West 2.50

2.00

$) 1.50 lue( a

V 1.00

0.50

0.00 96- 97- 97- 98- 98- 99- 99- 00- 00- 01- 01- 02- 02- 03- 03- 4 2 4 2 4 2 4 2 4 2 4 2 4 2 4

Quarter

Pure-Play NCREIF

38 South 2.50

2.00

$) 1.50 lue( a

V 1.00

0.50

0.00 96- 97- 97- 98- 98- 99- 99- 00- 00- 01- 01- 02- 02- 03- 03- 4 2 4 2 4 2 4 2 4 2 4 2 4 2 4

Quarter

Pure-Play NCREIF

Midwest 2.50

2.00

$) 1.50 lue( a

V 1.00

0.50

0.00 96- 97- 97- 98- 98- 99- 99- 00- 00- 01- 01- 02- 02- 03- 03- 4 2 4 2 4 2 4 2 4 2 4 2 4 2 4

Quarter

Pure-Play NCREIF

39 Contemporaneous Correlation and Lagged Correlation

Table 11 shows the summary statistics for the quarterly returns of the REIT-based pure-play portfolio and unsmoothed NCREIF index. As explained above, pure-play portfolios have higher volatility than NCREIF returns due to the unique characteristic of stock market. Figure 5 shows these quarterly returns for two markets. The correlations between pure-play portfolios and NCREIF returns for the same regions are very low positive amount, from 2.8% to 38.8%. These results are also attributable to the potential lagging situation between two markets and the difference in market economics. We can obtain very high correlations between different regions in the same market. Since there is no NAREIT sub-index for geographic locations, we can not perform the comparison with the comparable NAREIT index. Alternatively, the pure-play technique can be used in constructing NAREIT sub-index for different locations.

Table 11: Basic Statistics for REIT-based pure-play portfolio of geographic locations, and NCREIF unsmoothed Return, 1997~2003

Pure-Play Quarterly Return (%) NCREIF Unsmoothed Return (%) S&P Mid Mid Bond East West South East West South 500 west west Index Mean 2.3% 2.5% 2.3% 2.5% 3.0% 3.1% 2.4% 2.2% 2.3% 2.1% Median 2.4% 2.1% 2.5% 2.3% 3.1% 2.8% 2.5% 2.1% 2.8% 2.1% Max. 8.8% 9.4% 7.8% 7.7% 7.3% 7.3% 5.5% 5.1% 21.3% 9.0% Min. -4.1% -3.7% -2.7% -4.9% 0.5% -1.3% -1.0% -0.8% -17.3% -3.6% Standard deviation 2.9% 3.3% 2.8% 2.8% 1.6% 2.0% 1.6% 1.3% 10.3% 3.0% CORRELATION Pure-Play East 100.0% West 77.6% 100.0% South 88.8% 69.6% 100.0% Midwest 80.3% 61.8% 78.3% 100.0% NCREIF East 12.8% 30.8% 15.0% 21.6% 100.0% West 20.2% 38.8% 23.7% 24.4% 77.8% 100.0% South -2.9% 2.5% 2.8% 5.0% 59.4% 59.3% 100.0% Midwest 5.5% 11.3% 3.1% 17.8% 59.9% 43.5% 50.7% 100.0% S&P 500 5.6% 13.2% -2.9% -12.4% 19.9% 21.7% 17.9% 12.4% 100% Bond Index 56.4% 24.2% 53.1% 65.0% 17.7% 15.6% 12.2% 25.2% -36% 100%

40 From the same motivation as the case of property types, we computed lagged correlation using annual returns of pure-play portfolios and NCREIF index to identify the tendency of REIT industry to lead property market. This time, only 7 year data, 1997-2003, is used since the previous data regarding pure-play returns for locations is unavailable. Table 12 shows annual- frequency lagged correlations. Even though the data is not sufficient to ensure that the result is reliable and relevant, we can see the similar trend as before case. By increasing lag up to 3 years, very substantial positive correlations between two markets appeared. In particular, all regions display almost over 75% correlation at three-year lag, with Midwest region at two-year lag.

Table 12: Lagged Correlation between REIT-based pure-play portfolios and NCREIF, annual frequency total returns, 1997~2003

Lag(Year) East West South Midwest 0 -1% 51% -49% -11% 1 -43% -60% -14% 4% 2 39% -18% 46% 89% 3 77% 75% 93% -2%

Figure 5: Quarterly returns for Pure-Play and NCREIF for geographic locations, 1997~2003

East 10.0%

8.0%

6.0%

) 4.0% $ ( e

u 2.0% l

Va 0.0% 97 97 98 98 99 99 00 00 01 01 02 02 03 03 ------2.0% 1 3 1 3 1 3 1 3 1 3 1 3 1 3

-4.0%

-6.0% Quarter

Pure-Play NCREIF

41 West 12.0%

10.0%

8.0%

6.0% ) $

( 4.0% e u l 2.0% Va 0.0% 97- 97- 98- 98- 99- 99- 00- 00- 01- 01- 02- 02- 03- 03-

-2.0% 1 3 1 3 1 3 1 3 1 3 1 3 1 3

-4.0%

-6.0% Quarter

Pure-Play NCREIF

South 10.0%

8.0%

6.0%

$) 4.0% ue( l a 2.0% V

0.0% 97- 97- 98- 98- 99- 99- 00- 00- 01- 01- 02- 02- 03- 03-

-2.0% 1 3 1 3 1 3 1 3 1 3 1 3 1 3

-4.0% Quarter

Pure-Play NCREIF

42 Midwest 10.0%

8.0%

6.0%

4.0% $)

ue( 2.0% l a

V 0.0% 97 97 98 98 99 99 00 00 01 01 02 02 03 03 ------2.0% 1 3 1 3 1 3 1 3 1 3 1 3 1 3

-4.0%

-6.0% Quarter

Pure-Play NCREIF

Conclusion

A REIT-based pure-play portfolio is defined as an optimal combination of long and short positions in REITs, such that the portfolio can replicate the investment returns to a specified target sector without any direct exposure to other sectors. We applied this concept of pure-play portfolios to the publicly traded REITs for property sectors and geographic locations for the period 1997-2003. Even though most REITs have recently specialized investment targets for the property types, this analysis make investors and analysts identify the performance of targeted property sectors for the given period, which can help take investment positions according to their target sectors in REIT market. In addition, the performance comparison with private-based NCREIF sub-index reveals some similarities and differences, which result from the different characteristics of two markets. The analysis of lagged correlation for annual returns shows that publicly traded REIT tends to lead the privately owned property market by two or three years. The most critical factor in pure-play analysis is the accuracy and reliability of structural data. We followed an indirect way to get the property holding information. More relevant and direct data from each REIT will facilitate this pure-play process.

43 References

David Geltner and Brian Kluger. 1998. REIT-Based Pure-Play Portfolios: The Case of Property Type. Real Estate Economics 26(4): pp. 581-612

Richard Barkham, David Geltner, and Brian Kluger. Using Pure-Play Portfolios for Real Estate Investment and Cost of Capital Estimation: A British Example. Real Estate Finance, Fall 1998: pp. 25-36.

David Geltner. 1991. Smoothing in Appraisal Based Returns. Journal of Real Estate Finance & Economics 4(3): pp. 327-345

Michael S. Young, David Geltner, Willard McIntosh, and Douglas M. Poutasse. 1995. Defining Commercial Property Income & Appreciation Returns for Comparability to Stock Market-Based Measures. Real Estate Finance 12(2)

Appendix A: Adjusting for Debt

Most REITs use debts in their investments in real estate. As the main objective of a pure-play portfolio is to identify REITs-level management components on the property-level basis, we have to adjust levered equity-level returns of REITs to unlevered property-level returns in case they hold debts on the liability sides. This adjustment technique starts from the equation (2) in Chapter 2 which explains the return components of REIT i in the two-property case.

~ ~ ~ ~ ~ ri = xRi (rR +eRi ) + xOi (rO +eOi ) (2)

~ Where ri is the property-level return to REIT i. When a REIT’s capital structure consists of debt and equity, the return on assets can be computed using weighted average of the returns on debt and equity. Therefore, the return to REIT i can be rewritten as below in equation (A-1)

~ Ei ~ E Di D ri = r i + r (A-1) TAi TAi

44 Where E is for equity, D is for debt, and TA is for asset. From the equations (2) and (A-1), we can construct the new equation which reflects the relation between the capital structure and pure- play returns of REIT i.

Ei ~ E Di D ~ ~ ~ ~ r i + r = xRi (rR + eRi )+ xOi (rO + eOi ) (A-2) TAi TAi

Now rearranging the above equation after multiplying by TA/E results in

~ E TAi ~ ~ TAi ~ ~ Di D r i = xRi (rR + eRi )+ xOi (rO + eOi ) − r (A-3) Ei Ei Ei

Here, we define the x* as proportions of properties multiplied by TA/E (the equity multiplier) as below

* TAi * TAi xRi = xRi , xOi = xOi (A-4) Ei Ei

From the equation (A-3) and (A-4), the equity-level return of REIT i can be shown as below

~ E * ~ ~ * ~ ~ Di D r i = xRi (rR + eRi ) + xOi (rO + eOi ) − r (A-5) Ei

Now consider a pure-play portfolio which is targeted to an office sector using REIT weights, wi and a debt weight, wD. The portfolio return is then as below

n n n n n ~ ~ E D ~ * ~ * * ~ * ~ D Di D rP = ∑ wi ri + wD r = rO ∑ wi xOi + rR ∑ wi xRi + ∑(wi xOi eOi + wi xRi eRi ) − r ∑ wi + wD r i=1 i=1 i=1 i=1 i=1 Ei

n n D = ~r + (w x* e~ + w x* ~e ) − r D w i + w r D O ∑ i Oi Oi i Ri Ri ∑ i D (A-6) i=1 i=1 Ei

45 because the weight constrains of the equations (5) are also applied after the category proportions of total assets are restated as proportions of total equity.

n n * * ∑ wi xRi = 0 and ∑ wi xOi = 1 (A-7) i=1 i=1

In addition, since the modified proportions(x*) sum to the equity multiplier, TA/E, for each REIT and the total weights of equity(wi) and debt(wD) sum to one, the debt weight can be expressed as

n D i w D = ∑ w i (A-8) i =1 E i

From equations (A-7) and (A-8), the return of pure-play portfolio, (A-6), simplifies to

n ~ ~ * ~ * ~ rP = rO + ∑(wi xOi eOi + wi xRi eRi ) (A-9) i=1

We can now unlever the portfolio returns on the basis of a property-level. It is important to note that the debt term drops out of the portfolio equation. Therefore, the minimization process is exactly the same as in the all-equity case except that each x is restated as x* which is a fraction of equity. Since the variance minimization problem is identical, the ways of two methods are also same except for the definition of a fraction of sector. The bond weight can be achieved from one subtracted by the REIT weights.

Appendix B: Pure-play portfolio for property types and geographic locations - Table P1-P7 : Pure-play portfolio for property types for 1997-2003 - Table G1-G7: Pure-play portfolio for geographic locations for 1997-2003

46 Table P-1: Pure-play Portfolio for property types, 1997

1997 - Property Type Fraction of Property Types WEIGHT Ticker Asset TA/E REITs APT office Industrial Retail APT office Industrial Retail 1 Arden Realty Group, Inc. ARI 551 1.7 0.00 1.00 0.00 0.00 -0.11% 3.70% -0.97% -0.19% 2 Brandywine Realty Trust BDN 178 1.4 0.00 0.98 0.02 0.00 -0.04% 1.40% -0.33% -0.07% 3 CarrAmerica Realty Corporation CRE 1,537 2.0 0.00 1.00 0.00 0.00 -0.26% 8.78% -2.31% -0.46% 4 Corporate Office Properties Trust OFC 24 2.6 0.00 1.00 0.00 0.00 0.00% 0.10% -0.03% -0.01% 5Highwoods Properties, Inc. HIW 1,443 1.9 0.00 0.91 0.09 0.00 -0.22% 7.57% -0.64% -0.40% 6 Mack-Cali Realty Corporation CLI 1,026 1.5 0.00 0.99 0.01 0.00 -0.23% 7.73% -1.93% -0.40% 7 Parkway Properties, Inc. PKY 147 1.9 0.00 1.00 0.00 0.00 -0.03% 0.87% -0.23% -0.05% 8 Prentiss Properties Trust PP 531 1.6 0.00 0.87 0.13 0.00 -0.09% 3.01% 0.05% -0.17% 9 Bedford Property Investors, Inc. BED 232 1.9 0.00 0.47 0.53 0.00 -0.01% 0.46% 1.14% -0.03% 10 Duke Realty Corporation DRE 1,361 1.8 0.00 0.38 0.60 0.02 -0.06% 1.83% 8.36% -0.10% 11 Kilroy Realty Corporation KRC 128 - 1.1 0.00 0.77 0.23 0.00 0.03% -0.90% -0.27% 0.05% 12 Liberty Property Trust LRY 1,153 3.1 0.00 0.60 0.40 0.00 -0.06% 2.06% 2.39% -0.13% 13 PS Business Parks Inc. PSB 28 1.1 0.00 1.00 0.00 0.00 -0.01% 0.30% -0.08% -0.02% 14 Reckson Associates Realty Corp. RA 544 2.9 0.00 0.97 0.03 0.00 -0.06% 2.00% -0.41% -0.11% 15 CenterPoint Properties Trust CNT 451 1.8 0.00 0.02 0.98 0.00 0.02% -0.66% 4.89% 0.00% 16 EastGroup Properties, Inc. EGP 281 1.9 0.00 0.11 0.89 0.00 0.00% -0.20% 2.57% -0.01% 17 First Industrial Realty Trust, Inc. FR 1,023 1.9 0.00 0.00 1.00 0.00 0.04% -1.56% 10.77% -0.01% 18 Monmouth Real Estate Investment Corp. MNRTA 33 2.0 0.00 0.00 0.89 0.11 0.00% -0.04% 0.29% 0.01% 19 ProLogis Trust PLD 2,462 1.5 0.00 0.00 1.00 0.00 0.12% -4.69% 32.33% -0.02% 20 Acadia Realty Trust AKR 259 4.6 0.00 0.00 0.00 1.00 -0.01% -0.03% 0.00% 0.25% 21 Agree Realty Corporation ADC 121 5.0 0.00 0.00 0.00 1.00 -0.01% -0.01% 0.00% 0.11% 22 Developers Diversified Realty DDR 975 2.1 0.00 0.00 0.00 1.00 -0.11% -0.28% 0.01% 2.04% 23 Federal Realty Investment Trust FRT 1,035 2.7 0.03 0.00 0.00 0.97 -0.02% -0.22% 0.00% 1.64% 24 Kimco Realty Corporation KIM 1,023 1.7 0.00 0.00 0.00 1.00 -0.15% -0.33% -0.01% 2.63% 25 KRANZCO REALTY TRUST KRT 119 1.6 0.00 0.00 0.00 1.00 -0.02% -0.04% 0.00% 0.32% 26 Malan Realty Investors, Inc. MAL 218 6.2 0.00 0.00 0.00 1.00 -0.01% -0.02% 0.00% 0.15% 27 New Plan Excel Realty Trust, Inc. NXL 945 1.4 0.00 0.00 0.00 1.00 -0.16% -0.38% -0.01% 2.87% 28 Ramco-Gershenson Properties Trust RPT 323 2.7 0.00 0.00 0.00 1.00 -0.03% -0.07% 0.00% 0.52% 29 Regency Centers Corporation REG 387 1.9 0.00 0.00 0.00 1.00 -0.05% -0.12% 0.00% 0.90% 30 Saul Centers, Inc. BFS 263 - 10.0 0.00 0.25 0.00 0.75 0.01% -0.06% 0.02% -0.08% 31 Tanger Factory Outlet Centers, Inc. SKT 332 3.0 0.00 0.00 0.00 1.00 -0.03% -0.06% 0.00% 0.48% 32 Weingarten Realty Investors WRI 831 2.1 0.00 0.00 0.05 0.94 -0.09% -0.26% 0.42% 1.64% 33 CBL & Associates Properties, Inc. CBL 1,026 3.8 0.00 0.01 0.00 0.99 -0.07% -0.14% -0.01% 1.18% 34 General Growth Properties, Inc. GGP 1,758 5.3 0.00 0.00 0.00 1.00 -0.08% -0.18% -0.01% 1.43% 35 Glimcher Realty Trust GRT 949 3.1 0.00 0.00 0.00 1.00 -0.07% -0.18% 0.00% 1.32% 36 Macerich Company, The MAC 1,188 5.0 0.00 0.00 0.00 1.00 -0.06% -0.14% 0.00% 1.04% 37 Mills Corporation, The MLS 863 18.9 0.00 0.00 0.00 1.00 -0.01% -0.03% 0.00% 0.20% 38 Rouse Company, The RSE 3,643 20.6 0.00 0.22 0.00 0.77 -0.05% 0.36% -0.10% 0.57% 39 Simon Property Group, Inc. SPG 5,896 4.5 0.00 0.01 0.00 0.99 -0.32% -0.59% -0.06% 5.61% 40 Taubman Centers, Inc. TCO 379 1.0 0.00 0.00 0.00 1.00 -0.09% -0.21% 0.00% 1.60% 41 Alexander's, Inc. ALX 212 38.0 0.00 0.00 0.00 1.00 0.00% 0.00% 0.00% 0.02% 42 Commercial Net Lease Realty, Inc. NNN 371 1.5 0.00 0.00 0.00 1.00 -0.06% -0.15% 0.00% 1.10% 43 One Liberty Properties, Inc. OLP 53 1.7 0.18 0.00 0.30 0.52 0.03% -0.04% 0.19% 0.07% 44 Realty Income Corporation O 454 1.2 0.00 0.00 0.06 0.94 -0.08% -0.27% 0.41% 1.54% 45 Manufactured Home Communities, Inc. MHC 568 2.2 0.00 0.00 0.00 1.00 -0.06% -0.15% 0.00% 1.12% 46 Sun Communities, Inc. SUI 585 1.9 0.00 1.00 0.00 0.00 -0.10% 3.35% -0.88% -0.18% 47 Amli Residential Properties Trust AML 504 2.1 1.00 0.00 0.00 0.00 1.45% -0.08% 0.02% -0.06% 48 Apartment Investment & Management AIV 835 3.7 1.00 0.00 0.00 0.00 1.34% -0.07% 0.02% -0.05% 49 Archstone-Smith Trust ASN 2,282 1.8 1.00 0.00 0.00 0.00 7.60% -0.42% 0.10% -0.31% 50 Associated Estates Realty Corporation AEC 418 2.6 1.00 0.00 0.00 0.00 0.95% -0.05% 0.01% -0.04% 51 AvalonBay Communities Inc. AVB 712 1.7 1.00 0.00 0.00 0.00 2.47% -0.14% 0.03% -0.10% 52 BRE Properties, Inc. BRE 784 1.7 1.00 0.00 0.00 0.00 2.78% -0.15% 0.04% -0.11% 53 Camden Property Trust CPT 604 2.0 1.00 0.00 0.00 0.00 1.77% -0.10% 0.02% -0.07% 54 Equity Residential EQR 2,986 2.0 1.00 0.00 0.00 0.00 8.74% -0.48% 0.11% -0.35% 55 Essex Property Trust, Inc. ESS 417 1.9 1.00 0.00 0.00 0.00 1.33% -0.06% 0.01% -0.05% 56 Gables Residential Trust GBP 760 2.7 1.00 0.00 0.00 0.00 1.69% -0.09% 0.02% -0.07% 57 Home Properties, Inc. HME 249 3.0 1.00 0.00 0.00 0.00 0.50% -0.03% 0.01% -0.02% 58 Mid-America Apartment Communities, MAA 611 2.5 1.00 0.00 0.00 0.00 1.45% -0.08% 0.02% -0.06% 59 Post Properties, Inc. PPS 959 2.4 1.00 0.00 0.00 0.00 2.39% -0.13% 0.03% -0.10% 60 Summit Properties Inc. SMT 635 2.5 1.00 0.00 0.00 0.00 1.54% -0.08% 0.02% -0.06% 61 Tarragon Realty Investors, Inc. TARR 29 2.9 0.82 0.01 0.00 0.16 0.05% 0.00% 0.00% 0.01% 62 Town and Country Trust, The TCT 383 5.4 1.00 0.00 0.00 0.00 0.42% -0.02% 0.01% -0.02% 63 United Dominion Realty Trust, Inc. UDR 1,967 2.3 1.00 0.00 0.00 0.00 5.10% -0.28% 0.07% -0.21% 64 Forest City Enterprises FCE.A 4,418 6.7 0.53 0.17 0.00 0.30 2.03% 1.01% -0.30% 0.71% 65 BODDIE NOELL PROPERTIES INC BNP 103 4.2 0.93 0.00 0.00 0.07 0.14% -0.01% 0.00% 0.00% 66 Colonial Properties Trust E CLP 948 3.4 0.37 0.16 0.00 0.46 0.58% 0.40% -0.13% 0.51% 67 Cousins Properties Incorporated E CUZ 557 1.9 0.00 0.88 0.00 0.12 -0.10% 2.91% -0.77% 0.00% 68 Crescent Real Estate Equities Company E CEI 1,731 2.0 0.00 0.72 0.28 0.00 -0.17% 6.21% 3.05% -0.37% 69 First Union Real Estate Investments E FUR 441 2.9 0.00 1.00 0.00 0.00 -0.05% 1.70% -0.45% -0.09% 70 Glenborough Realty Trust Incorporated GLB 186 1.9 0.09 0.82 0.08 0.00 0.03% 0.87% -0.07% -0.05% 71 Income Opportunity Realty Investors IOT 64 2.8 0.00 1.00 0.00 0.00 -0.01% 0.25% -0.07% -0.01% 72 Lexington Corporate Properties, Inc. LXP 309 3.3 0.00 0.38 0.37 0.25 -0.01% 0.28% 0.59% 0.08% 73 Pennsylvania Real Estate Investment PEI 178 3.8 0.00 0.00 0.01 0.99 -0.01% -0.03% 0.01% 0.20% 74 Sizeler Property Investors, Inc. E SIZ 278 3.1 0.56 0.00 0.00 0.44 0.29% -0.04% 0.00% 0.16% 75 Transcontinental Realty Investors, Inc TCI 245 3.1 0.46 0.39 0.03 0.12 0.21% 0.32% -0.03% 0.01% 76 Vornado Realty Trust E VNO 565 2.0 0.01 0.31 0.17 0.51 -0.05% 0.74% 0.71% 0.56% 77 Washington Real Estate Investment Trust E WRE 318 1.6 0.20 0.53 0.10 0.17 0.19% 1.07% 0.08% 0.08% Debt 58.04% 55.09% 41.30% 71.90%

47 Table P-2: Pure-play Portfolio for property types, 1998

1998 - Property Type Fraction of Property Types WEIGHT Ticker Asset TA/E REITs APT office Industrial Retail APT office Industrial Retail 1 Alexandria Real Estate Equities, Inc. ARE 248 1.5 0.00 1.00 0.00 0.00 -0.01% 0.58% -0.34% -0.04% 2 Arden Realty Group, Inc. ARI 1,284 1.9 0.00 1.00 0.00 0.00 -0.04% 2.34% -1.35% -0.18% 3 Boston Properties, Inc. BXP 1,673 9.6 0.00 0.61 0.02 0.37 -0.02% 0.35% -0.19% 0.20% 4 Brandywine Realty Trust BDN 621 1.5 0.00 0.91 0.09 0.00 -0.02% 1.28% -0.19% -0.12% 5 CarrAmerica Realty Corporation CRE 2,744 1.8 0.00 1.00 0.00 0.00 -0.08% 5.40% -3.12% -0.42% 6 Corporate Office Properties Trust OFC 194 16.6 0.00 0.82 0.00 0.18 0.00% 0.03% -0.02% 0.00% 7Equity Office Properties Trust EOP 11,752 1.8 0.00 0.93 0.06 0.01 -0.30% 19.93% -6.01% -1.47% 8Highwoods Properties, Inc. HIW 2,722 1.9 0.00 0.89 0.11 0.01 -0.07% 4.01% -0.04% -0.35% 9 HRPT Properties Trust HRP 2,136 1.7 0.00 1.00 0.00 0.00 -0.07% 4.41% -2.54% -0.34% 10 Mack-Cali Realty Corporation CLI 2,593 2.2 0.02 0.98 0.01 0.00 0.00% 3.92% -2.16% -0.31% 11 Parkway Properties, Inc. PKY 369 1.5 0.00 1.00 0.00 0.00 -0.01% 0.85% -0.49% -0.07% 12 Prentiss Properties Trust PP 1,240 1.8 0.00 0.77 0.23 0.00 -0.03% 1.54% 1.50% -0.19% 13 Prime Group Realty Trust PGE 741 3.3 0.00 0.64 0.36 0.00 -0.01% 0.34% 0.99% -0.06% 14 SL Green Realty Corp. SLG 383 2.2 0.00 1.00 0.00 0.00 -0.01% 0.61% -0.35% -0.05% 15 Bedford Property Investors, Inc. BED 434 1.3 0.00 0.57 0.42 0.01 -0.01% 0.39% 1.94% -0.08% 16 Duke Realty Corporation DRE 2,176 1.8 0.00 0.38 0.55 0.07 -0.06% 0.24% 9.88% -0.02% 17 Kilroy Realty Corporation KRC 758 1.9 0.00 0.73 0.27 0.00 -0.02% 0.80% 1.12% -0.11% 18 Liberty Property Trust LRY 2,094 2.2 0.00 0.57 0.43 0.00 -0.04% 1.08% 5.45% -0.27% 19 PS Business Parks Inc. PSB 29 1.1 0.00 1.00 0.00 0.00 0.00% 0.10% -0.06% -0.01% 20 Reckson Associates Realty Corp. RA 1,113 2.5 0.00 0.79 0.20 0.00 -0.02% 1.06% 0.74% -0.12% 21 AMB Property Corp. AMB 2,506 1.5 0.00 0.00 0.84 0.16 -0.08% -2.89% 22.37% 0.50% 22 CenterPoint Properties Trust CNT 699 1.8 0.03 0.03 0.94 0.01 0.03% -0.70% 5.79% -0.11% 23 EastGroup Properties, Inc. EGP 413 1.6 0.20 0.15 0.60 0.04 0.18% -0.18% 2.40% -0.03% 24 First Industrial Realty Trust, Inc. FR 2,272 2.7 0.00 0.00 1.00 0.00 -0.02% -1.72% 13.66% -0.26% 25 Monmouth Real Estate Investment Corp. MNRTA 45 2.3 0.00 0.00 0.91 0.09 0.00% -0.04% 0.29% 0.00% 26 Acadia Realty Trust AKR 255 5.2 0.00 0.00 0.00 1.00 -0.01% -0.01% -0.01% 0.17% 27 Agree Realty Corporation ADC 130 2.4 0.00 0.00 0.00 1.00 -0.01% -0.01% -0.02% 0.19% 28 Developers Diversified Realty DDR 1,392 2.1 0.00 0.02 0.01 0.97 -0.12% -0.13% -0.17% 2.29% 29 Federal Realty Investment Trust FRT 1,317 2.4 0.02 0.00 0.00 0.98 -0.05% -0.15% -0.17% 1.90% 30 Kimco Realty Corporation KIM 1,344 1.8 0.00 0.01 0.00 0.99 -0.14% -0.17% -0.20% 2.58% 31 Malan Realty Investors, Inc. MAL 216 6.4 0.00 0.00 0.00 1.00 -0.01% -0.01% -0.01% 0.12% 32 New Plan Excel Realty Trust, Inc. NXL 1,261 1.7 0.24 0.00 0.00 0.75 0.56% -0.15% -0.18% 1.94% 33 Pan Pacific Retail Properties, Inc. PNP 487 1.6 0.00 0.01 0.00 0.98 -0.06% -0.07% -0.08% 1.04% 34 Ramco-Gershenson Properties Trust RPT 485 3.8 0.00 0.00 0.00 1.00 -0.02% -0.03% -0.04% 0.45% 35 Regency Centers Corporation REG 827 1.6 0.00 0.03 0.00 0.97 -0.09% -0.08% -0.18% 1.75% 36 Saul Centers, Inc. BFS 261 - 6.9 0.00 0.25 0.00 0.75 0.01% -0.03% 0.03% -0.10% 37 Tanger Factory Outlet Centers, Inc. SKT 416 3.4 0.00 0.00 0.00 1.00 -0.02% -0.03% -0.04% 0.43% 38 Weingarten Realty Investors WRI 947 2.4 0.01 0.01 0.06 0.93 -0.06% -0.14% 0.25% 1.27% 39 CBL & Associates Properties, Inc. CBL 1,245 3.8 0.00 0.01 0.00 0.99 -0.06% -0.08% -0.11% 1.16% 40 General Growth Properties, Inc. GGP 2,098 4.2 0.00 0.00 0.00 1.00 -0.09% -0.13% -0.15% 1.75% 41 Glimcher Realty Trust GRT 1,164 2.3 0.00 0.00 0.00 1.00 -0.09% -0.13% -0.15% 1.76% 42 Macerich Company, The MAC 1,505 7.0 0.00 0.00 0.00 1.00 -0.04% -0.06% -0.07% 0.76% 43 Mills Corporation, The MLS 927 9.4 0.00 0.00 0.00 1.00 -0.02% -0.03% -0.03% 0.35% 44 Rouse Company, The RSE 3,590 7.7 0.00 0.20 0.02 0.78 -0.07% 0.21% -0.17% 1.25% 45 Simon Property Group, Inc. SPG 7,663 4.9 0.00 0.03 0.00 0.97 -0.28% -0.26% -0.55% 5.32% 46 Taubman Centers, Inc. TCO 557 1.0 0.00 0.00 0.00 1.00 -0.10% -0.15% -0.17% 1.92% 47 Alexander's, Inc. ALX 235 18.0 0.00 0.00 0.00 1.00 0.00% 0.00% 0.00% 0.05% 48 Commercial Net Lease Realty, Inc. NNN 537 1.5 0.00 0.00 0.00 1.00 -0.07% -0.10% -0.11% 1.28% 49 One Liberty Properties, Inc. OLP 58 1.8 0.11 0.11 0.23 0.55 0.01% -0.01% 0.10% 0.06% 50 Realty Income Corporation O 577 1.3 0.00 0.00 0.05 0.95 -0.08% -0.15% 0.20% 1.45% 51 Manufactured Home Communities, Inc. MHC 864 3.1 0.00 0.64 0.00 0.36 -0.03% 0.59% -0.39% 0.31% 52 Sun Communities, Inc. SUI 691 2.1 0.00 1.00 0.00 0.00 -0.02% 1.14% -0.66% -0.09% 53 Amli Residential Properties Trust AML 680 2.5 1.00 0.00 0.00 0.00 0.98% -0.01% -0.01% -0.05% 54 Apartment Investment & Management AIV 2,101 2.0 1.00 0.00 0.00 0.00 3.81% -0.06% -0.02% -0.19% 55 Archstone-Smith Trust ASN 2,806 1.8 1.00 0.00 0.00 0.00 5.59% -0.09% -0.01% -0.27% 56 Associated Estates Realty Corporation AEC 554 3.1 1.00 0.00 0.00 0.00 0.66% -0.01% 0.00% -0.03% 57 AvalonBay Communities Inc. AVB 1,318 1.7 1.00 0.00 0.00 0.00 2.89% -0.04% -0.02% -0.15% 58 BRE Properties, Inc. BRE 1,342 1.9 0.89 0.01 0.01 0.10 2.28% -0.04% 0.01% 0.12% 59 Camden Property Trust CPT 1,324 1.9 1.00 0.00 0.00 0.00 2.57% -0.04% -0.02% -0.12% 60 Cornerstone Realty Income Trust TCR 474 1.5 1.00 0.00 0.00 0.00 1.15% -0.02% -0.01% -0.06% 61 Equity Residential EQR 7,095 1.9 1.00 0.00 0.00 0.00 13.44% -0.20% -0.08% -0.69% 62 Essex Property Trust, Inc. ESS 739 1.9 0.94 0.01 0.00 0.05 1.36% -0.01% -0.02% 0.00% 63 Gables Residential Trust GBP 981 2.2 1.00 0.00 0.00 0.00 1.64% -0.02% -0.01% -0.08% 64 Home Properties, Inc. HME 544 3.6 1.00 0.00 0.00 0.00 0.55% -0.01% 0.00% -0.03% 65 Mid-America Apartment Communities, MAA 1,194 2.6 1.00 0.00 0.00 0.00 1.68% -0.02% -0.01% -0.09% 66 Post Properties, Inc. PPS 1,781 2.4 0.98 0.01 0.00 0.01 2.70% -0.02% 0.02% -0.13% 67 Roberts Realty Investors, Inc. RPI 118 4.4 1.00 0.00 0.00 0.00 0.10% 0.00% 0.00% 0.00% 68 Summit Properties Inc. SMT 825 3.1 1.00 0.00 0.00 0.00 0.97% -0.01% -0.01% -0.05% 69 Tarragon Realty Investors, Inc. TARR 37 3.8 0.81 0.05 0.00 0.13 0.03% 0.00% 0.00% 0.00% 70 Town and Country Trust, The TCT 366 7.3 1.00 0.00 0.00 0.00 0.18% 0.00% 0.00% -0.01% 71 United Dominion Realty Trust, Inc. UDR 2,314 2.2 0.98 0.00 0.00 0.02 3.77% -0.05% -0.01% -0.13% 72 Forest City Enterprises FCE.A 2,963 10.5 0.51 0.15 0.00 0.33 0.51% 0.12% -0.12% 0.29% 73 BODDIE NOELL PROPERTIES INC BNP 166 3.0 0.91 0.00 0.00 0.09 0.18% 0.00% 0.00% 0.01% 74 Colonial Properties Trust E CLP 1,397 2.8 0.46 0.13 0.00 0.41 0.77% 0.16% -0.20% 0.65% 75 Cousins Properties Incorporated E CUZ 618 1.7 0.00 0.71 0.00 0.29 -0.03% 0.89% -0.56% 0.31% 76 Crescent Real Estate Equities Company E CEI 4,180 1.9 0.00 0.74 0.25 0.01 -0.07% 4.56% 5.42% -0.53% 77 First Union Real Estate Investments E FUR 820 3.1 0.17 0.13 0.00 0.70 0.12% 0.07% -0.13% 0.64% 78 Glenborough Realty Trust Incorporated GLB 866 1.5 0.09 0.55 0.26 0.10 0.17% 0.78% 1.77% 0.06% 79 Income Opportunity Realty Investors IOT 90 3.6 0.45 0.50 0.00 0.05 0.04% 0.04% -0.03% 0.00% 80 Lexington Corporate Properties, Inc. LXP 467 2.3 0.00 0.40 0.35 0.24 -0.02% 0.13% 0.98% 0.13% 81 Pennsylvania Real Estate Investment PEI 166 4.1 0.24 0.01 0.02 0.73 0.03% -0.01% 0.00% 0.10% 82 Sizeler Property Investors, Inc. E SIZ 276 3.3 0.55 0.00 0.00 0.45 0.16% -0.01% -0.01% 0.13% 83 Transcontinental Realty Investors, Inc TCI 319 3.7 0.49 0.33 0.09 0.09 0.15% 0.08% 0.06% 0.01% 84 Vornado Realty Trust E VNO 2,524 1.9 0.00 0.35 0.17 0.48 -0.12% 0.97% 2.47% 2.01% 85 Washington Real Estate Investment Trust E WRE 469 1.9 0.16 0.53 0.12 0.18 0.13% 0.39% 0.21% 0.11% Debt 53.28% 48.94% 44.14% 70.59%

48 Table P-3: Pure-play Portfolio for property types, 1999

1999 - Property Type Fraction of Property Types WEIGHT Ticker Asset TA/E REITs APT office Industrial Retail APT office Industrial Retail 1 Alexandria Real Estate Equities, Inc. ARE 530 2.7 0.00 1.00 0.00 0.00 -0.01% 0.43% -0.16% -0.03% 2 Arden Realty Group, Inc. ARI 2,332 1.7 0.00 0.99 0.00 0.01 -0.05% 2.91% -1.10% -0.21% 3 Boston Properties, Inc. BXP 5,235 5.5 0.00 0.78 0.01 0.21 -0.04% 1.54% -0.55% 0.32% 4 Brandywine Realty Trust BDN 1,912 2.6 0.00 0.92 0.08 0.00 -0.02% 1.40% -0.05% -0.12% 5 CarrAmerica Realty Corporation CRE 3,793 2.1 0.00 1.00 0.00 0.00 -0.06% 3.87% -1.46% -0.31% 6 Corporate Office Properties Trust OFC 564 3.3 0.00 0.91 0.00 0.09 -0.01% 0.32% -0.12% 0.01% 7Equity Office Properties Trust EOP 14,261 2.0 0.00 0.95 0.04 0.01 -0.20% 13.97% -2.93% -1.02% 8Highwoods Properties, Inc. HIW 4,314 2.3 0.04 0.84 0.09 0.04 0.09% 3.23% 0.08% -0.12% 9 HRPT Properties Trust HRP 3,064 1.7 0.00 1.00 0.00 0.00 -0.06% 3.89% -1.47% -0.31% 10 Mack-Cali Realty Corporation CLI 3,452 2.4 0.01 0.98 0.00 0.00 0.00% 2.97% -1.07% -0.23% 11 Parkway Properties, Inc. PKY 592 1.8 0.00 1.00 0.00 0.00 -0.01% 0.70% -0.26% -0.06% 12 Prentiss Properties Trust PP 1,871 2.2 0.00 0.83 0.17 0.00 -0.03% 1.40% 0.61% -0.14% 13 Prime Group Realty Trust PGE 1,165 3.3 0.00 0.86 0.14 0.00 -0.01% 0.60% 0.15% -0.06% 14 SL Green Realty Corp. SLG 778 1.5 0.00 1.00 0.00 0.00 -0.02% 1.10% -0.41% -0.09% 15 Bedford Property Investors, Inc. BED 598 1.7 0.00 0.63 0.36 0.01 -0.01% 0.37% 0.82% -0.04% 16 Duke Realty Corporation DRE 2,854 1.8 0.00 0.40 0.54 0.06 -0.05% 0.63% 6.35% 0.01% 17 Kilroy Realty Corporation KRC 1,106 2.3 0.00 0.77 0.23 0.00 -0.02% 0.70% 0.57% -0.07% 18 Liberty Property Trust LRY 2,933 2.3 0.00 0.57 0.43 0.00 -0.04% 1.11% 3.79% -0.18% 19 Mission West Properties MSW 520 15.6 0.00 1.00 0.00 0.00 0.00% 0.07% -0.03% -0.01% 20 PS Business Parks Inc. PSB 709 1.4 0.00 0.94 0.06 0.00 -0.02% 0.96% -0.15% -0.08% 21 Reckson Associates Realty Corp. RA 1,855 2.6 0.00 0.81 0.18 0.00 -0.02% 1.12% 0.59% -0.11% 22 AMB Property Corp. AMB 3,563 2.0 0.00 0.00 0.89 0.11 -0.05% -1.30% 12.65% 0.26% 23 CenterPoint Properties Trust CNT 818 2.0 0.03 0.04 0.93 0.01 0.01% -0.27% 3.04% -0.04% 24 EastGroup Properties, Inc. EGP 568 1.8 0.14 0.11 0.72 0.03 0.09% -0.11% 1.80% -0.01% 25 First Industrial Realty Trust, Inc. FR 2,554 2.4 0.00 0.00 1.00 0.00 -0.03% -0.85% 8.49% -0.12% 26 Monmouth Real Estate Investment Corp. MNRTA 56 2.0 0.00 0.00 0.91 0.09 0.00% -0.02% 0.20% 0.00% 27 ProLogis Trust PLD 4,331 1.9 0.00 0.00 1.00 0.00 -0.06% -1.81% 18.15% -0.25% 28 Acadia Realty Trust AKR 529 3.4 0.12 0.00 0.00 0.88 0.03% -0.02% -0.02% 0.31% 29 Agree Realty Corporation ADC 150 2.8 0.00 0.00 0.00 1.00 0.00% -0.01% -0.01% 0.12% 30 Developers Diversified Realty DDR 2,127 2.4 0.00 0.02 0.01 0.97 -0.05% -0.11% -0.06% 1.97% 31 Equity One, Inc. EQY 153 1.9 0.04 0.02 0.00 0.93 0.00% -0.01% -0.01% 0.17% 32 Federal Realty Investment Trust FRT 1,484 2.8 0.02 0.00 0.00 0.98 0.00% -0.09% -0.06% 1.16% 33 Kimco Realty Corporation KIM 3,051 1.9 0.00 0.01 0.00 0.99 -0.10% -0.24% -0.15% 3.52% 34 Kramont Realty Trust KRT 225 2.8 0.00 0.02 0.00 0.98 0.00% -0.01% -0.01% 0.17% 35 Malan Realty Investors, Inc. MAL 257 5.0 0.00 0.00 0.00 1.00 0.00% -0.01% -0.01% 0.12% 36 New Plan Excel Realty Trust, Inc. NXL 1,385 1.8 0.23 0.00 0.00 0.76 0.38% -0.10% -0.07% 1.30% 37 Pan Pacific Retail Properties, Inc. PNP 706 1.8 0.00 0.01 0.00 0.99 -0.02% -0.06% -0.04% 0.85% 38 Ramco-Gershenson Properties Trust RPT 544 3.7 0.00 0.00 0.00 1.00 -0.01% -0.02% -0.02% 0.33% 39 Regency Centers Corporation REG 1,240 2.3 0.00 0.01 0.00 0.99 -0.03% -0.08% -0.07% 1.22% 40 Saul Centers, Inc. BFS 271 - 7.3 0.00 0.24 0.00 0.76 0.00% -0.01% 0.01% -0.06% 41 Tanger Factory Outlet Centers, Inc. SKT 472 4.1 0.00 0.00 0.00 1.00 -0.01% -0.02% -0.01% 0.26% 42 Weingarten Realty Investors WRI 1,107 2.1 0.01 0.00 0.10 0.89 -0.02% -0.12% 0.38% 1.06% 43 CBL & Associates Properties, Inc. CBL 1,855 4.5 0.00 0.01 0.00 0.99 -0.03% -0.06% -0.05% 0.93% 44 General Growth Properties, Inc. GGP 4,027 4.4 0.00 0.00 0.00 1.00 -0.06% -0.15% -0.10% 2.07% 45 Glimcher Realty Trust GRT 1,558 3.2 0.00 0.00 0.00 1.00 -0.03% -0.08% -0.05% 1.08% 46 Macerich Company, The MAC 2,322 4.0 0.00 0.00 0.00 1.00 -0.04% -0.10% -0.06% 1.30% 47 Mills Corporation, The MLS 970 12.3 0.00 0.00 0.00 1.00 0.00% -0.01% -0.01% 0.18% 48 Rouse Company, The RSE 5,155 8.2 0.00 0.18 0.01 0.80 -0.03% 0.15% -0.07% 1.12% 49 Simon Property Group, Inc. SPG 13,277 3.9 0.00 0.01 0.00 0.99 -0.21% -0.49% -0.40% 7.57% 50 Taubman Centers, Inc. TCO 1,481 2.8 0.00 0.00 0.00 1.00 -0.03% -0.09% -0.06% 1.17% 51 Alexander's, Inc. ALX 317 45.5 0.00 0.00 0.00 1.00 0.00% 0.00% 0.00% 0.02% 52 Commercial Net Lease Realty, Inc. NNN 686 1.8 0.00 0.00 0.00 1.00 -0.02% -0.06% -0.04% 0.86% 53 One Liberty Properties, Inc. OLP 83 1.6 0.10 0.16 0.20 0.54 0.01% 0.00% 0.07% 0.06% 54 Realty Income Corporation O 759 1.7 0.00 0.00 0.03 0.96 -0.03% -0.08% 0.08% 0.97% 55 Manufactured Home Communities, Inc. MHC 1,177 3.8 0.00 0.65 0.00 0.35 -0.01% 0.42% -0.17% 0.21% 56 Sun Communities, Inc. SUI 821 2.4 0.00 1.00 0.00 0.00 -0.01% 0.73% -0.27% -0.06% 57 Amli Residential Properties Trust AML 786 2.3 1.00 0.00 0.00 0.00 0.79% -0.01% -0.01% -0.02% 58 Apartment Investment & Management AIV 4,268 2.2 1.00 0.00 0.00 0.00 4.39% -0.06% -0.05% -0.12% 59 Archstone-Smith Trust ASN 5,060 1.9 1.00 0.00 0.00 0.00 6.04% -0.09% -0.05% -0.15% 60 Associated Estates Realty Corporation AEC 841 3.2 1.00 0.00 0.00 0.00 0.60% -0.01% -0.01% -0.02% 61 AvalonBay Communities Inc. AVB 4,030 1.7 1.00 0.00 0.00 0.00 5.40% -0.08% -0.06% -0.14% 62 BRE Properties, Inc. BRE 1,631 2.1 0.91 0.01 0.00 0.08 1.60% -0.02% 0.00% 0.09% 63 Camden Property Trust CPT 2,348 2.0 1.00 0.00 0.00 0.00 2.69% -0.04% -0.03% -0.06% 64 Cornerstone Realty Income Trust TCR 552 1.6 1.00 0.00 0.00 0.00 0.78% -0.01% -0.01% -0.02% 65 Equity Residential EQR 10,700 2.0 1.00 0.00 0.00 0.00 12.29% -0.18% -0.13% -0.32% 66 Essex Property Trust, Inc. ESS 932 2.4 0.96 0.01 0.00 0.03 0.86% -0.01% -0.01% 0.01% 67 Gables Residential Trust GBP 1,586 2.8 1.00 0.00 0.00 0.00 1.29% -0.02% -0.01% -0.03% 68 Home Properties, Inc. HME 1,012 2.8 1.00 0.00 0.00 0.00 0.83% -0.01% -0.01% -0.02% 69 Mid-America Apartment Communities, MAA 1,366 2.6 1.00 0.00 0.00 0.00 1.19% -0.02% -0.01% -0.03% 70 Post Properties, Inc. PPS 2,067 2.0 0.98 0.01 0.00 0.01 2.38% -0.02% 0.00% -0.05% 71 Roberts Realty Investors, Inc. RPI 125 4.7 1.00 0.00 0.00 0.00 0.06% 0.00% 0.00% 0.00% 72 Summit Properties Inc. SMT 1,199 3.3 1.00 0.00 0.00 0.00 0.83% -0.01% -0.01% -0.02% 73 Tarragon Realty Investors, Inc. TARR 357 4.7 0.81 0.10 0.00 0.09 0.14% 0.01% -0.01% 0.01% 74 Town and Country Trust, The TCT 432 13.7 1.00 0.00 0.00 0.00 0.07% 0.00% 0.00% 0.00% 75 United Dominion Realty Trust, Inc. UDR 3,755 2.7 0.99 0.00 0.00 0.01 3.12% -0.04% -0.03% -0.05% 76 BNP Residential Properties, Inc. BNP 221 3.9 0.94 0.00 0.00 0.06 0.12% 0.00% 0.00% 0.00% 77 Colonial Properties Trust E CLP 1,755 2.9 0.42 0.14 0.00 0.44 0.57% 0.13% -0.10% 0.58% 78 Cousins Properties Incorporated E CUZ 753 2.0 0.00 0.76 0.00 0.24 -0.02% 0.60% -0.24% 0.15% 79 Crescent Real Estate Equities Company E CEI 5,043 2.1 0.00 0.77 0.21 0.01 -0.05% 3.57% 2.66% -0.33% 80 First Union Real Estate Investments E FUR 787 5.2 0.17 0.13 0.00 0.70 0.05% 0.02% -0.03% 0.23% 81 Glenborough Realty Trust Incorporated GLB 1,879 2.3 0.34 0.47 0.14 0.05 0.64% 0.72% 0.59% 0.00% 82 Income Opportunity Realty Investors IOT 89 3.8 0.38 0.49 0.00 0.12 0.02% 0.02% -0.01% 0.00% 83 Lexington Corporate Properties, Inc. LXP 647 3.2 0.00 0.51 0.32 0.17 -0.01% 0.16% 0.45% 0.05% 84 Pennsylvania Real Estate Investment PEI 482 3.5 0.21 0.01 0.01 0.77 0.06% -0.02% 0.00% 0.24% 85 Sizeler Property Investors, Inc. E SIZ 286 3.8 0.56 0.00 0.00 0.44 0.10% -0.01% 0.00% 0.07% 86 Transcontinental Realty Investors, Inc TCI 382 4.2 0.47 0.38 0.08 0.07 0.10% 0.07% 0.03% 0.01% 87 Vornado Realty Trust E VNO 4,426 2.5 0.00 0.47 0.13 0.40 -0.06% 1.49% 1.08% 1.42% 88 Washington Real Estate Investment Trust E WRE 559 2.2 0.16 0.52 0.15 0.17 0.08% 0.24% 0.20% 0.07% Debt 53.96% 55.43% 49.57% 71.49%

49 Table P-4: Pure-play Portfolio for property types, 2000

2000 - Property Type Fraction of Property Types WEIGHT Ticker Asset TA/E REITs APT office Industrial Retail APT office Industrial Retail 1 Alexandria Real Estate Equities, Inc. ARE 643 2.4 0.00 1.00 0.00 0.00 -0.01% 0.42% -0.15% -0.02% 2 AmeriVest Properties, Inc. AMV 30 4.8 0.00 0.97 0.03 0.00 0.00% 0.01% 0.00% 0.00% 3 Arden Realty Group, Inc. ARI 2,570 1.9 0.00 0.99 0.00 0.01 -0.06% 2.16% -0.77% -0.08% 4 Boston Properties, Inc. BXP 5,435 4.7 0.00 1.00 0.00 0.00 -0.05% 1.83% -0.65% -0.08% 5 Brandywine Realty Trust BDN 1,830 2.3 0.00 0.92 0.08 0.00 -0.03% 1.11% 0.02% -0.06% 6 Brookfield Property Corporation BPO 8,111 4.2 0.00 1.00 0.00 0.00 -0.08% 3.07% -1.09% -0.14% 7 CarrAmerica Realty Corporation CRE 3,479 2.1 0.00 1.00 0.00 0.00 -0.07% 2.67% -0.95% -0.12% 8 Corporate Office Properties Trust OFC 721 3.8 0.00 0.92 0.00 0.08 -0.01% 0.28% -0.10% 0.02% 9Equity Office Properties Trust EOP 14,046 2.1 0.00 0.97 0.02 0.01 -0.25% 10.33% -2.60% -0.39% 10 Glenborough Realty Trust Incorporated GLB 1,795 2.3 0.33 0.48 0.14 0.05 0.49% 0.52% 0.52% 0.02% 11 Highwoods Properties, Inc. HIW 4,016 2.1 0.05 0.82 0.08 0.06 0.12% 2.35% 0.07% 0.08% 12 HRPT Properties Trust HRP 2,953 1.9 0.00 1.00 0.00 0.00 -0.06% 2.41% -0.86% -0.11% 13 Mack-Cali Realty Corporation CLI 3,630 2.5 0.02 0.98 0.00 0.00 -0.01% 2.23% -0.75% -0.10% 14 Parkway Properties, Inc. PKY 649 2.0 0.00 1.00 0.00 0.00 -0.01% 0.51% -0.18% -0.02% 15 Prentiss Properties Trust PP 1,995 2.4 0.00 0.85 0.15 0.00 -0.03% 1.04% 0.46% -0.07% 16 Prime Group Realty Trust PGE 1,444 3.9 0.00 0.91 0.08 0.00 -0.01% 0.52% 0.02% -0.03% 17 SL Green Realty Corp. SLG 1,071 2.1 0.00 0.99 0.00 0.01 -0.02% 0.81% -0.29% -0.03% 18 Bedford Property Investors, Inc. BED 671 2.2 0.00 0.65 0.34 0.01 -0.01% 0.25% 0.58% -0.02% 19 Duke Realty Corporation DRE 5,486 2.1 0.00 0.48 0.47 0.05 -0.10% 1.30% 7.70% 0.00% 20 Kilroy Realty Corporation KRC 1,321 2.8 0.00 0.75 0.25 0.00 -0.02% 0.49% 0.60% -0.04% 21 Liberty Property Trust LRY 3,118 2.4 0.00 0.50 0.50 0.00 -0.04% 0.66% 3.96% -0.14% 22 Mission West Properties MSW 713 7.1 0.00 1.00 0.00 0.00 0.00% 0.16% -0.06% -0.01% 23 PS Business Parks Inc. PSB 904 1.6 0.00 0.94 0.06 0.00 -0.02% 0.81% -0.08% -0.04% 24 Reckson Associates Realty Corp. RA 2,724 2.4 0.00 0.86 0.14 0.00 -0.04% 1.43% 0.51% -0.09% 25 AMB Property Corp. AMB 3,622 2.0 0.00 0.00 0.85 0.15 -0.06% -0.89% 10.38% 0.33% 26 CenterPoint Properties Trust CNT 1,083 2.3 0.03 0.04 0.93 0.01 0.01% -0.22% 2.90% -0.06% 27 EastGroup Properties, Inc. EGP 632 1.7 0.13 0.11 0.73 0.03 0.09% -0.09% 1.77% -0.02% 28 First Industrial Realty Trust, Inc. FR 2,527 2.4 0.00 0.00 1.00 0.00 -0.03% -0.60% 7.10% -0.16% 29 Keystone Property Trust KTR 875 4.7 0.07 0.27 0.65 0.01 0.02% 0.01% 0.78% -0.02% 30 Monmouth Real Estate Investment Corp. MNRTA 79 2.2 0.00 0.00 0.92 0.08 0.00% -0.02% 0.22% 0.00% 31 ProLogis Trust PLD 5,848 2.0 0.00 0.00 1.00 0.00 -0.09% -1.66% 19.79% -0.44% 32 Acadia Realty Trust AKR 571 3.7 0.14 0.00 0.00 0.86 0.03% -0.01% -0.02% 0.27% 33 Agree Realty Corporation ADC 158 3.0 0.00 0.00 0.00 1.00 0.00% 0.00% -0.01% 0.11% 34 Developers Diversified Realty DDR 2,321 2.7 0.00 0.02 0.01 0.97 -0.05% -0.03% -0.08% 1.68% 35 Equity One, Inc. EQY 212 2.3 0.04 0.02 0.00 0.94 0.00% 0.00% -0.01% 0.17% 36 Federal Realty Investment Trust FRT 1,534 3.1 0.02 0.00 0.00 0.98 -0.01% -0.04% -0.07% 1.00% 37 Kimco Realty Corporation KIM 3,007 1.9 0.00 0.01 0.00 0.99 -0.09% -0.10% -0.22% 3.25% 38 Malan Realty Investors, Inc. MAL 253 5.4 0.00 0.00 0.00 1.00 0.00% 0.00% -0.01% 0.10% 39 New Plan Excel Realty Trust, Inc. NXL 2,953 1.8 0.23 0.00 0.00 0.77 0.66% -0.09% -0.20% 2.50% 40 Pan Pacific Retail Properties, Inc. PNP 785 2.1 0.00 0.01 0.00 0.99 -0.02% -0.02% -0.05% 0.77% 41 Ramco-Gershenson Properties Trust RPT 551 3.8 0.00 0.00 0.00 1.00 -0.01% -0.01% -0.02% 0.29% 42 Saul Centers, Inc. BFS 300 - 9.4 0.00 0.24 0.00 0.76 0.00% -0.01% 0.01% -0.05% 43 Tanger Factory Outlet Centers, Inc. SKT 490 4.5 0.00 0.00 0.00 1.00 -0.01% -0.01% -0.02% 0.22% 44 Weingarten Realty Investors WRI 1,309 2.0 0.00 0.00 0.14 0.86 -0.04% -0.09% 0.51% 1.12% 45 CBL & Associates Properties, Inc. CBL 2,019 4.8 0.00 0.00 0.00 1.00 -0.02% -0.03% -0.06% 0.86% 46 General Growth Properties, Inc. GGP 4,955 3.9 0.00 0.00 0.00 1.00 -0.07% -0.09% -0.19% 2.57% 47 Glimcher Realty Trust GRT 1,586 3.5 0.00 0.00 0.00 1.00 -0.03% -0.03% -0.07% 0.93% 48 Macerich Company, The MAC 2,404 3.9 0.00 0.00 0.00 1.00 -0.04% -0.05% -0.09% 1.27% 49 Mills Corporation, The MLS 1,039 17.3 0.00 0.00 0.00 1.00 0.00% 0.00% -0.01% 0.12% 50 Rouse Company, The RSE 4,427 6.9 0.00 0.01 0.02 0.97 -0.04% -0.04% 0.00% 1.26% 51 Simon Property Group, Inc. SPG 14,223 4.4 0.00 0.01 0.00 0.99 -0.19% -0.18% -0.50% 6.56% 52 Taubman Centers, Inc. TCO 1,597 3.3 0.00 0.00 0.00 1.00 -0.03% -0.04% -0.07% 0.98% 53 Alexander's, Inc. ALX 366 29.3 0.00 0.00 0.00 1.00 0.00% 0.00% 0.00% 0.03% 54 Commercial Net Lease Realty, Inc. NNN 750 1.9 0.00 0.00 0.00 1.00 -0.02% -0.03% -0.06% 0.80% 55 One Liberty Properties, Inc. OLP 86 1.7 0.07 0.10 0.34 0.49 0.00% 0.00% 0.11% 0.05% 56 Realty Income Corporation O 905 1.7 0.00 0.00 0.03 0.97 -0.03% -0.05% 0.03% 1.05% 57 Manufactured Home Communities, Inc. MHC 1,160 5.5 0.00 0.66 0.00 0.34 -0.01% 0.22% -0.09% 0.14% 58 Sun Communities, Inc. SUI 911 2.7 0.00 1.00 0.00 0.00 -0.01% 0.54% -0.19% -0.02% 59 Amli Residential Properties Trust AML 805 2.3 1.00 0.00 0.00 0.00 0.71% -0.01% -0.01% -0.02% 60 Apartment Investment & Management AIV 5,685 2.5 1.00 0.00 0.00 0.00 4.48% -0.09% -0.07% -0.13% 61 Archstone-Smith Trust ASN 5,302 2.1 1.00 0.00 0.00 0.00 5.08% -0.10% -0.06% -0.15% 62 Associated Estates Realty Corporation AEC 883 3.7 1.00 0.00 0.00 0.00 0.47% -0.01% -0.01% -0.01% 63 AvalonBay Communities Inc. AVB 4,155 1.8 1.00 0.00 0.00 0.00 4.69% -0.09% -0.07% -0.14% 64 BRE Properties, Inc. BRE 1,709 2.1 0.92 0.01 0.00 0.07 1.50% -0.03% -0.01% 0.07% 65 Camden Property Trust CPT 2,488 2.4 1.00 0.00 0.00 0.00 2.00% -0.04% -0.03% -0.05% 66 Cornerstone Realty Income Trust TCR 869 1.5 1.00 0.00 0.00 0.00 1.14% -0.02% -0.02% -0.03% 67 Equity Residential EQR 11,716 2.1 1.00 0.00 0.00 0.00 10.90% -0.22% -0.16% -0.32% 68 Essex Property Trust, Inc. ESS 1,062 2.7 0.96 0.02 0.00 0.02 0.73% 0.00% -0.02% 0.00% 69 Gables Residential Trust GBP 1,471 2.9 1.00 0.00 0.00 0.00 1.01% -0.02% -0.01% -0.03% 70 Home Properties, Inc. HME 1,504 3.0 1.00 0.00 0.00 0.00 0.98% -0.02% -0.01% -0.03% 71 Mid-America Apartment Communities, MAA 1,299 2.8 1.00 0.00 0.00 0.00 0.92% -0.02% -0.01% -0.03% 72 Post Properties, Inc. PPS 2,350 2.2 0.98 0.00 0.00 0.01 2.06% -0.04% 0.00% -0.05% 73 Roberts Realty Investors, Inc. RPI 127 5.7 1.00 0.00 0.00 0.00 0.04% 0.00% 0.00% 0.00% 74 Summit Properties Inc. SMT 1,217 3.7 1.00 0.00 0.00 0.00 0.65% -0.01% -0.01% -0.02% 75 Town and Country Trust, The TCT 481 21.8 1.00 0.00 0.00 0.00 0.04% 0.00% 0.00% 0.00% 76 United Dominion Realty Trust, Inc. UDR 3,688 2.8 0.99 0.00 0.00 0.01 2.56% -0.05% -0.03% -0.05% 77 Colonial Properties Trust E CLP 1,864 3.8 0.39 0.12 0.00 0.49 0.36% 0.07% -0.07% 0.48% 78 Cousins Properties Incorporated E CUZ 933 2.1 0.00 0.74 0.00 0.26 -0.02% 0.50% -0.20% 0.21% 79 Crescent Real Estate Equities Company E CEI 4,951 2.4 0.00 0.82 0.17 0.01 -0.07% 2.48% 1.32% -0.13% 80 First Union Real Estate Investments E FUR 461 2.7 0.16 0.12 0.00 0.72 0.04% 0.02% -0.03% 0.25% 81 Forest City Enterprises FCE.A 3,814 9.9 0.92 0.08 0.00 0.00 0.70% 0.04% -0.03% -0.02% 82 Glenborough Realty Trust Incorporated GLB 1,795 2.3 0.33 0.48 0.14 0.05 0.49% 0.52% 0.52% 0.02% 83 Income Opportunity Realty Investors IOT 91 3.8 0.45 0.43 0.00 0.12 0.02% 0.02% -0.01% 0.00% 84 Lexington Corporate Properties, Inc. LXP 656 3.2 0.00 0.58 0.26 0.15 -0.01% 0.16% 0.29% 0.05% 85 One Liberty Properties, Inc. OLP 86 1.7 0.07 0.10 0.34 0.49 0.00% 0.00% 0.11% 0.05% 86 Pennsylvania Real Estate Investment PEI 548 4.1 0.21 0.01 0.01 0.77 0.05% -0.01% 0.00% 0.21% 87 Sizeler Property Investors, Inc. E SIZ 286 4.0 0.49 0.00 0.00 0.51 0.07% 0.00% -0.01% 0.07% 88 St. Joe Company JOE 1,822 1.9 0.00 1.00 0.00 0.00 -0.04% 1.49% -0.53% -0.07% 89 Transcontinental Realty Investors, Inc TCI 714 4.0 0.45 0.40 0.07 0.08 0.16% 0.10% 0.04% 0.02% 90 Vornado Realty Trust E VNO 5,479 2.7 0.00 0.47 0.12 0.40 -0.08% 1.34% 1.05% 1.56% 91 Washington Real Estate Investment Trust E WRE 608 2.4 0.15 0.54 0.14 0.17 0.07% 0.19% 0.16% 0.07% 92 Capital Automotive REIT E CARS 943 3.1 0.00 0.00 0.00 1.00 -0.02% -0.02% -0.04% 0.61% Debt 58.73% 60.21% 50.51% 71.47%

50 Table P-5: Pure-play Portfolio for property types, 2001

2001 - Property Type Fraction of Property Types WEIGHT Ticker Asset TA/E REITs APT office Industrial Retail APT office Industrial Retail 1 Alexandria Real Estate Equities, Inc. ARE 781 2.4 0.00 1.00 0.00 0.00 -0.01% 0.50% -0.17% -0.04% 2 AmeriVest Properties, Inc. AMV 42 3.7 0.00 0.98 0.02 0.00 0.00% 0.02% 0.00% 0.00% 3 Arden Realty Group, Inc. ARI 2,706 2.0 0.00 0.99 0.00 0.01 -0.03% 2.09% -0.72% -0.16% 4 Boston Properties, Inc. BXP 6,226 3.6 0.00 0.78 0.01 0.21 -0.06% 2.07% -0.70% 0.51% 5 Brandywine Realty Trust BDN 1,825 2.4 0.00 0.93 0.07 0.00 -0.02% 1.07% -0.07% -0.09% 6 Brookfield Property Corporation BPO 8,624 4.1 0.00 0.97 0.00 0.03 -0.06% 3.13% -1.08% -0.13% 7 CarrAmerica Realty Corporation CRE 3,073 1.9 0.00 1.00 0.00 0.00 -0.04% 2.56% -0.88% -0.21% 8 Corporate Office Properties Trust OFC 795 4.1 0.00 0.93 0.00 0.07 -0.01% 0.28% -0.10% 0.00% 9Equity Office Properties Trust EOP 18,794 2.3 0.00 0.95 0.04 0.01 -0.18% 11.71% -2.12% -0.90% 10 Glenborough Realty Trust Incorporated GLB 1,371 2.1 0.33 0.49 0.13 0.05 0.42% 0.45% 0.32% 0.00% 11 Highwoods Properties, Inc. HIW 3,702 2.1 0.03 0.84 0.08 0.04 0.08% 2.26% 0.01% -0.08% 12 HRPT Properties Trust HRP 2,900 1.9 0.00 1.00 0.00 0.00 -0.04% 2.38% -0.82% -0.19% 13 Mack-Cali Realty Corporation CLI 3,677 2.5 0.02 0.98 0.00 0.00 0.01% 2.21% -0.73% -0.18% 14 Maxus Realty Trust Inc. MRTI 17 1.7 0.76 0.17 0.07 0.00 0.01% 0.00% 0.00% 0.00% 15 Parkway Properties, Inc. PKY 655 2.0 0.00 1.00 0.00 0.00 -0.01% 0.51% -0.17% -0.04% 16 Prentiss Properties Trust PP 2,118 2.6 0.00 0.87 0.13 0.00 -0.02% 1.03% 0.24% -0.10% 17 Prime Group Realty Trust PGE 1,439 4.0 0.00 0.88 0.12 0.00 -0.01% 0.47% 0.07% -0.04% 18 SL Green Realty Corp. SLG 1,161 2.1 0.00 0.99 0.00 0.01 -0.01% 0.87% -0.30% -0.07% 19 Bedford Property Investors, Inc. BED 634 2.1 0.00 0.66 0.33 0.01 -0.01% 0.26% 0.45% -0.03% 20 Duke Realty Corporation DRE 5,460 2.0 0.00 0.42 0.53 0.05 -0.06% 0.98% 7.52% -0.01% 21 Kilroy Realty Corporation KRC 1,457 3.3 0.00 0.80 0.20 0.00 -0.01% 0.51% 0.30% -0.05% 22 Liberty Property Trust LRY 3,396 2.6 0.00 0.58 0.42 0.00 -0.03% 0.89% 2.74% -0.14% 23 Mission West Properties MSW 827 8.1 0.00 1.00 0.00 0.00 0.00% 0.16% -0.05% -0.01% 24 PS Business Parks Inc. PSB 931 1.6 0.00 0.96 0.04 0.00 -0.01% 0.83% -0.15% -0.07% 25 Reckson Associates Realty Corp. RA 2,998 2.7 0.00 0.83 0.17 0.00 -0.03% 1.34% 0.54% -0.13% 26 AMB Property Corp. AMB 4,426 2.5 0.00 0.00 0.91 0.09 -0.03% -0.88% 9.05% 0.17% 27 CenterPoint Properties Trust CNT 1,155 2.2 0.02 0.03 0.94 0.00 0.02% -0.25% 2.84% -0.04% 28 EastGroup Properties, Inc. EGP 666 1.8 0.13 0.12 0.72 0.03 0.09% -0.08% 1.50% -0.01% 29 First Industrial Realty Trust, Inc. FR 2,618 2.5 0.00 0.00 1.00 0.00 -0.01% -0.57% 5.98% -0.09% 30 Keystone Property Trust KTR 963 5.8 0.06 0.25 0.68 0.01 0.02% 0.01% 0.62% -0.01% 31 Monmouth Real Estate Investment Corp. MNRTA 86 2.1 0.00 0.00 0.95 0.05 0.00% -0.02% 0.22% 0.00% 32 ProLogis Trust PLD 5,946 2.0 0.00 0.00 1.00 0.00 -0.04% -1.56% 16.54% -0.25% 33 Acadia Realty Trust AKR 524 2.9 0.12 0.00 0.00 0.88 0.03% -0.02% -0.01% 0.29% 34 Agree Realty Corporation ADC 166 3.2 0.00 0.00 0.00 1.00 0.00% -0.01% 0.00% 0.10% 35 Chelsea Property Group, Inc. CPG 901 3.3 0.00 0.00 0.00 1.00 -0.02% -0.03% -0.02% 0.50% 36 Developers Diversified Realty DDR 2,332 3.0 0.00 0.06 0.03 0.90 -0.05% -0.03% 0.07% 1.30% 37 Equity One, Inc. EQY 239 2.3 0.02 0.01 0.00 0.97 0.00% -0.01% -0.01% 0.19% 38 Federal Realty Investment Trust FRT 1,621 3.5 0.02 0.00 0.00 0.98 -0.01% -0.06% -0.04% 0.84% 39 Kimco Realty Corporation KIM 3,171 1.9 0.00 0.01 0.00 0.99 -0.12% -0.20% -0.13% 3.12% 40 Kramont Realty Trust KRT 764 3.4 0.00 0.01 0.00 0.99 -0.02% -0.03% -0.02% 0.41% 41 Malan Realty Investors, Inc. MAL 244 6.2 0.00 0.00 0.00 1.00 0.00% 0.00% 0.00% 0.07% 42 New Plan Excel Realty Trust, Inc. NXL 2,894 1.9 0.23 0.00 0.00 0.77 0.61% -0.15% -0.11% 2.17% 43 Pan Pacific Retail Properties, Inc. PNP 1,298 2.1 0.00 0.01 0.00 0.99 -0.04% -0.07% -0.05% 1.11% 44 Ramco-Gershenson Properties Trust RPT 560 4.0 0.00 0.00 0.00 1.00 -0.01% -0.02% -0.01% 0.26% 45 Regency Centers Corporation REG 3,035 2.5 0.00 0.01 0.00 0.99 -0.09% -0.14% -0.11% 2.24% 46 Saul Centers, Inc. BFS 334 - 10.7 0.00 0.25 0.00 0.75 0.00% -0.01% 0.01% -0.04% 47 Tanger Factory Outlet Centers, Inc. SKT 487 5.4 0.00 0.00 0.00 1.00 -0.01% -0.01% -0.01% 0.17% 48 Weingarten Realty Investors WRI 1,518 2.4 0.00 0.00 0.09 0.91 -0.04% -0.10% 0.26% 1.05% 49 CBL & Associates Properties, Inc. CBL 2,116 4.9 0.00 0.00 0.00 1.00 -0.03% -0.05% -0.04% 0.80% 50 General Growth Properties, Inc. GGP 5,284 4.1 0.00 0.00 0.00 1.00 -0.09% -0.16% -0.11% 2.35% 51 Glimcher Realty Trust GRT 1,590 3.7 0.00 0.00 0.00 1.00 -0.03% -0.05% -0.04% 0.79% 52 Macerich Company, The MAC 2,337 3.8 0.00 0.00 0.00 1.00 -0.04% -0.08% -0.05% 1.13% 53 Mills Corporation, The MLS 1,126 23.5 0.00 0.00 0.00 1.00 0.00% -0.01% 0.00% 0.09% 54 Rouse Company, The RSE 4,176 6.6 0.00 0.15 0.01 0.84 -0.04% 0.08% -0.06% 0.96% 55 Simon Property Group, Inc. SPG 13,938 4.5 0.00 0.01 0.00 0.99 -0.22% -0.34% -0.27% 5.60% 56 Taubman Centers, Inc. TCO 1,908 3.9 0.00 0.00 0.00 1.00 -0.04% -0.06% -0.04% 0.91% 57 Alexander's, Inc. ALX 403 22.8 0.00 0.00 0.00 1.00 0.00% 0.00% 0.00% 0.03% 58 Commercial Net Lease Realty, Inc. NNN 762 1.9 0.00 0.00 0.00 1.00 -0.03% -0.05% -0.03% 0.73% 59 Realty Income Corporation O 935 1.8 0.00 0.00 0.03 0.97 -0.04% -0.07% 0.05% 0.92% 60 Manufactured Home Communities, Inc. MHC 1,104 6.6 0.00 0.63 0.00 0.37 -0.01% 0.16% -0.06% 0.10% 61 Sun Communities, Inc. SUI 967 2.9 0.00 1.00 0.00 0.00 -0.01% 0.52% -0.18% -0.04% 62 Amli Residential Properties Trust AML 866 2.2 1.00 0.00 0.00 0.00 0.78% -0.01% 0.00% -0.03% 63 Apartment Investment & Management AIV 7,700 3.1 1.00 0.00 0.00 0.00 4.86% -0.06% -0.03% -0.18% 64 Archstone-Smith Trust ASN 5,020 2.2 1.00 0.00 0.00 0.00 4.37% -0.06% -0.02% -0.17% 65 Associated Estates Realty Corporation AEC 820 4.2 1.00 0.00 0.00 0.00 0.38% 0.00% 0.00% -0.01% 66 AvalonBay Communities Inc. AVB 4,397 1.8 1.00 0.00 0.00 0.00 4.75% -0.06% -0.03% -0.18% 67 BRE Properties, Inc. BRE 1,718 2.1 0.91 0.01 0.00 0.08 1.42% -0.02% 0.00% 0.06% 68 Camden Property Trust CPT 2,431 2.5 1.00 0.00 0.00 0.00 1.88% -0.02% -0.01% -0.07% 69 Cornerstone Realty Income Trust TCR 800 1.5 1.00 0.00 0.00 0.00 1.01% -0.01% -0.01% -0.04% 70 Equity Residential EQR 12,264 2.2 1.00 0.00 0.00 0.00 10.92% -0.14% -0.07% -0.41% 71 Essex Property Trust, Inc. ESS 1,282 3.3 0.96 0.02 0.00 0.02 0.73% 0.00% -0.01% -0.01% 72 Gables Residential Trust GBP 1,453 3.0 1.00 0.00 0.00 0.00 0.94% -0.01% -0.01% -0.04% 73 Home Properties, Inc. HME 1,872 3.0 1.00 0.00 0.00 0.00 1.20% -0.02% -0.01% -0.04% 74 Mid-America Apartment Communities, MAA 1,304 3.0 1.00 0.00 0.00 0.00 0.84% -0.01% -0.01% -0.03% 75 Post Properties, Inc. PPS 2,551 2.5 0.99 0.00 0.00 0.01 1.97% -0.02% 0.01% -0.06% 76 Roberts Realty Investors, Inc. RPI 132 6.1 1.00 0.00 0.00 0.00 0.04% 0.00% 0.00% 0.00% 77 Summit Properties Inc. SMT 1,340 4.0 1.00 0.00 0.00 0.00 0.66% -0.01% 0.00% -0.02% 78 Town and Country Trust, The TCT 499 24.9 1.00 0.00 0.00 0.00 0.04% 0.00% 0.00% 0.00% 79 United Dominion Realty Trust, Inc. UDR 3,454 2.8 0.99 0.00 0.00 0.01 2.34% -0.03% -0.01% -0.07% 80 BNP Residential Properties, Inc. BNP 231 5.2 0.95 0.00 0.00 0.05 0.08% 0.00% 0.00% 0.00% 81 Catellus Development Corp. CDX 2,276 3.3 0.00 0.19 0.76 0.05 -0.01% -0.08% 2.87% 0.00% 82 Colonial Properties Trust E CLP 1,944 4.3 0.40 0.14 0.00 0.47 0.33% 0.06% -0.05% 0.37% 83 Cousins Properties Incorporated E CUZ 1,116 2.5 0.00 0.76 0.00 0.24 -0.02% 0.52% -0.19% 0.16% 84 Crescent Real Estate Equities Company E CEI 4,532 2.6 0.01 0.77 0.21 0.01 -0.02% 1.88% 1.35% -0.17% 85 First Union Real Estate Investments E FUR 463 3.8 0.16 0.12 0.00 0.72 0.03% 0.01% -0.02% 0.16% 86 Forest City Enterprises FCE.A 4,030 8.8 0.55 0.16 0.00 0.29 0.48% 0.09% -0.05% 0.22% 87 Income Opportunity Realty Investors IOT 97 2.4 0.45 0.42 0.00 0.12 0.03% 0.03% -0.01% 0.01% 88 Lexington Corporate Properties, Inc. LXP 668 3.3 0.00 0.54 0.30 0.17 -0.01% 0.13% 0.28% 0.04% 89 One Liberty Properties, Inc. OLP 128 2.4 0.09 0.12 0.33 0.46 0.01% 0.00% 0.09% 0.04% 90 Pennsylvania Real Estate Investment PEI 577 4.0 0.23 0.01 0.01 0.76 0.06% -0.01% 0.00% 0.20% 91 Sizeler Property Investors, Inc. E SIZ 285 4.3 0.50 0.00 0.00 0.50 0.06% -0.01% 0.00% 0.06% 92 St. Joe Company JOE 1,115 2.0 0.00 1.00 0.00 0.00 -0.01% 0.89% -0.30% -0.07% 93 Vornado Realty Trust E VNO 6,370 3.1 0.01 0.51 0.12 0.37 -0.06% 1.41% 0.73% 1.27% 94 Washington Real Estate Investment Trust E WRE 632 2.4 0.15 0.56 0.13 0.15 0.07% 0.20% 0.12% 0.05% 95 Capital Automotive REIT E CARS 1,022 3.5 0.00 0.00 0.00 1.00 -0.02% -0.04% -0.02% 0.53% Debt 60.29% 61.19% 55.58% 72.70%

51 Table P-6: Pure-play Portfolio for property types, 2002

2002 - Property Type Fraction of Property Types WEIGHT Ticker Asset TA/E REITs APT office Industrial Retail APT office Industrial Retail 1 Alexandria Real Estate Equities, Inc. ARE 962 2.9 0.00 1.00 0.00 0.00 0.00% 0.44% -0.13% -0.03% 2 AmeriVest Properties, Inc. AMV 88 3.5 0.00 1.00 0.00 0.00 0.00% 0.03% -0.01% 0.00% 3 Arden Realty Group, Inc. ARI 2,761 2.1 0.00 1.00 0.00 0.00 -0.01% 1.76% -0.50% -0.12% 4 Boston Properties, Inc. BXP 7,254 3.9 0.00 0.78 0.00 0.22 -0.02% 1.86% -0.53% 0.55% 5 Brandywine Realty Trust BDN 1,960 2.8 0.00 0.98 0.02 0.00 0.00% 0.91% -0.17% -0.06% 6 Brookfield Property Corporation BPO 8,076 3.7 0.00 0.99 0.00 0.01 -0.02% 2.86% -0.82% -0.16% 7 CarrAmerica Realty Corporation CRE 2,776 2.4 0.00 1.00 0.00 0.00 -0.01% 1.55% -0.44% -0.10% 8 Corporate Office Properties Trust OFC 984 3.7 0.00 1.00 0.00 0.00 0.00% 0.35% -0.10% -0.02% 9Equity Office Properties Trust EOP 25,808 2.3 0.00 0.98 0.02 0.00 -0.08% 14.51% -2.92% -0.94% 10 Glenborough Realty Trust Incorporated GLB 1,388 2.1 0.03 0.91 0.06 0.00 0.04% 0.76% -0.01% -0.05% 11 Highwoods Properties, Inc. HIW 3,648 2.3 0.01 0.88 0.07 0.04 0.03% 1.80% 0.11% -0.02% 12 HRPT Properties Trust HRP 2,805 1.7 0.00 1.00 0.00 0.00 -0.01% 2.19% -0.62% -0.14% 13 Mack-Cali Realty Corporation CLI 3,747 2.6 0.00 0.99 0.00 0.00 -0.01% 1.88% -0.50% -0.12% 14 Maxus Realty Trust Inc. MRTI 38 3.1 0.92 0.08 0.00 0.00 0.02% 0.00% 0.00% 0.00% 15 Parkway Properties, Inc. PKY 841 2.2 0.00 1.00 0.00 0.00 0.00% 0.50% -0.14% -0.03% 16 Prentiss Properties Trust PP 2,031 2.5 0.00 0.93 0.07 0.00 -0.01% 0.98% 0.04% -0.07% 17 Prime Group Realty Trust PGE 1,522 4.7 0.00 0.86 0.14 0.00 0.00% 0.35% 0.16% -0.03% 18 SL Green Realty Corp. SLG 1,372 1.9 0.00 1.00 0.00 0.00 -0.01% 0.96% -0.27% -0.06% 19 Bedford Property Investors, Inc. BED 636 2.3 0.00 0.59 0.41 0.00 0.00% 0.18% 0.58% -0.02% 20 Duke Realty Corporation DRE 5,330 1.9 0.00 0.47 0.52 0.01 -0.01% 1.17% 7.65% -0.11% 21 Kilroy Realty Corporation KRC 1,457 3.3 0.00 0.81 0.19 0.00 0.00% 0.44% 0.33% -0.03% 22 Liberty Property Trust LRY 3,553 2.5 0.00 0.62 0.38 0.00 -0.01% 0.96% 2.72% -0.10% 23 Mission West Properties MSW 910 8.4 0.00 1.00 0.00 0.00 0.00% 0.14% -0.04% -0.01% 24 PS Business Parks Inc. PSB 1,170 2.0 0.00 0.95 0.05 0.00 0.00% 0.74% -0.05% -0.05% 25 Reckson Associates Realty Corp. RA 2,994 2.9 0.00 0.98 0.02 0.00 -0.01% 1.35% -0.28% -0.09% 26 AMB Property Corp. AMB 4,761 2.7 0.00 0.00 0.99 0.01 0.00% -0.65% 9.76% -0.04% 27 CenterPoint Properties Trust CNT 1,183 2.3 0.00 0.02 0.97 0.00 0.00% -0.17% 2.81% -0.02% 28 EastGroup Properties, Inc. EGP 684 1.8 0.00 0.08 0.92 0.00 0.00% -0.09% 1.90% -0.02% 29 First Industrial Realty Trust, Inc. FR 2,621 2.6 0.00 0.00 1.00 0.00 0.00% -0.37% 5.60% -0.04% 30 Keystone Property Trust KTR 828 3.1 0.00 0.01 0.99 0.00 0.00% -0.09% 1.46% -0.01% 31 Monmouth Real Estate Investment Corp. MNRTA 119 2.4 0.00 0.00 0.96 0.04 0.00% -0.02% 0.27% 0.00% 32 ProLogis Trust PLD 5,604 2.1 0.00 0.00 1.00 0.00 0.00% -1.01% 15.06% -0.11% 33 Acadia Realty Trust AKR 494 2.8 0.14 0.00 0.00 0.86 0.04% -0.01% -0.01% 0.25% 34 Agree Realty Corporation ADC 168 3.2 0.00 0.00 0.00 1.00 0.00% 0.00% 0.00% 0.08% 35 Chelsea Property Group, Inc. CPG 1,099 3.1 0.00 0.00 0.00 1.00 -0.01% -0.03% -0.01% 0.59% 36 Developers Diversified Realty DDR 2,497 3.0 0.00 0.03 0.02 0.95 -0.01% -0.04% 0.04% 1.30% 37 Equity One, Inc. EQY 669 2.4 0.00 0.00 0.00 1.00 0.00% -0.02% -0.01% 0.46% 38 Federal Realty Investment Trust FRT 1,838 3.1 0.03 0.00 0.00 0.97 0.02% -0.05% -0.02% 0.95% 39 Kimco Realty Corporation KIM 3,385 1.8 0.00 0.00 0.00 1.00 -0.03% -0.16% -0.08% 3.10% 40 Kramont Realty Trust KRT 769 3.5 0.00 0.00 0.00 1.00 0.00% -0.02% -0.01% 0.36% 41 Malan Realty Investors, Inc. MAL 225 11.3 0.00 0.00 0.00 1.00 0.00% 0.00% 0.00% 0.03% 42 New Plan Excel Realty Trust, Inc. NXL 2,623 1.8 0.00 0.00 0.00 1.00 -0.02% -0.13% -0.06% 2.45% 43 Pan Pacific Retail Properties, Inc. PNP 1,340 2.2 0.00 0.00 0.00 1.00 -0.01% -0.05% -0.03% 1.02% 44 Ramco-Gershenson Properties Trust RPT 553 4.1 0.00 0.00 0.00 1.00 0.00% -0.01% -0.01% 0.22% 45 Regency Centers Corporation REG 3,109 2.6 0.00 0.00 0.00 1.00 -0.02% -0.11% -0.05% 2.00% 46 Tanger Factory Outlet Centers, Inc. SKT 476 6.2 0.00 0.00 0.00 1.00 0.00% -0.01% 0.00% 0.13% 47 Weingarten Realty Investors WRI 2,096 2.3 0.00 0.00 0.08 0.92 -0.01% -0.10% 0.36% 1.39% 48 CBL & Associates Properties, Inc. CBL 3,373 6.5 0.00 0.00 0.00 1.00 -0.01% -0.04% -0.02% 0.86% 49 General Growth Properties, Inc. GGP 5,647 3.7 0.00 0.01 0.00 0.99 -0.02% -0.11% -0.06% 2.47% 50 Glimcher Realty Trust GRT 1,759 4.4 0.00 0.00 0.00 1.00 -0.01% -0.03% -0.02% 0.65% 51 Macerich Company, The MAC 2,295 3.8 0.00 0.00 0.00 1.00 -0.01% -0.05% -0.02% 0.98% 52 Mills Corporation, The MLS 1,329 7.7 0.00 0.00 0.00 1.00 0.00% -0.01% -0.01% 0.28% 53 Rouse Company, The RSE 4,880 7.4 0.00 0.18 0.00 0.81 -0.01% 0.11% -0.06% 0.87% 54 Simon Property Group, Inc. SPG 13,811 4.3 0.00 0.01 0.00 0.99 -0.05% -0.25% -0.14% 5.25% 55 Taubman Centers, Inc. TCO 2,141 5.0 0.00 0.00 0.00 1.00 -0.01% -0.04% -0.02% 0.70% 56 Alexander's, Inc. ALX 583 12.9 0.00 0.00 0.00 1.00 0.00% 0.00% 0.00% 0.07% 57 Commercial Net Lease Realty, Inc. NNN 1,007 1.8 0.00 0.00 0.00 1.00 -0.01% -0.05% -0.02% 0.93% 58 Realty Income Corporation O 1,004 1.5 0.00 0.00 0.04 0.96 -0.01% -0.07% 0.12% 1.06% 59 Manufactured Home Communities, Inc. MHC 1,100 6.3 0.00 0.00 0.00 1.00 0.00% -0.02% -0.01% 0.29% 60 Sun Communities, Inc. SUI 994 3.0 0.00 1.00 0.00 0.00 0.00% 0.43% -0.12% -0.03% 61 Amli Residential Properties Trust AML 919 2.2 1.00 0.00 0.00 0.00 0.77% 0.00% 0.00% -0.01% 62 Apartment Investment & Management AIV 8,323 3.1 1.00 0.00 0.00 0.00 4.95% -0.02% 0.00% -0.04% 63 Archstone-Smith Trust ASN 8,550 2.2 1.00 0.00 0.00 0.00 6.92% -0.03% 0.00% -0.06% 64 Associated Estates Realty Corporation AEC 775 4.5 1.00 0.00 0.00 0.00 0.31% 0.00% 0.00% 0.00% 65 AvalonBay Communities Inc. AVB 4,664 2.0 1.00 0.00 0.00 0.00 4.22% -0.02% 0.00% -0.04% 66 BRE Properties, Inc. BRE 1,876 2.4 1.00 0.00 0.00 0.00 1.43% -0.01% 0.00% -0.01% 67 Camden Property Trust CPT 2,450 2.7 1.00 0.00 0.00 0.00 1.67% 0.00% 0.00% -0.01% 68 Cornerstone Realty Income Trust TCR 981 2.9 1.00 0.00 0.00 0.00 0.61% 0.00% 0.00% -0.01% 69 Equity Residential EQR 12,236 2.3 1.00 0.00 0.00 0.00 9.86% -0.04% -0.01% -0.09% 70 Essex Property Trust, Inc. ESS 1,329 3.4 0.99 0.01 0.00 0.00 0.70% 0.00% 0.00% -0.01% 71 Gables Residential Trust GBP 1,589 3.1 1.00 0.00 0.00 0.00 0.92% 0.00% 0.00% -0.01% 72 Home Properties, Inc. HME 2,064 3.1 1.00 0.00 0.00 0.00 1.22% 0.00% 0.00% -0.01% 73 Mid-America Apartment Communities, MAA 1,263 3.2 1.00 0.00 0.00 0.00 0.72% 0.00% 0.00% -0.01% 74 Post Properties, Inc. PPS 2,538 2.8 1.00 0.00 0.00 0.00 1.64% -0.01% 0.00% -0.01% 75 Roberts Realty Investors, Inc. RPI 166 6.5 1.00 0.00 0.00 0.00 0.05% 0.00% 0.00% 0.00% 76 Summit Properties Inc. SMT 1,296 3.7 1.00 0.00 0.00 0.00 0.64% 0.00% 0.00% -0.01% 77 United Dominion Realty Trust, Inc. UDR 3,348 3.2 1.00 0.00 0.00 0.00 1.90% -0.01% 0.00% -0.02% 78 BNP Residential Properties, Inc. BNP 225 5.4 0.97 0.00 0.00 0.03 0.07% 0.00% 0.00% 0.00% 79 Colonial Properties Trust E CLP 2,015 4.0 0.31 0.19 0.00 0.50 0.28% 0.10% -0.05% 0.41% 80 Cousins Properties Incorporated E CUZ 1,212 2.6 0.00 0.85 0.00 0.15 0.00% 0.51% -0.15% 0.08% 81 Crescent Real Estate Equities Company E CEI 4,142 2.9 0.01 0.77 0.22 0.00 0.01% 1.31% 1.36% -0.11% 82 First Union Real Estate Investments E FUR 186 1.5 0.00 1.00 0.00 0.00 0.00% 0.16% -0.05% -0.01% 83 Income Opportunity Realty Investors IOT 92 2.6 0.53 0.21 0.00 0.26 0.03% 0.01% 0.00% 0.01% 84 Lexington Corporate Properties, Inc. LXP 822 2.8 0.00 0.57 0.32 0.11 0.00% 0.18% 0.47% 0.04% 85 One Liberty Properties, Inc. OLP 133 2.4 0.10 0.06 0.37 0.47 0.01% -0.01% 0.11% 0.04% 86 Pennsylvania Real Estate Investment PEI 603 3.3 0.00 0.00 0.01 0.99 0.00% -0.02% 0.00% 0.29% 87 Sizeler Property Investors, Inc. E SIZ 278 2.9 0.51 0.00 0.00 0.49 0.09% 0.00% 0.00% 0.08% 88 Vornado Realty Trust E VNO 6,777 2.6 0.01 0.51 0.12 0.36 0.01% 1.54% 1.16% 1.41% 89 Washington Real Estate Investment Trust E WRE 708 2.2 0.16 0.55 0.12 0.16 0.09% 0.22% 0.15% 0.07% 90 Capital Automotive REIT E CARS 1,200 3.3 0.00 0.00 0.00 1.00 -0.01% -0.03% -0.01% 0.60% Debt 61.23% 60.79% 56.35% 70.79%

52 Table P-7: Pure-play Portfolio for property types, 2003

2003 - Property Type ASSET Fraction of Property Types Pure Play Weights (%) Ticker TA/E REITs($M) APT Office Ind. Retail APT Office Ind. Retail 1 Alexandria Real Estate Equities, Inc. ARE 1,159 2.4 0.00 1.00 0.00 0.00 -0.01% 0.59% -0.16% -0.03% 2 AmeriVest Properties, Inc. AMV 157 3.6 0.00 1.00 0.00 0.00 0.00% 0.05% -0.01% 0.00% 3 Arden Realty Group, Inc. ARI 2,832 2.3 0.00 1.00 0.00 0.00 -0.02% 1.52% -0.40% -0.08% 4 Boston Properties, Inc. BXP 8,427 3.9 0.00 0.76 0.00 0.23 -0.04% 1.98% -0.50% 0.60% 5 Brandywine Realty Trust BDN 1,919 2.8 0.00 0.98 0.02 0.00 -0.01% 0.81% -0.13% -0.04% 6 Brookfield Property Corporation BPO 8,329 3.6 0.00 0.99 0.00 0.01 -0.03% 2.82% -0.74% -0.11% 7 CarrAmerica Realty Corporation CRE 2,816 2.8 0.00 1.00 0.00 0.00 -0.01% 1.22% -0.32% -0.06% 8 Corporate Office Properties Trust OFC 1,126 3.9 0.00 1.00 0.00 0.00 0.00% 0.35% -0.09% -0.02% 9Equity Office Properties Trust EOP 25,247 2.3 0.00 0.98 0.02 0.00 -0.14% 13.15% -2.24% -0.64% 10 Glenborough Realty Trust Incorporated GLB 1,434 2.3 0.02 0.92 0.05 0.00 0.02% 0.70% 0.00% -0.04% 11 Highwoods Properties, Inc. HIW 3,395 2.2 0.01 0.88 0.07 0.04 0.00% 1.62% 0.18% 0.01% 12 HRPT Properties Trust HRP 3,206 1.7 0.00 1.00 0.00 0.00 -0.02% 2.35% -0.62% -0.12% 13 Koger Equity, Inc. KE 805 2.4 0.00 1.00 0.00 0.00 0.00% 0.42% -0.11% -0.02% 14 Mack-Cali Realty Corporation CLI 3,796 2.6 0.00 1.00 0.00 0.00 -0.02% 1.76% -0.43% -0.09% 15 Maxus Realty Trust Inc. MRTI 37 3.3 0.88 0.12 0.00 0.00 0.02% 0.00% 0.00% 0.00% 16 Parkway Properties, Inc. PKY 764 2.0 0.00 1.00 0.00 0.00 0.00% 0.46% -0.12% -0.02% 17 Prentiss Properties Trust PP 2,122 2.5 0.00 0.94 0.06 0.00 -0.01% 0.95% 0.04% -0.05% 18 Prime Group Realty Trust PGE 1,409 5.7 0.00 0.85 0.15 0.00 0.00% 0.24% 0.14% -0.01% 19 SL Green Realty Corp. SLG 1,473 2.0 0.00 1.00 0.00 0.00 -0.01% 0.90% -0.24% -0.05% 20 Trizec Properties, Inc. TRZ 5,579 3.0 0.00 1.00 0.00 0.00 -0.02% 2.29% -0.60% -0.12% 21 Bedford Property Investors, Inc. BED 694 2.5 0.00 0.60 0.40 0.00 0.00% 0.17% 0.55% -0.01% 22 Duke Realty Corporation DRE 5,349 2.0 0.00 0.47 0.51 0.02 -0.01% 1.07% 6.95% -0.05% 23 Kilroy Realty Corporation KRC 1,507 3.4 0.00 0.80 0.20 0.00 0.00% 0.40% 0.36% -0.02% 24 Liberty Property Trust LRY 3,627 2.7 0.00 0.62 0.38 0.00 -0.01% 0.85% 2.57% -0.06% 25 Mission West Properties MSW 929 8.4 0.00 1.00 0.00 0.00 0.00% 0.13% -0.03% -0.01% 26 PS Business Parks Inc. PSB 1,157 1.7 0.00 0.89 0.11 0.00 -0.01% 0.69% 0.23% -0.04% 27 Reckson Associates Realty Corp. RA 2,908 3.1 0.00 0.98 0.02 0.00 -0.01% 1.12% -0.20% -0.06% 28 AMB Property Corp. AMB 4,992 3.0 0.00 0.00 0.99 0.01 0.00% -0.53% 9.07% 0.00% 29 CenterPoint Properties Trust CNT 1,306 2.5 0.00 0.02 0.98 0.00 0.00% -0.15% 2.82% -0.01% 30 EastGroup Properties, Inc. EGP 702 2.0 0.00 0.08 0.92 0.00 0.00% -0.07% 1.79% -0.01% 31 First Industrial Realty Trust, Inc. FR 2,630 3.0 0.00 0.00 1.00 0.00 0.00% -0.28% 4.82% -0.02% 32 Keystone Property Trust KTR 672 2.8 0.00 0.01 0.99 0.00 0.00% -0.07% 1.31% 0.00% 33 Monmouth Real Estate Investment Corp. MNRTA 149 2.5 0.00 0.00 0.96 0.04 0.00% -0.02% 0.31% 0.00% 34 ProLogis Trust PLD 5,924 2.1 0.00 0.00 1.00 0.00 0.01% -0.92% 15.78% -0.05% 35 Acadia Realty Trust AKR 411 2.6 0.09 0.00 0.00 0.91 0.02% -0.01% 0.00% 0.20% 36 Chelsea Property Group, Inc. CPG 1,703 3.7 0.00 0.00 0.00 1.00 -0.01% -0.03% -0.01% 0.64% 37 Developers Diversified Realty DDR 2,777 2.9 0.00 0.02 0.01 0.97 -0.03% -0.04% 0.02% 1.29% 38 Equity One, Inc. EQY 730 2.1 0.00 0.00 0.00 1.00 -0.01% -0.02% 0.00% 0.49% 39 Federal Realty Investment Trust FRT 1,999 3.1 0.02 0.00 0.00 0.98 0.00% -0.04% -0.01% 0.89% 40 Heritage Property Investment Trust HTG 2,060 2.3 0.00 0.03 0.00 0.97 -0.03% -0.03% -0.02% 1.20% 41 Kimco Realty Corporation KIM 3,757 2.0 0.00 0.00 0.00 1.00 -0.06% -0.11% -0.03% 2.67% 42 Kramont Realty Trust KRT 779 3.1 0.00 0.00 0.00 1.00 -0.01% -0.01% -0.01% 0.35% 43 Malan Realty Investors, Inc. MAL 208 7.9 0.00 0.00 0.00 1.00 0.00% 0.00% 0.00% 0.04% 44 New Plan Excel Realty Trust, Inc. NXL 3,515 2.2 0.00 0.00 0.00 1.00 -0.05% -0.10% -0.03% 2.20% 45 Pan Pacific Retail Properties, Inc. PNP 1,424 2.2 0.00 0.00 0.00 1.00 -0.02% -0.04% -0.01% 0.91% 46 Ramco-Gershenson Properties Trust RPT 698 3.5 0.00 0.00 0.00 1.00 -0.01% -0.01% 0.00% 0.28% 47 Regency Centers Corporation REG 3,062 2.5 0.00 0.00 0.00 1.00 -0.04% -0.08% -0.02% 1.71% 48 Tanger Factory Outlet Centers, Inc. SKT 478 5.3 0.00 0.00 0.00 1.00 0.00% -0.01% 0.00% 0.13% 49 Urstadt Biddle Properties Inc. UBA 393 1.8 0.00 0.08 0.04 0.89 -0.01% 0.01% 0.04% 0.27% 50 Weingarten Realty Investors WRI 2,424 2.6 0.00 0.00 0.07 0.92 -0.03% -0.07% 0.36% 1.21% 51 CBL & Associates Properties, Inc. CBL 3,795 5.1 0.00 0.00 0.00 1.00 -0.02% -0.04% -0.01% 1.04% 52 General Growth Properties, Inc. GGP 7,281 4.8 0.00 0.01 0.00 0.99 -0.05% -0.08% -0.02% 2.13% 53 Glimcher Realty Trust GRT 1,632 3.8 0.00 0.00 0.00 1.00 -0.01% -0.03% -0.01% 0.60% 54 Macerich Company, The MAC 3,662 3.5 0.00 0.00 0.00 1.00 -0.03% -0.06% -0.02% 1.46% 55 Mills Corporation, The MLS 2,155 3.5 0.00 0.00 0.00 1.00 -0.02% -0.04% -0.01% 0.87% 56 Rouse Company, The RSE 6,386 5.7 0.00 0.16 0.00 0.84 -0.03% 0.16% -0.06% 1.30% 57 Simon Property Group, Inc. SPG 14,905 4.3 0.00 0.01 0.00 0.99 -0.10% -0.19% -0.07% 4.83% 58 Taubman Centers, Inc. TCO 2,270 6.1 0.00 0.00 0.00 1.00 -0.01% -0.02% -0.01% 0.52% 59 Agree Realty Corporation ADC 178 3.4 0.00 0.00 0.00 1.00 0.00% 0.00% 0.00% 0.07% 60 Alexander's, Inc. ALX 665 9.7 0.00 0.00 0.00 1.00 0.00% 0.00% 0.00% 0.10% 61 AmREIT Inc. AMY 74 1.9 0.00 0.01 0.00 0.99 0.00% 0.00% 0.00% 0.05% 62 Commercial Net Lease Realty, Inc. NNN 954 1.7 0.00 0.12 0.00 0.88 -0.02% 0.05% -0.03% 0.67% 63 Realty Income Corporation O 1,080 1.5 0.00 0.00 0.04 0.96 -0.02% -0.05% 0.13% 0.97% 64 Manufactured Home Communities, Inc. MHC 1,163 6.6 0.00 0.00 0.00 1.00 -0.01% -0.01% 0.00% 0.25% 65 Sun Communities, Inc. SUI 1,164 3.6 0.00 1.00 0.00 0.00 0.00% 0.39% -0.10% -0.02% 66 Amli Residential Properties Trust AML 921 2.3 1.00 0.00 0.00 0.00 0.67% -0.01% 0.00% -0.01% 67 Apartment Investment & Management AIV 10,317 3.3 1.00 0.00 0.00 0.00 5.33% -0.04% 0.01% -0.10% 68 Archstone-Smith Trust ASN 8,855 2.3 1.00 0.00 0.00 0.00 6.48% -0.05% 0.01% -0.12% 69 Associated Estates Realty Corporation AEC 735 4.9 1.00 0.00 0.00 0.00 0.25% 0.00% 0.00% 0.00% 70 AvalonBay Communities Inc. AVB 4,951 2.3 1.00 0.00 0.00 0.00 3.70% -0.03% 0.01% -0.07% 71 BNP Residential Properties, Inc. BNP 272 6.9 0.97 0.00 0.00 0.03 0.06% 0.00% 0.00% 0.00% 72 BRE Properties, Inc. BRE 2,109 2.5 1.00 0.00 0.00 0.00 1.43% -0.01% 0.00% -0.03% 73 Camden Property Trust CPT 2,610 3.1 1.00 0.00 0.00 0.00 1.41% -0.01% 0.00% -0.03% 74 Cornerstone Realty Income Trust TCR 1,015 3.5 1.00 0.00 0.00 0.00 0.48% 0.00% 0.00% -0.01% 75 Equity Residential EQR 11,811 2.3 1.00 0.00 0.00 0.00 8.76% -0.07% 0.02% -0.16% 76 Essex Property Trust, Inc. ESS 1,620 3.3 1.00 0.00 0.00 0.00 0.82% 0.00% 0.00% -0.01% 77 Gables Residential Trust GBP 1,584 3.7 1.00 0.00 0.00 0.00 0.71% -0.01% 0.00% -0.01% 78 Home Properties, Inc. HME 2,456 3.4 1.00 0.00 0.00 0.00 1.22% -0.01% 0.00% -0.02% 79 Mid-America Apartment Communities, MAA 1,239 3.7 1.00 0.00 0.00 0.00 0.57% 0.00% 0.00% -0.01% 80 Post Properties, Inc. PPS 2,508 3.0 1.00 0.00 0.00 0.00 1.40% -0.01% 0.00% -0.03% 81 Roberts Realty Investors, Inc. RPI 179 8.0 1.00 0.00 0.00 0.00 0.04% 0.00% 0.00% 0.00% 82 Summit Properties Inc. SMT 1,337 3.4 1.00 0.00 0.00 0.00 0.67% -0.01% 0.00% -0.01% 83 United Dominion Realty Trust, Inc. UDR 3,276 3.3 1.00 0.00 0.00 0.00 1.69% -0.01% 0.00% -0.03% 84 Colonial Properties Trust E CLP 2,130 4.0 0.35 0.17 0.00 0.48 0.31% 0.09% -0.03% 0.35% 85 Cousins Properties Incorporated E CUZ 1,248 3.1 0.00 0.84 0.00 0.16 -0.01% 0.41% -0.11% 0.07% 86 Crescent Real Estate Equities Company E CEI 4,288 3.2 0.00 0.78 0.22 0.00 0.00% 1.19% 1.30% -0.07% 87 First Union Real Estate Investments E FUR 172 1.6 0.00 1.00 0.00 0.00 0.00% 0.13% -0.03% -0.01% 88 Forest City Enterprises FCE.A 5,077 7.2 0.50 0.19 0.00 0.31 0.59% 0.14% -0.04% 0.29% 89 Lexington Corporate Properties, Inc. LXP 902 2.7 0.00 0.60 0.31 0.09 0.00% 0.21% 0.50% 0.03% 90 One Liberty Properties, Inc. OLP 180 2.0 0.08 0.12 0.29 0.51 0.01% 0.00% 0.14% 0.06% 91 Pennsylvania Real Estate Investment PEI 704 3.7 0.00 0.00 0.00 1.00 -0.01% -0.01% 0.00% 0.26% 92 Sizeler Property Investors, Inc. E SIZ 288 2.8 0.38 0.00 0.00 0.62 0.06% 0.00% 0.00% 0.09% 93 Vornado Realty Trust E VNO 9,018 3.4 0.02 0.57 0.09 0.32 -0.34% 0.00% 0.00% 0.01% 94 Washington Real Estate Investment Trust E WRE 756 2.3 0.16 0.54 0.13 0.18 0.00% -0.24% 0.06% 0.01% 95 Capital Automotive REIT E CARS 1,542 4.1 0.00 0.01 0.00 0.99 0.00% 0.06% -1.09% 0.00% 96 Entertainment Properties Trust E EPR 730 2.1 0.00 0.00 0.00 1.00 0.01% 0.01% 0.00% -0.28% Debt 64.61% 62.18% 59.23% 71.72%

53 Table G-1: Pure-play Portfolio for geographic locations, 1997

1997-Location Fraction of Locations WEIGHT Ticker Asset TA/E REITs East West South Mwest East West South Mwest 1 Arden Realty Group, Inc. ARI 551 1.7 0.00 1.00 0.00 0.00 -0.66% 4.94% -1.10% -0.51% 2 Brandywine Realty Trust BDN 178 1.4 1.00 0.00 0.00 0.00 1.50% -0.26% -0.49% -0.44% 3 CarrAmerica Realty Corporation CRE 1,537 2.0 0.23 0.52 0.17 0.08 0.62% 5.14% -0.16% -0.42% 4 Corporate Office Properties Trust OFC 24 2.6 1.00 0.00 0.00 0.00 0.11% -0.02% -0.04% -0.03% 5Highwoods Properties, Inc. HIW 1,443 1.9 0.56 0.00 0.43 0.01 3.80% -1.97% 3.58% -2.53% 6 Mack-Cali Realty Corporation CLI 1,026 1.5 0.94 0.04 0.02 0.00 7.59% -0.95% -2.39% -2.37% 7 Parkway Properties, Inc. PKY 147 1.9 0.23 0.00 0.77 0.00 -0.02% -0.23% 0.90% -0.28% 8 Prentiss Properties Trust PP 531 1.6 0.29 0.26 0.29 0.17 0.37% 0.66% 0.66% 0.36% 9 Bedford Property Investors, Inc. BED 232 1.9 0.00 1.00 0.00 0.00 -0.25% 1.84% -0.41% -0.19% 10 Duke Realty Corporation DRE 1,361 1.8 0.05 0.00 0.09 0.86 -2.04% -1.30% -1.46% 13.17% 11 Kilroy Realty Corporation KRC 128 - 1.1 0.00 1.00 0.00 0.00 0.23% -1.69% 0.38% 0.18% 12 Liberty Property Trust LRY 1,153 3.1 0.79 0.03 0.09 0.09 3.20% -0.62% -0.72% -0.47% 13 PS Business Parks Inc. PSB 28 1.1 0.12 0.81 0.07 0.00 -0.01% 0.31% -0.06% -0.05% 14 Reckson Associates Realty Corp. RA 544 2.9 1.00 0.00 0.00 0.00 2.18% -0.37% -0.72% -0.64% 15 CenterPoint Properties Trust CNT 451 1.8 0.00 0.00 0.00 1.00 -0.86% -0.38% -0.90% 5.17% 16 EastGroup Properties, Inc. EGP 281 1.9 0.00 0.42 0.58 0.00 -0.44% 0.63% 1.15% -0.40% 17 First Industrial Realty Trust, Inc. FR 1,023 1.9 0.10 0.09 0.26 0.55 -1.06% -0.31% 0.82% 5.39% 18 Monmouth Real Estate Investment Corp. MNRTA 33 2.0 0.77 0.00 0.04 0.19 0.13% -0.03% -0.05% 0.02% 19 ProLogis Trust PLD 2,462 1.5 0.12 0.50 0.25 0.13 -1.63% 9.82% 2.30% 1.04% 20 Acadia Realty Trust AKR 259 4.6 1.00 0.00 0.00 0.00 0.66% -0.11% -0.22% -0.20% 21 Agree Realty Corporation ADC 121 5.0 0.07 0.01 0.09 0.82 -0.06% -0.04% -0.04% 0.40% 22 Developers Diversified Realty DDR 975 2.1 0.32 0.10 0.20 0.38 0.71% -0.21% 0.09% 2.82% 23 Federal Realty Investment Trust FRT 1,035 2.7 0.87 0.07 0.00 0.06 3.81% -0.29% -1.46% -0.76% 24 Kimco Realty Corporation KIM 1,023 1.7 0.43 0.02 0.21 0.34 1.81% -1.04% 0.20% 2.95% 25 KRANZCO REALTY TRUST KRT 119 1.6 0.00 0.00 1.00 0.00 -0.28% -0.24% 1.19% -0.27% 26 Malan Realty Investors, Inc. MAL 218 6.2 0.00 0.00 0.00 1.00 -0.12% -0.05% -0.13% 0.73% 27 New Plan Excel Realty Trust, Inc. NXL 945 1.4 0.44 0.15 0.22 0.19 2.16% 0.24% 0.47% 0.92% 28 Ramco-Gershenson Properties Trust RPT 323 2.7 0.14 0.00 0.24 0.62 -0.17% -0.24% 0.13% 1.38% 29 Regency Centers Corporation REG 387 1.9 0.07 0.00 0.83 0.11 -0.57% -0.63% 2.62% -0.21% 30 Saul Centers, Inc. BFS 263 - 10.0 0.92 0.00 0.08 0.00 -0.27% 0.06% 0.06% 0.09% 31 Tanger Factory Outlet Centers, Inc. SKT 332 3.0 0.43 0.03 0.35 0.19 0.33% -0.21% 0.36% 0.13% 32 Weingarten Realty Investors WRI 831 2.1 0.00 0.32 0.64 0.04 -1.30% 1.01% 3.66% -0.79% 33 CBL & Associates Properties, Inc. CBL 1,026 3.8 0.34 0.05 0.51 0.10 0.43% -0.49% 1.76% -0.29% 34 General Growth Properties, Inc. GGP 1,758 5.3 0.22 0.29 0.23 0.27 0.06% 0.87% 0.31% 1.17% 35 Glimcher Realty Trust GRT 949 3.1 0.47 0.00 0.14 0.39 1.10% -0.61% -0.30% 1.82% 36 Macerich Company, The MAC 1,188 5.0 0.13 0.70 0.09 0.08 -0.13% 2.33% -0.40% -0.04% 37 Mills Corporation, The MLS 863 18.9 0.38 0.27 0.22 0.13 0.12% 0.11% 0.03% 0.01% 38 Rouse Company, The RSE 3,643 20.6 0.56 0.16 0.20 0.08 0.93% 0.07% 0.05% -0.23% 39 Simon Property Group, Inc. SPG 5,896 4.5 0.20 0.10 0.34 0.36 -0.57% -0.74% 3.95% 7.14% 40 Taubman Centers, Inc. TCO 379 1.0 0.43 0.16 0.15 0.26 1.16% 0.23% -0.24% 1.16% 41 Alexander's, Inc. ALX 212 38.0 1.00 0.00 0.00 0.00 0.06% -0.01% -0.02% -0.02% 42 Commercial Net Lease Realty, Inc. NNN 371 1.5 0.23 0.18 0.46 0.13 0.02% 0.14% 1.38% -0.01% 43 One Liberty Properties, Inc. OLP 53 1.7 0.18 0.07 0.51 0.24 -0.03% -0.04% 0.20% 0.07% 44 Realty Income Corporation O 454 1.2 0.17 0.30 0.32 0.22 -0.21% 1.01% 0.99% 0.87% 45 Manufactured Home Communities, Inc. MHC 568 2.2 0.00 1.00 0.00 0.00 -0.52% 3.84% -0.86% -0.40% 46 Sun Communities, Inc. SUI 585 1.9 0.00 0.00 0.00 1.00 -1.04% -0.47% -1.10% 6.27% 47 Amli Residential Properties Trust AML 504 2.1 0.00 0.00 0.53 0.47 -0.88% -0.60% 1.63% 1.93% 48 Apartment Investment & Management AIV 835 3.7 0.12 0.71 0.13 0.05 -0.16% 2.18% -0.20% -0.22% 49 Archstone-Smith Trust ASN 2,282 1.8 0.09 0.73 0.15 0.03 -1.41% 12.79% -0.51% -1.71% 50 Associated Estates Realty Corporation AEC 418 2.6 0.04 0.00 0.04 0.93 -0.45% -0.26% -0.47% 3.00% 51 AvalonBay Communities Inc. AVB 712 1.7 0.38 0.62 0.00 0.00 1.29% 3.52% -1.45% -0.93% 52 BRE Properties, Inc. BRE 784 1.7 0.00 1.00 0.00 0.00 -0.93% 6.90% -1.54% -0.72% 53 Camden Property Trust CPT 604 2.0 0.14 0.09 0.69 0.08 -0.43% -0.41% 2.96% -0.45% 54 Equity Residential EQR 2,986 2.0 0.18 0.47 0.23 0.11 -0.14% 8.39% 1.49% 0.23% 55 Essex Property Trust, Inc. ESS 417 1.9 0.00 1.00 0.00 0.00 -0.45% 3.31% -0.74% -0.35% 56 Gables Residential Trust GBP 760 2.7 0.00 0.00 1.00 0.00 -1.08% -0.93% 4.53% -1.03% 57 Home Properties, Inc. HME 249 3.0 0.77 0.00 0.00 0.23 0.68% -0.16% -0.31% 0.18% 58 Mid-America Apartment Communities, MAA 611 2.5 0.20 0.00 0.79 0.01 -0.16% -0.73% 2.86% -0.82% 59 Post Properties, Inc. PPS 959 2.4 0.09 0.03 0.88 0.00 -0.95% -1.05% 5.47% -1.42% 60 Summit Properties Inc. SMT 635 2.5 0.70 0.00 0.30 0.00 1.80% -0.62% 0.57% -0.90% 61 Tarragon Realty Investors, Inc. TARR 29 2.9 0.12 0.07 0.68 0.14 -0.02% -0.02% 0.10% 0.00% 62 Town and Country Trust, The TCT 383 5.4 1.00 0.00 0.00 0.00 0.83% -0.14% -0.27% -0.24% 63 United Dominion Realty Trust, Inc. UDR 1,967 2.3 0.60 0.01 0.39 0.00 4.67% -2.00% 3.36% -2.98% 64 Forest City Enterprises FCE.A 4,418 6.7 0.51 0.15 0.03 0.31 2.99% 0.47% -2.09% 2.82% 65 BODDIE NOELL PROPERTIES INC BNP 103 4.2 1.00 0.00 0.00 0.00 0.29% -0.05% -0.10% -0.09% 66 Colonial Properties Trust E CLP 948 3.4 0.11 0.00 0.89 0.00 -0.60% -0.89% 3.89% -1.01% 67 Cousins Properties Incorporated E CUZ 557 1.9 0.25 0.07 0.68 0.00 0.03% -0.50% 2.93% -1.03% 68 Crescent Real Estate Equities Company E CEI 1,731 2.0 0.05 0.22 0.65 0.07 -2.22% 0.82% 7.98% -1.17% 69 First Union Real Estate Investments E FUR 441 2.9 0.00 0.00 0.00 1.00 -0.53% -0.24% -0.56% 3.18% 70 Glenborough Realty Trust Incorporated GLB 186 1.9 0.36 0.27 0.15 0.22 0.22% 0.23% -0.06% 0.24% 71 Income Opportunity Realty Investors IOT 64 2.8 0.72 0.00 0.28 0.00 0.17% -0.05% 0.04% -0.08% 72 Lexington Corporate Properties, Inc. LXP 309 3.3 0.30 0.37 0.23 0.09 0.14% 0.37% 0.10% -0.05% 73 Pennsylvania Real Estate Investment PEI 178 3.8 0.99 0.00 0.01 0.00 0.54% -0.09% -0.17% -0.16% 74 Sizeler Property Investors, Inc. E SIZ 278 3.1 0.00 0.00 1.00 0.00 -0.34% -0.30% 1.44% -0.33% 75 Transcontinental Realty Investors, Inc TCI 245 3.1 0.18 0.10 0.62 0.10 -0.07% -0.09% 0.68% -0.07% 76 Vornado Realty Trust E VNO 565 2.0 0.62 0.19 0.11 0.08 1.72% 0.28% -0.41% -0.34% 77 Washington Real Estate Investment Trust E WRE 318 1.6 1.00 0.00 0.00 0.00 2.28% -0.39% -0.75% -0.68% Debt 72.32% 50.62% 55.65% 63.48%

54 Table G-2: Pure-play Portfolio for geographic locations, 1998

1998-Location Fraction of Locations WEIGHT Ticker Asset TA/E REITs East West South Mwest East West South Mwest 1 Alexandria Real Estate Equities, Inc. ARE 248 1.5 0.56 0.44 0.00 0.00 0.51% 0.46% -0.34% -0.29% 2 Arden Realty Group, Inc. ARI 1,284 1.9 0.00 1.00 0.00 0.00 -0.94% 5.48% -1.43% -0.94% 3 Boston Properties, Inc. BXP 1,673 9.6 0.65 0.35 0.00 0.00 0.64% 0.35% -0.36% -0.32% 4 Brandywine Realty Trust BDN 621 1.5 1.00 0.00 0.00 0.00 2.74% -0.60% -0.86% -0.87% 5 CarrAmerica Realty Corporation CRE 2,744 1.8 0.23 0.52 0.19 0.06 0.38% 5.30% 0.24% -1.14% 6 Corporate Office Properties Trust OFC 194 16.6 0.82 0.00 0.00 0.18 0.06% -0.02% -0.03% 0.01% 7Equity Office Properties Trust EOP 11,752 1.8 0.30 0.36 0.18 0.16 4.99% 12.03% 0.01% 5.44% 8Highwoods Properties, Inc. HIW 2,722 1.9 0.54 0.00 0.46 0.01 3.54% -2.42% 4.82% -3.17% 9 HRPT Properties Trust HRP 2,136 1.7 1.00 0.00 0.00 0.00 8.16% -1.77% -2.56% -2.59% 10 Mack-Cali Realty Corporation CLI 2,593 2.2 0.83 0.08 0.08 0.01 5.83% -0.79% -1.24% -2.14% 11 Parkway Properties, Inc. PKY 369 1.5 0.29 0.00 0.68 0.02 0.11% -0.46% 1.50% -0.52% 12 Prentiss Properties Trust PP 1,240 1.8 0.29 0.26 0.25 0.20 0.41% 0.66% 0.54% 1.02% 13 Prime Group Realty Trust PGE 741 3.3 0.00 0.07 0.07 0.86 -0.45% -0.17% -0.41% 2.97% 14 SL Green Realty Corp. SLG 383 2.2 1.00 0.00 0.00 0.00 1.14% -0.25% -0.36% -0.36% 15 Bedford Property Investors, Inc. BED 434 1.3 0.00 0.92 0.02 0.06 -0.50% 2.56% -0.68% -0.12% 16 Duke Realty Corporation DRE 2,176 1.8 0.06 0.00 0.11 0.83 -1.91% -1.82% -1.57% 15.63% 17 Kilroy Realty Corporation KRC 758 1.9 0.00 1.00 0.00 0.00 -0.56% 3.24% -0.84% -0.55% 18 Liberty Property Trust LRY 2,094 2.2 0.80 0.02 0.09 0.08 4.56% -1.19% -0.95% -0.55% 19 PS Business Parks Inc. PSB 29 1.1 0.15 0.71 0.14 0.00 -0.01% 0.14% -0.01% -0.05% 20 Reckson Associates Realty Corp. RA 1,113 2.5 1.00 0.00 0.00 0.00 2.89% -0.63% -0.91% -0.92% 21 AMB Property Corp. AMB 2,506 1.5 0.22 0.39 0.20 0.19 0.13% 3.56% 0.36% 2.49% 22 CenterPoint Properties Trust CNT 699 1.8 0.00 0.00 0.00 1.00 -0.79% -0.54% -1.08% 6.14% 23 EastGroup Properties, Inc. EGP 413 1.6 0.09 0.29 0.57 0.04 -0.27% 0.25% 1.23% -0.39% 24 First Industrial Realty Trust, Inc. FR 2,272 2.7 0.23 0.07 0.21 0.48 -0.03% -0.72% 0.15% 5.51% 25 Monmouth Real Estate Investment Corp. MNRTA 45 2.3 0.80 0.00 0.03 0.17 0.09% -0.03% -0.03% 0.02% 26 Acadia Realty Trust AKR 255 5.2 0.85 0.00 0.15 0.00 0.25% -0.07% -0.01% -0.11% 27 Agree Realty Corporation ADC 130 2.4 0.07 0.01 0.15 0.76 -0.08% -0.08% -0.04% 0.63% 28 Developers Diversified Realty DDR 1,392 2.1 0.35 0.11 0.22 0.32 0.66% -0.31% 0.23% 2.40% 29 Federal Realty Investment Trust FRT 1,317 2.4 0.81 0.09 0.04 0.06 2.71% -0.32% -0.89% -0.50% 30 Kimco Realty Corporation KIM 1,344 1.8 0.42 0.03 0.21 0.33 1.16% -0.93% 0.21% 2.79% 31 Malan Realty Investors, Inc. MAL 216 6.4 0.02 0.02 0.00 0.96 -0.06% -0.04% -0.09% 0.52% 32 New Plan Excel Realty Trust, Inc. NXL 1,261 1.7 0.41 0.10 0.29 0.20 1.11% -0.49% 0.99% 1.02% 33 Pan Pacific Retail Properties, Inc. PNP 487 1.6 0.02 0.97 0.01 0.00 -0.38% 2.36% -0.60% -0.43% 34 Ramco-Gershenson Properties Trust RPT 485 3.8 0.17 0.00 0.26 0.57 -0.08% -0.20% 0.08% 1.03% 35 Regency Centers Corporation REG 827 1.6 0.06 0.12 0.76 0.06 -0.74% -0.43% 3.61% -0.73% 36 Saul Centers, Inc. BFS 261 - 6.9 0.92 0.00 0.08 0.00 -0.22% 0.06% 0.04% 0.08% 37 Tanger Factory Outlet Centers, Inc. SKT 416 3.4 0.41 0.07 0.35 0.16 0.19% -0.11% 0.25% 0.08% 38 Weingarten Realty Investors WRI 947 2.4 0.00 0.29 0.67 0.03 -0.72% 0.35% 2.33% -0.68% 39 CBL & Associates Properties, Inc. CBL 1,245 3.8 0.39 0.04 0.48 0.09 0.43% -0.44% 1.21% -0.27% 40 General Growth Properties, Inc. GGP 2,098 4.2 0.21 0.37 0.19 0.23 0.00% 1.02% 0.00% 1.06% 41 Glimcher Realty Trust GRT 1,164 2.3 0.48 0.02 0.13 0.36 1.04% -0.64% -0.36% 2.17% 42 Macerich Company, The MAC 1,505 7.0 0.12 0.74 0.08 0.06 -0.13% 1.21% -0.25% -0.10% 43 Mills Corporation, The MLS 927 9.4 0.38 0.23 0.22 0.17 0.13% 0.07% 0.04% 0.09% 44 Rouse Company, The RSE 3,590 7.7 0.56 0.19 0.17 0.09 1.31% 0.13% -0.05% -0.24% 45 Simon Property Group, Inc. SPG 7,663 4.9 0.23 0.11 0.32 0.33 -0.03% -0.84% 2.44% 5.88% 46 Taubman Centers, Inc. TCO 557 1.0 0.31 0.25 0.09 0.35 0.41% 0.51% -0.66% 2.32% 47 Alexander's, Inc. ALX 235 18.0 1.00 0.00 0.00 0.00 0.08% -0.02% -0.03% -0.03% 48 Commercial Net Lease Realty, Inc. NNN 537 1.5 0.23 0.17 0.49 0.11 0.02% -0.05% 1.35% -0.12% 49 One Liberty Properties, Inc. OLP 58 1.8 0.22 0.06 0.40 0.31 0.00% -0.04% 0.08% 0.10% 50 Realty Income Corporation O 577 1.3 0.15 0.33 0.31 0.21 -0.22% 0.67% 0.63% 0.71% 51 Manufactured Home Communities, Inc. MHC 864 3.1 0.00 1.00 0.00 0.00 -0.39% 2.29% -0.60% -0.39% 52 Sun Communities, Inc. SUI 691 2.1 0.00 0.00 0.00 1.00 -0.67% -0.45% -0.91% 5.17% 53 Amli Residential Properties Trust AML 680 2.5 0.00 0.00 0.63 0.37 -0.55% -0.50% 1.42% 1.10% 54 Apartment Investment & Management AIV 2,101 2.0 0.12 0.67 0.17 0.05 -0.66% 5.11% -0.13% -0.94% 55 Archstone-Smith Trust ASN 2,806 1.8 0.09 0.62 0.28 0.02 -1.39% 6.63% 1.84% -2.30% 56 Associated Estates Realty Corporation AEC 554 3.1 0.02 0.00 0.03 0.95 -0.33% -0.26% -0.44% 2.70% 57 AvalonBay Communities Inc. AVB 1,318 1.7 0.32 0.65 0.00 0.02 0.90% 3.82% -1.67% -0.94% 58 BRE Properties, Inc. BRE 1,342 1.9 0.00 1.00 0.00 0.00 -0.99% 5.77% -1.50% -0.98% 59 Camden Property Trust CPT 1,324 1.9 0.12 0.10 0.68 0.09 -0.66% -0.64% 4.33% -0.62% 60 Cornerstone Realty Income Trust TCR 474 1.5 0.85 0.00 0.15 0.00 1.63% -0.48% -0.07% -0.68% 61 Equity Residential EQR 7,095 1.9 0.17 0.43 0.26 0.13 -1.10% 9.40% 3.62% 1.49% 62 Essex Property Trust, Inc. ESS 739 1.9 0.00 1.00 0.00 0.00 -0.56% 3.25% -0.85% -0.56% 63 Gables Residential Trust GBP 981 2.2 0.00 0.00 1.00 0.00 -0.91% -0.96% 4.49% -1.26% 64 Home Properties, Inc. HME 544 3.6 0.77 0.00 0.00 0.23 0.68% -0.21% -0.33% 0.31% 65 Mid-America Apartment Communities, MAA 1,194 2.6 0.17 0.01 0.80 0.02 -0.25% -0.87% 3.47% -1.06% 66 Post Properties, Inc. PPS 1,781 2.4 0.05 0.05 0.90 0.00 -1.16% -1.19% 6.59% -2.02% 67 Roberts Realty Investors, Inc. RPI 118 4.4 0.00 0.00 1.00 0.00 -0.05% -0.06% 0.27% -0.07% 68 Summit Properties Inc. SMT 825 3.1 0.56 0.00 0.33 0.11 0.73% -0.43% 0.48% -0.08% 69 Tarragon Realty Investors, Inc. TARR 37 3.8 0.08 0.19 0.61 0.12 -0.01% 0.00% 0.05% 0.00% 70 Town and Country Trust, The TCT 366 7.3 1.00 0.00 0.00 0.00 0.32% -0.07% -0.10% -0.10% 71 United Dominion Realty Trust, Inc. UDR 2,314 2.2 0.58 0.01 0.41 0.00 3.04% -1.64% 3.03% -2.47% 72 Forest City Enterprises FCE.A 2,963 10.5 0.44 0.18 0.03 0.36 0.50% 0.07% -0.55% 1.25% 73 BODDIE NOELL PROPERTIES INC BNP 166 3.0 1.00 0.00 0.00 0.00 0.36% -0.08% -0.11% -0.11% 74 Colonial Properties Trust E CLP 1,397 2.8 0.10 0.00 0.90 0.00 -0.59% -1.01% 4.32% -1.33% 75 Cousins Properties Incorporated E CUZ 618 1.7 0.29 0.08 0.63 0.00 0.17% -0.40% 2.06% -0.91% 76 Crescent Real Estate Equities Company E CEI 4,180 1.9 0.04 0.23 0.63 0.09 -3.29% 0.79% 11.92% -1.52% 77 First Union Real Estate Investments E FUR 820 3.1 0.25 0.24 0.27 0.24 0.05% 0.18% 0.28% 0.60% 78 Glenborough Realty Trust Incorporated GLB 866 1.5 0.21 0.44 0.17 0.17 0.04% 1.58% -0.11% 0.71% 79 Income Opportunity Realty Investors IOT 90 3.6 0.06 0.43 0.40 0.12 -0.03% 0.06% 0.07% 0.00% 80 Lexington Corporate Properties, Inc. LXP 467 2.3 0.27 0.44 0.21 0.08 0.11% 0.55% 0.09% -0.12% 81 Pennsylvania Real Estate Investment PEI 166 4.1 0.77 0.00 0.19 0.04 0.18% -0.06% 0.01% -0.06% 82 Sizeler Property Investors, Inc. E SIZ 276 3.3 0.00 0.00 1.00 0.00 -0.17% -0.18% 0.84% -0.24% 83 Transcontinental Realty Investors, Inc TCI 319 3.7 0.15 0.14 0.64 0.08 -0.06% -0.05% 0.48% -0.09% 84 Vornado Realty Trust E VNO 2,524 1.9 0.60 0.20 0.12 0.08 4.24% 0.60% -0.92% -0.85% 85 Washington Real Estate Investment Trust E WRE 469 1.9 1.00 0.00 0.00 0.00 1.63% -0.35% -0.51% -0.51% Debt 61.66% 45.80% 53.43% 64.88%

55 Table G-3: Pure-play Portfolio for geographic locations, 1999

1999-Location Fraction of Locations WEIGHT Ticker Asset TA/E REITs East West South Mwest East West South Mwest 1 Alexandria Real Estate Equities, Inc. ARE 530 2.7 0.61 0.38 0.01 0.00 0.44% 0.31% -0.28% -0.29% 2 Arden Realty Group, Inc. ARI 2,332 1.7 0.00 1.00 0.00 0.00 -1.73% 8.42% -2.53% -1.37% 3 Boston Properties, Inc. BXP 5,235 5.5 0.67 0.33 0.00 0.00 2.41% 1.09% -1.34% -1.41% 4 Brandywine Realty Trust BDN 1,912 2.6 0.99 0.00 0.00 0.01 3.23% -0.94% -0.91% -1.20% 5 CarrAmerica Realty Corporation CRE 3,793 2.1 0.19 0.56 0.19 0.06 -0.35% 5.02% 0.10% -1.23% 6 Corporate Office Properties Trust OFC 564 3.3 0.95 0.00 0.00 0.05 0.69% -0.21% -0.22% -0.15% 7Equity Office Properties Trust EOP 14,261 2.0 0.30 0.39 0.17 0.14 2.85% 10.86% -1.36% 3.73% 8Highwoods Properties, Inc. HIW 4,314 2.3 0.44 0.00 0.44 0.11 2.31% -2.82% 4.79% -0.96% 9 HRPT Properties Trust HRP 3,064 1.7 0.95 0.03 0.02 0.00 7.45% -1.94% -1.83% -3.17% 10 Mack-Cali Realty Corporation CLI 3,452 2.4 0.79 0.13 0.08 0.01 4.54% -0.52% -0.90% -2.26% 11 Parkway Properties, Inc. PKY 592 1.8 0.38 0.00 0.61 0.01 0.30% -0.53% 1.37% -0.77% 12 Prentiss Properties Trust PP 1,871 2.2 0.28 0.26 0.26 0.20 0.19% 0.50% 0.51% 1.11% 13 Prime Group Realty Trust PGE 1,165 3.3 0.00 0.03 0.03 0.93 -0.59% -0.28% -0.95% 4.65% 14 SL Green Realty Corp. SLG 778 1.5 1.00 0.00 0.00 0.00 2.25% -0.65% -0.62% -0.88% 15 Bedford Property Investors, Inc. BED 598 1.7 0.00 0.93 0.02 0.05 -0.45% 1.96% -0.60% -0.12% 16 Duke Realty Corporation DRE 2,854 1.8 0.08 0.00 0.25 0.67 -1.74% -1.94% -0.33% 13.57% 17 Kilroy Realty Corporation KRC 1,106 2.3 0.00 1.00 0.00 0.00 -0.60% 2.92% -0.88% -0.47% 18 Liberty Property Trust LRY 2,933 2.3 0.74 0.02 0.13 0.12 3.62% -1.46% -0.41% 0.00% 19 Mission West Properties MSW 520 15.6 0.00 1.00 0.00 0.00 -0.04% 0.20% -0.06% -0.03% 20 PS Business Parks Inc. PSB 709 1.4 0.21 0.58 0.20 0.00 -0.02% 1.44% 0.09% -0.74% 21 Reckson Associates Realty Corp. RA 1,855 2.6 0.87 0.10 0.03 0.00 2.56% -0.36% -0.72% -1.19% 22 AMB Property Corp. AMB 3,563 2.0 0.20 0.39 0.24 0.16 -0.31% 2.75% 0.64% 1.52% 23 CenterPoint Properties Trust CNT 818 2.0 0.00 0.00 0.00 1.00 -0.69% -0.41% -1.27% 5.83% 24 EastGroup Properties, Inc. EGP 568 1.8 0.06 0.33 0.57 0.04 -0.28% 0.27% 1.14% -0.52% 25 First Industrial Realty Trust, Inc. FR 2,554 2.4 0.25 0.10 0.22 0.43 -0.03% -0.60% -0.14% 5.29% 26 Monmouth Real Estate Investment Corp. MNRTA 56 2.0 0.68 0.00 0.07 0.25 0.07% -0.03% -0.03% 0.06% 27 ProLogis Trust PLD 4,331 1.9 0.11 0.52 0.26 0.11 -1.53% 5.51% 1.27% 0.27% 28 Acadia Realty Trust AKR 529 3.4 0.81 0.00 0.09 0.10 0.51% -0.20% -0.09% -0.04% 29 Agree Realty Corporation ADC 150 2.8 0.07 0.01 0.14 0.79 -0.07% -0.06% -0.08% 0.57% 30 Developers Diversified Realty DDR 2,127 2.4 0.31 0.14 0.18 0.37 0.27% -0.19% -0.33% 3.67% 31 Equity One, Inc. EQY 153 1.9 0.12 0.08 0.73 0.06 -0.05% -0.09% 0.42% -0.14% 32 Federal Realty Investment Trust FRT 1,484 2.8 0.80 0.10 0.04 0.06 1.71% -0.29% -0.54% -0.40% 33 Kimco Realty Corporation KIM 3,051 1.9 0.37 0.10 0.20 0.33 1.07% -0.85% -0.20% 5.40% 34 Kramont Realty Trust KRT 225 2.8 0.96 0.00 0.04 0.00 0.33% -0.10% -0.07% -0.14% 35 Malan Realty Investors, Inc. MAL 257 5.0 0.01 0.02 0.00 0.97 -0.08% -0.04% -0.16% 0.71% 36 New Plan Excel Realty Trust, Inc. NXL 1,385 1.8 0.40 0.09 0.29 0.22 0.71% -0.52% 0.68% 1.09% 37 Pan Pacific Retail Properties, Inc. PNP 706 1.8 0.01 0.98 0.01 0.00 -0.46% 2.29% -0.68% -0.39% 38 Ramco-Gershenson Properties Trust RPT 544 3.7 0.16 0.00 0.25 0.59 -0.09% -0.18% -0.02% 1.10% 39 Regency Centers Corporation REG 1,240 2.3 0.09 0.32 0.49 0.09 -0.41% 0.48% 1.53% -0.36% 40 Saul Centers, Inc. BFS 271 - 7.3 0.92 0.00 0.08 0.00 -0.15% 0.05% 0.02% 0.07% 41 Tanger Factory Outlet Centers, Inc. SKT 472 4.1 0.39 0.06 0.40 0.15 0.10% -0.11% 0.23% 0.02% 42 Weingarten Realty Investors WRI 1,107 2.1 0.00 0.25 0.72 0.04 -0.66% 0.08% 2.65% -1.03% 43 CBL & Associates Properties, Inc. CBL 1,855 4.5 0.37 0.03 0.47 0.13 0.32% -0.53% 1.13% -0.10% 44 General Growth Properties, Inc. GGP 4,027 4.4 0.20 0.36 0.22 0.23 -0.23% 1.20% 0.08% 1.78% 45 Glimcher Realty Trust GRT 1,558 3.2 0.41 0.12 0.15 0.31 0.44% -0.17% -0.24% 1.52% 46 Macerich Company, The MAC 2,322 4.0 0.12 0.60 0.09 0.20 -0.40% 1.82% -0.68% 1.03% 47 Mills Corporation, The MLS 970 12.3 0.33 0.28 0.24 0.15 0.04% 0.06% 0.04% 0.04% 48 Rouse Company, The RSE 5,155 8.2 0.57 0.22 0.13 0.08 1.21% 0.20% -0.22% -0.28% 49 Simon Property Group, Inc. SPG 13,277 3.9 0.33 0.11 0.27 0.28 1.74% -1.88% 2.13% 8.71% 50 Taubman Centers, Inc. TCO 1,481 2.8 0.33 0.22 0.12 0.32 0.24% 0.21% -0.46% 1.81% 51 Alexander's, Inc. ALX 317 45.5 1.00 0.00 0.00 0.00 0.03% -0.01% -0.01% -0.01% 52 Commercial Net Lease Realty, Inc. NNN 686 1.8 0.24 0.17 0.46 0.12 0.03% -0.08% 1.00% -0.13% 53 One Liberty Properties, Inc. OLP 83 1.6 0.35 0.04 0.32 0.28 0.03% -0.06% 0.06% 0.13% 54 Realty Income Corporation O 759 1.7 0.23 0.25 0.29 0.23 -0.03% 0.23% 0.37% 0.76% 55 Manufactured Home Communities, Inc. MHC 1,177 3.8 0.00 1.00 0.00 0.00 -0.39% 1.90% -0.57% -0.31% 56 Sun Communities, Inc. SUI 821 2.4 0.00 0.00 0.00 1.00 -0.59% -0.34% -1.06% 4.89% 57 Amli Residential Properties Trust AML 786 2.3 0.00 0.00 0.61 0.39 -0.48% -0.52% 1.20% 1.27% 58 Apartment Investment & Management AIV 4,268 2.2 0.19 0.44 0.27 0.09 -0.40% 3.60% 1.48% -0.60% 59 Archstone-Smith Trust ASN 5,060 1.9 0.17 0.48 0.32 0.03 -0.71% 5.45% 3.50% -3.70% 60 Associated Estates Realty Corporation AEC 841 3.2 0.09 0.04 0.11 0.77 -0.29% -0.22% -0.46% 2.75% 61 AvalonBay Communities Inc. AVB 4,030 1.7 0.54 0.38 0.00 0.08 4.03% 3.71% -3.76% -0.30% 62 BRE Properties, Inc. BRE 1,631 2.1 0.00 1.00 0.00 0.00 -0.97% 4.69% -1.41% -0.76% 63 Camden Property Trust CPT 2,348 2.0 0.08 0.36 0.50 0.06 -0.96% 1.31% 3.38% -1.30% 64 Cornerstone Realty Income Trust TCR 552 1.6 0.61 0.00 0.39 0.00 0.74% -0.51% 0.79% -0.77% 65 Equity Residential EQR 10,700 2.0 0.19 0.29 0.34 0.18 -1.24% 3.90% 6.73% 4.97% 66 Essex Property Trust, Inc. ESS 932 2.4 0.00 1.00 0.00 0.00 -0.49% 2.39% -0.72% -0.39% 67 Gables Residential Trust GBP 1,586 2.8 0.00 0.00 1.00 0.00 -0.68% -1.03% 4.34% -1.75% 68 Home Properties, Inc. HME 1,012 2.8 0.81 0.00 0.00 0.19 1.16% -0.44% -0.57% 0.49% 69 Mid-America Apartment Communities, MAA 1,366 2.6 0.17 0.01 0.80 0.02 -0.14% -0.86% 3.08% -1.34% 70 Post Properties, Inc. PPS 2,067 2.0 0.08 0.05 0.87 0.00 -0.80% -1.49% 6.91% -3.06% 71 Roberts Realty Investors, Inc. RPI 125 4.7 0.00 0.00 1.00 0.00 -0.03% -0.05% 0.21% -0.08% 72 Summit Properties Inc. SMT 1,199 3.3 0.51 0.00 0.40 0.09 0.56% -0.53% 0.80% -0.30% 73 Tarragon Realty Investors, Inc. TARR 357 4.7 0.21 0.18 0.53 0.07 0.00% -0.02% 0.25% -0.09% 74 Town and Country Trust, The TCT 432 13.7 0.91 0.00 0.09 0.00 0.12% -0.04% -0.01% -0.06% 75 United Dominion Realty Trust, Inc. UDR 3,755 2.7 0.39 0.16 0.37 0.08 1.26% -0.33% 2.54% -1.21% 76 BNP Residential Properties, Inc. BNP 221 3.9 1.00 0.00 0.00 0.00 0.25% -0.07% -0.07% -0.10% 77 Colonial Properties Trust E CLP 1,755 2.9 0.10 0.00 0.90 0.00 -0.40% -1.09% 4.18% -1.82% 78 Cousins Properties Incorporated E CUZ 753 2.0 0.20 0.16 0.65 0.00 -0.05% -0.18% 1.71% -0.96% 79 Crescent Real Estate Equities Company E CEI 5,043 2.1 0.06 0.21 0.66 0.08 -2.28% -0.27% 10.74% -3.08% 80 First Union Real Estate Investments E FUR 787 5.2 0.25 0.22 0.28 0.25 0.01% 0.04% 0.10% 0.31% 81 Glenborough Realty Trust Incorporated GLB 1,879 2.3 0.27 0.25 0.32 0.16 0.16% 0.38% 1.02% 0.43% 82 Income Opportunity Realty Investors IOT 89 3.8 0.04 0.41 0.44 0.10 -0.02% 0.04% 0.05% -0.01% 83 Lexington Corporate Properties, Inc. LXP 647 3.2 0.39 0.32 0.17 0.13 0.18% 0.21% -0.03% 0.06% 84 Pennsylvania Real Estate Investment PEI 482 3.5 0.83 0.00 0.14 0.03 0.47% -0.18% -0.01% -0.19% 85 Sizeler Property Investors, Inc. E SIZ 286 3.8 0.00 0.00 1.00 0.00 -0.09% -0.14% 0.59% -0.24% 86 Transcontinental Realty Investors, Inc TCI 382 4.2 0.13 0.14 0.67 0.07 -0.05% -0.06% 0.42% -0.13% 87 Vornado Realty Trust E VNO 4,426 2.5 0.66 0.16 0.09 0.10 4.33% -0.25% -1.24% -0.36% 88 Washington Real Estate Investment Trust E WRE 559 2.2 1.00 0.00 0.00 0.00 1.11% -0.32% -0.31% -0.44% Debt 65.98% 51.49% 55.14% 63.55%

56 Table G-4: Pure-play Portfolio for geographic locations, 2000

2000-Location Fraction of Locations WEIGHT Ticker Asset TA/E REITs East West South Mwest East West South Mwest 1 Alexandria Real Estate Equities, Inc. ARE 643 2.4 0.60 0.39 0.00 0.00 0.46% 0.26% -0.26% -0.29% 2 AmeriVest Properties, Inc. AMV 30 4.8 0.00 0.64 0.21 0.15 -0.01% 0.02% 0.00% 0.00% 3 Arden Realty Group, Inc. ARI 2,570 1.9 0.00 1.00 0.00 0.00 -1.78% 6.22% -1.56% -0.93% 4 Boston Properties, Inc. BXP 5,435 4.7 0.68 0.32 0.00 0.00 2.48% 0.66% -1.17% -1.32% 5 Brandywine Realty Trust BDN 1,830 2.3 0.99 0.00 0.00 0.01 2.95% -1.02% -0.76% -1.02% 6 Brookfield Property Corporation BPO 8,111 4.2 0.40 0.56 0.00 0.04 1.43% 3.83% -2.18% -0.87% 7 CarrAmerica Realty Corporation CRE 3,479 2.1 0.18 0.58 0.19 0.05 -0.54% 3.65% 0.45% -0.93% 8 Corporate Office Properties Trust OFC 721 3.8 0.96 0.00 0.00 0.04 0.69% -0.24% -0.20% -0.16% 9Equity Office Properties Trust EOP 14,046 2.1 0.23 0.58 0.10 0.09 -0.56% 14.67% -3.05% 0.20% 10 Glenborough Realty Trust Incorporated GLB 1,795 2.3 0.28 0.27 0.31 0.14 0.17% 0.34% 0.89% 0.14% 11 Highwoods Properties, Inc. HIW 4,016 2.1 0.44 0.00 0.45 0.12 2.02% -2.18% 4.27% -0.84% 12 HRPT Properties Trust HRP 2,953 1.9 0.92 0.06 0.02 0.00 5.10% -1.41% -1.22% -2.05% 13 Mack-Cali Realty Corporation CLI 3,630 2.5 0.82 0.11 0.06 0.01 4.13% -0.91% -0.72% -1.83% 14 Parkway Properties, Inc. PKY 649 2.0 0.32 0.00 0.57 0.11 0.16% -0.36% 1.02% -0.20% 15 Prentiss Properties Trust PP 1,995 2.4 0.31 0.27 0.24 0.18 0.27% 0.35% 0.45% 0.73% 16 Prime Group Realty Trust PGE 1,444 3.9 0.00 0.03 0.03 0.94 -0.50% -0.19% -0.89% 4.06% 17 SL Green Realty Corp. SLG 1,071 2.1 1.00 0.00 0.00 0.00 1.94% -0.67% -0.49% -0.70% 18 Bedford Property Investors, Inc. BED 671 2.2 0.00 0.94 0.02 0.04 -0.39% 1.26% -0.32% -0.06% 19 Duke Realty Corporation DRE 5,486 2.1 0.07 0.00 0.26 0.67 -2.34% -2.24% -0.37% 18.71% 20 Kilroy Realty Corporation KRC 1,321 2.8 0.00 1.00 0.00 0.00 -0.61% 2.14% -0.54% -0.32% 21 Liberty Property Trust LRY 3,118 2.4 0.75 0.02 0.12 0.11 3.29% -1.41% -0.32% -0.07% 22 Mission West Properties MSW 713 7.1 0.00 1.00 0.00 0.00 -0.13% 0.46% -0.11% -0.07% 23 PS Business Parks Inc. PSB 904 1.6 0.28 0.57 0.15 0.00 0.10% 1.13% 0.03% -0.63% 24 Reckson Associates Realty Corp. RA 2,724 2.4 0.89 0.09 0.02 0.00 3.59% -0.87% -0.89% -1.48% 25 AMB Property Corp. AMB 3,622 2.0 0.20 0.43 0.23 0.14 -0.43% 2.48% 0.82% 0.94% 26 CenterPoint Properties Trust CNT 1,083 2.3 0.00 0.00 0.00 1.00 -0.63% -0.32% -1.25% 5.43% 27 EastGroup Properties, Inc. EGP 632 1.7 0.06 0.33 0.57 0.04 -0.29% 0.28% 1.20% -0.51% 28 First Industrial Realty Trust, Inc. FR 2,527 2.4 0.27 0.10 0.25 0.39 0.11% -0.46% 0.24% 3.67% 29 Keystone Property Trust KTR 875 4.7 0.84 0.06 0.00 0.10 0.55% -0.17% -0.21% -0.01% 30 Monmouth Real Estate Investment Corp. MNRTA 79 2.2 0.57 0.00 0.05 0.38 0.06% -0.04% -0.05% 0.13% 31 ProLogis Trust PLD 5,848 2.0 0.11 0.52 0.27 0.11 -1.96% 5.38% 2.33% 0.21% 32 Acadia Realty Trust AKR 571 3.7 0.81 0.00 0.09 0.10 0.43% -0.19% -0.06% -0.03% 33 Agree Realty Corporation ADC 158 3.0 0.06 0.01 0.14 0.78 -0.05% -0.04% -0.06% 0.45% 34 Developers Diversified Realty DDR 2,321 2.7 0.28 0.20 0.19 0.32 0.15% 0.10% -0.07% 2.32% 35 Equity One, Inc. EQY 212 2.3 0.05 0.07 0.85 0.03 -0.07% -0.07% 0.50% -0.19% 36 Federal Realty Investment Trust FRT 1,534 3.1 0.78 0.11 0.05 0.06 1.34% -0.30% -0.37% -0.28% 37 Kimco Realty Corporation KIM 3,007 1.9 0.36 0.13 0.22 0.29 0.90% -0.49% 0.28% 3.65% 38 Malan Realty Investors, Inc. MAL 253 5.4 0.01 0.02 0.00 0.97 -0.06% -0.03% -0.12% 0.53% 39 New Plan Excel Realty Trust, Inc. NXL 2,953 1.8 0.40 0.11 0.28 0.21 1.30% -0.77% 1.31% 1.73% 40 Pan Pacific Retail Properties, Inc. PNP 785 2.1 0.01 0.99 0.00 0.00 -0.48% 1.70% -0.42% -0.26% 41 Ramco-Gershenson Properties Trust RPT 551 3.8 0.14 0.00 0.24 0.62 -0.07% -0.13% -0.03% 0.91% 42 Saul Centers, Inc. BFS 300 - 9.4 0.91 0.00 0.09 0.00 -0.11% 0.04% 0.01% 0.05% 43 Tanger Factory Outlet Centers, Inc. SKT 490 4.5 0.39 0.05 0.42 0.14 0.09% -0.09% 0.21% 0.00% 44 Weingarten Realty Investors WRI 1,309 2.0 0.00 0.30 0.67 0.03 -0.68% 0.36% 2.61% -1.03% 45 CBL & Associates Properties, Inc. CBL 2,019 4.8 0.38 0.02 0.37 0.24 0.30% -0.41% 0.60% 0.53% 46 General Growth Properties, Inc. GGP 4,955 3.9 0.17 0.38 0.23 0.22 -0.46% 1.38% 0.49% 1.78% 47 Glimcher Realty Trust GRT 1,586 3.5 0.36 0.14 0.15 0.35 0.26% -0.12% -0.19% 1.41% 48 Macerich Company, The MAC 2,404 3.9 0.10 0.62 0.10 0.18 -0.48% 1.52% -0.40% 0.80% 49 Mills Corporation, The MLS 1,039 17.3 0.32 0.27 0.27 0.14 0.02% 0.02% 0.05% 0.02% 50 Rouse Company, The RSE 4,427 6.9 0.57 0.20 0.15 0.08 1.05% -0.02% 0.01% -0.27% 51 Simon Property Group, Inc. SPG 14,223 4.4 0.32 0.13 0.29 0.27 1.26% -1.12% 2.40% 6.11% 52 Taubman Centers, Inc. TCO 1,597 3.3 0.30 0.24 0.15 0.31 0.13% 0.15% -0.18% 1.27% 53 Alexander's, Inc. ALX 366 29.3 1.00 0.00 0.00 0.00 0.05% -0.02% -0.01% -0.02% 54 Commercial Net Lease Realty, Inc. NNN 750 1.9 0.20 0.20 0.46 0.14 -0.06% 0.00% 0.90% 0.01% 55 One Liberty Properties, Inc. OLP 86 1.7 0.51 0.02 0.29 0.18 0.07% -0.05% 0.05% 0.03% 56 Realty Income Corporation O 905 1.7 0.21 0.27 0.31 0.22 -0.08% 0.23% 0.54% 0.66% 57 Manufactured Home Communities, Inc. MHC 1,160 5.5 0.00 1.00 0.00 0.00 -0.27% 0.96% -0.24% -0.14% 58 Sun Communities, Inc. SUI 911 2.7 0.00 0.00 0.00 1.00 -0.46% -0.23% -0.91% 3.95% 59 Amli Residential Properties Trust AML 805 2.3 0.00 0.02 0.62 0.36 -0.39% -0.30% 1.12% 0.91% 60 Apartment Investment & Management AIV 5,685 2.5 0.22 0.41 0.24 0.13 -0.21% 2.77% 1.25% 0.62% 61 Archstone-Smith Trust ASN 5,302 2.1 0.26 0.42 0.27 0.05 0.34% 3.10% 2.33% -1.90% 62 Associated Estates Realty Corporation AEC 883 3.7 0.10 0.04 0.13 0.73 -0.18% -0.15% -0.30% 1.92% 63 AvalonBay Communities Inc. AVB 4,155 1.8 0.57 0.37 0.00 0.06 3.81% 2.05% -2.66% -0.77% 64 BRE Properties, Inc. BRE 1,709 2.1 0.00 1.00 0.00 0.00 -1.07% 3.73% -0.94% -0.56% 65 Camden Property Trust CPT 2,488 2.4 0.08 0.38 0.47 0.06 -0.73% 1.06% 2.51% -0.91% 66 Cornerstone Realty Income Trust TCR 869 1.5 0.67 0.00 0.33 0.00 1.28% -0.71% 0.89% -1.03% 67 Equity Residential EQR 11,716 2.1 0.26 0.29 0.29 0.15 0.73% 3.03% 5.32% 2.26% 68 Essex Property Trust, Inc. ESS 1,062 2.7 0.00 1.00 0.00 0.00 -0.50% 1.75% -0.44% -0.26% 69 Gables Residential Trust GBP 1,471 2.9 0.00 0.00 1.00 0.00 -0.48% -0.58% 3.40% -1.37% 70 Home Properties, Inc. HME 1,504 3.0 0.86 0.00 0.00 0.14 1.51% -0.60% -0.60% 0.25% 71 Mid-America Apartment Communities, MAA 1,299 2.8 0.18 0.01 0.80 0.02 -0.06% -0.51% 2.37% -1.02% 72 Post Properties, Inc. PPS 2,350 2.2 0.09 0.05 0.85 0.00 -0.55% -0.91% 5.88% -2.60% 73 Roberts Realty Investors, Inc. RPI 127 5.7 0.00 0.00 1.00 0.00 -0.02% -0.03% 0.15% -0.06% 74 Summit Properties Inc. SMT 1,217 3.7 0.54 0.00 0.38 0.08 0.50% -0.39% 0.60% -0.26% 75 Town and Country Trust, The TCT 481 21.8 0.91 0.00 0.09 0.00 0.07% -0.03% -0.01% -0.03% 76 United Dominion Realty Trust, Inc. UDR 3,688 2.8 0.40 0.17 0.35 0.08 1.11% -0.23% 1.99% -0.88% 77 Colonial Properties Trust E CLP 1,864 3.8 0.09 0.00 0.91 0.00 -0.25% -0.57% 2.95% -1.27% 78 Cousins Properties Incorporated E CUZ 933 2.1 0.18 0.17 0.65 0.00 -0.07% -0.09% 1.75% -0.92% 79 Crescent Real Estate Equities Company E CEI 4,951 2.4 0.06 0.21 0.66 0.07 -1.61% 0.17% 8.01% -2.29% 80 First Union Real Estate Investments E FUR 461 2.7 0.23 0.23 0.31 0.23 -0.01% 0.04% 0.16% 0.24% 81 Forest City Enterprises FCE.A 3,814 9.9 0.49 0.17 0.03 0.30 0.46% -0.03% -0.50% 1.04% 82 Glenborough Realty Trust Incorporated GLB 1,795 2.3 0.28 0.27 0.31 0.14 0.17% 0.34% 0.89% 0.14% 83 Income Opportunity Realty Investors IOT 91 3.8 0.04 0.36 0.52 0.08 -0.02% 0.02% 0.07% -0.02% 84 Lexington Corporate Properties, Inc. LXP 656 3.2 0.37 0.29 0.18 0.16 0.13% 0.11% 0.02% 0.13% 85 One Liberty Properties, Inc. OLP 86 1.7 0.51 0.02 0.29 0.18 0.07% -0.05% 0.05% 0.03% 86 Pennsylvania Real Estate Investment PEI 548 4.1 0.84 0.00 0.13 0.03 0.40% -0.17% -0.01% -0.15% 87 Sizeler Property Investors, Inc. E SIZ 286 4.0 0.00 0.00 1.00 0.00 -0.07% -0.08% 0.47% -0.19% 88 St. Joe Company JOE 1,822 1.9 0.05 0.00 0.95 0.00 -0.65% -1.08% 5.90% -2.46% 89 Transcontinental Realty Investors, Inc TCI 714 4.0 0.13 0.15 0.64 0.08 -0.08% -0.05% 0.67% -0.19% 90 Vornado Realty Trust E VNO 5,479 2.7 0.66 0.17 0.08 0.09 4.23% -0.50% -1.02% -0.41% 91 Washington Real Estate Investment Trust E WRE 608 2.4 1.00 0.97% 92 Capital Automotive REIT E 0.25 0.16 0.44 0.16 0.04% -0.07% 0.62% 0.06% Debt 67.82% 56.22% 55.30% 68.39%

57 Table G-5: Pure-play Portfolio for geographic locations, 2001

2001-Location Fraction of Locations WEIGHT Ticker Asset TA/E REITs East West South Mwest East West South Mwest 1 Alexandria Real Estate Equities, Inc. ARE 781 2.4 0.60 0.39 0.00 0.00 0.52% 0.28% -0.30% -0.33% 2 AmeriVest Properties, Inc. AMV 42 3.7 0.00 0.64 0.21 0.15 -0.01% 0.02% 0.00% 0.01% 3 Arden Realty Group, Inc. ARI 2,706 2.0 0.00 1.00 0.00 0.00 -1.48% 5.25% -1.53% -0.94% 4 Boston Properties, Inc. BXP 6,226 3.6 0.68 0.32 0.00 0.00 3.46% 0.87% -1.68% -1.88% 5 Brandywine Realty Trust BDN 1,825 2.4 0.99 0.00 0.00 0.01 2.58% -0.83% -0.67% -0.90% 6 Brookfield Property Corporation BPO 8,624 4.1 0.40 0.56 0.00 0.04 1.49% 3.53% -2.28% -0.88% 7 CarrAmerica Realty Corporation CRE 3,073 1.9 0.18 0.58 0.19 0.05 -0.41% 3.00% 0.49% -0.92% 8 Corporate Office Properties Trust OFC 795 4.1 0.96 0.00 0.00 0.04 0.63% -0.21% -0.18% -0.15% 9Equity Office Properties Trust EOP 18,794 2.3 0.23 0.58 0.10 0.09 -0.22% 14.69% -3.41% 0.16% 10 Glenborough Realty Trust Incorporated GLB 1,371 2.1 0.28 0.27 0.31 0.14 0.15% 0.21% 0.79% 0.10% 11 Highwoods Properties, Inc. HIW 3,702 2.1 0.44 0.00 0.45 0.12 1.73% -1.90% 4.17% -0.80% 12 HRPT Properties Trust HRP 2,900 1.9 0.92 0.06 0.02 0.00 4.67% -1.20% -1.12% -1.92% 13 Mack-Cali Realty Corporation CLI 3,677 2.5 0.82 0.11 0.06 0.01 3.80% -0.78% -0.63% -1.74% 14 Maxus Realty Trust Inc. MRTI 17 1.7 0.00 0.00 0.35 0.65 -0.01% -0.01% 0.01% 0.07% 15 Parkway Properties, Inc. PKY 655 2.0 0.32 0.00 0.57 0.11 0.14% -0.35% 1.06% -0.21% 16 Prentiss Properties Trust PP 2,118 2.6 0.31 0.27 0.24 0.18 0.25% 0.25% 0.46% 0.69% 17 Prime Group Realty Trust PGE 1,439 4.0 0.00 0.03 0.03 0.94 -0.45% -0.20% -0.88% 3.86% 18 SL Green Realty Corp. SLG 1,161 2.1 1.00 0.00 0.00 0.00 1.94% -0.62% -0.50% -0.71% 19 Bedford Property Investors, Inc. BED 634 2.1 0.00 0.94 0.02 0.04 -0.33% 1.08% -0.31% -0.07% 20 Duke Realty Corporation DRE 5,460 2.0 0.07 0.00 0.26 0.67 -2.22% -2.26% -0.39% 18.62% 21 Kilroy Realty Corporation KRC 1,457 3.3 0.00 1.00 0.00 0.00 -0.48% 1.71% -0.50% -0.31% 22 Liberty Property Trust LRY 3,396 2.6 0.75 0.02 0.12 0.11 3.05% -1.26% -0.25% -0.01% 23 Mission West Properties MSW 827 8.1 0.00 1.00 0.00 0.00 -0.11% 0.40% -0.12% -0.07% 24 PS Business Parks Inc. PSB 931 1.6 0.28 0.57 0.15 0.00 0.12% 0.97% 0.05% -0.63% 25 Reckson Associates Realty Corp. RA 2,998 2.7 0.89 0.09 0.02 0.00 3.27% -0.73% -0.81% -1.38% 26 AMB Property Corp. AMB 4,426 2.5 0.20 0.43 0.23 0.14 -0.32% 1.97% 0.84% 0.86% 27 CenterPoint Properties Trust CNT 1,155 2.2 0.00 0.00 0.00 1.00 -0.66% -0.37% -1.46% 6.10% 28 EastGroup Properties, Inc. EGP 666 1.8 0.06 0.33 0.57 0.04 -0.26% 0.21% 1.25% -0.54% 29 First Industrial Realty Trust, Inc. FR 2,618 2.5 0.27 0.10 0.25 0.39 0.10% -0.48% 0.27% 3.59% 30 Keystone Property Trust KTR 963 5.8 0.84 0.06 0.00 0.10 0.45% -0.13% -0.18% 0.00% 31 Monmouth Real Estate Investment Corp. MNRTA 86 2.1 0.57 0.00 0.05 0.38 0.06% -0.04% -0.05% 0.14% 32 ProLogis Trust PLD 5,946 2.0 0.11 0.52 0.27 0.11 -1.66% 4.42% 2.40% 0.11% 33 Acadia Realty Trust AKR 524 2.9 0.81 0.00 0.09 0.10 0.46% -0.19% -0.06% -0.03% 34 Agree Realty Corporation ADC 166 3.2 0.06 0.01 0.14 0.78 -0.05% -0.04% -0.06% 0.44% 35 Chelsea Property Group, Inc. CPG 901 3.3 0.34 0.42 0.15 0.09 0.12% 0.28% -0.01% -0.01% 36 Developers Diversified Realty DDR 2,332 3.0 0.28 0.20 0.19 0.32 0.14% 0.03% -0.05% 2.09% 37 Equity One, Inc. EQY 239 2.3 0.05 0.07 0.85 0.03 -0.07% -0.08% 0.58% -0.22% 38 Federal Realty Investment Trust FRT 1,621 3.5 0.78 0.11 0.05 0.06 1.14% -0.24% -0.31% -0.23% 39 Kimco Realty Corporation KIM 3,171 1.9 0.36 0.13 0.22 0.29 0.87% -0.55% 0.35% 3.81% 40 Kramont Realty Trust KRT 764 3.4 0.84 0.00 0.14 0.02 0.61% -0.25% 0.03% -0.27% 41 Malan Realty Investors, Inc. MAL 244 6.2 0.01 0.02 0.00 0.97 -0.05% -0.02% -0.10% 0.43% 42 New Plan Excel Realty Trust, Inc. NXL 2,894 1.9 0.40 0.11 0.28 0.21 1.14% -0.73% 1.33% 1.64% 43 Pan Pacific Retail Properties, Inc. PNP 1,298 2.1 0.01 0.99 0.00 0.00 -0.64% 2.32% -0.66% -0.43% 44 Ramco-Gershenson Properties Trust RPT 560 4.0 0.14 0.00 0.24 0.62 -0.07% -0.12% -0.03% 0.86% 45 Regency Centers Corporation REG 3,035 2.5 0.08 0.39 0.44 0.09 -0.80% 1.05% 2.74% -0.66% 46 Saul Centers, Inc. BFS 334 - 10.7 0.91 0.00 0.09 0.00 -0.09% 0.03% 0.01% 0.04% 47 Tanger Factory Outlet Centers, Inc. SKT 487 5.4 0.39 0.05 0.42 0.14 0.07% -0.07% 0.19% 0.00% 48 Weingarten Realty Investors WRI 1,518 2.4 0.00 0.30 0.67 0.03 -0.60% 0.23% 2.58% -1.04% 49 CBL & Associates Properties, Inc. CBL 2,116 4.9 0.38 0.02 0.37 0.24 0.28% -0.40% 0.64% 0.53% 50 General Growth Properties, Inc. GGP 5,284 4.1 0.17 0.38 0.23 0.22 -0.39% 1.12% 0.52% 1.73% 51 Glimcher Realty Trust GRT 1,590 3.7 0.36 0.14 0.15 0.35 0.22% -0.12% -0.17% 1.31% 52 Macerich Company, The MAC 2,337 3.8 0.10 0.62 0.10 0.18 -0.40% 1.26% -0.39% 0.76% 53 Mills Corporation, The MLS 1,126 23.5 0.32 0.27 0.27 0.14 0.02% 0.01% 0.04% 0.01% 54 Rouse Company, The RSE 4,176 6.6 0.57 0.20 0.15 0.08 0.95% -0.03% 0.04% -0.24% 55 Simon Property Group, Inc. SPG 13,938 4.5 0.32 0.13 0.29 0.27 1.09% -1.11% 2.37% 5.62% 56 Taubman Centers, Inc. TCO 1,908 3.9 0.30 0.24 0.15 0.31 0.13% 0.10% -0.18% 1.27% 57 Alexander's, Inc. ALX 403 22.8 1.00 0.00 0.00 0.00 0.06% -0.02% -0.02% -0.02% 58 Commercial Net Lease Realty, Inc. NNN 762 1.9 0.20 0.20 0.46 0.14 -0.05% -0.03% 0.93% 0.00% 59 Realty Income Corporation O 935 1.8 0.21 0.27 0.31 0.22 -0.07% 0.16% 0.54% 0.61% 60 Manufactured Home Communities, Inc. MHC 1,104 6.6 0.00 1.00 0.00 0.00 -0.18% 0.65% -0.19% -0.12% 61 Sun Communities, Inc. SUI 967 2.9 0.00 0.00 0.00 1.00 -0.42% -0.23% -0.92% 3.85% 62 Amli Residential Properties Trust AML 866 2.2 0.00 0.02 0.62 0.36 -0.41% -0.35% 1.27% 0.98% 63 Apartment Investment & Management AIV 7,700 3.1 0.22 0.41 0.24 0.13 -0.14% 2.51% 1.47% 0.63% 64 Archstone-Smith Trust ASN 5,020 2.2 0.26 0.42 0.27 0.05 0.34% 2.23% 2.14% -1.68% 65 Associated Estates Realty Corporation AEC 820 4.2 0.10 0.04 0.13 0.73 -0.14% -0.12% -0.25% 1.56% 66 AvalonBay Communities Inc. AVB 4,397 1.8 0.57 0.37 0.00 0.06 3.65% 1.82% -2.64% -0.70% 67 BRE Properties, Inc. BRE 1,718 2.1 0.00 1.00 0.00 0.00 -0.88% 3.10% -0.90% -0.55% 68 Camden Property Trust CPT 2,431 2.5 0.08 0.38 0.47 0.06 -0.61% 0.79% 2.45% -0.91% 69 Cornerstone Realty Income Trust TCR 800 1.5 0.67 0.00 0.33 0.00 1.06% -0.58% 0.85% -0.91% 70 Equity Residential EQR 12,264 2.2 0.26 0.29 0.29 0.15 0.78% 2.33% 5.66% 2.17% 71 Essex Property Trust, Inc. ESS 1,282 3.3 0.00 1.00 0.00 0.00 -0.43% 1.52% -0.44% -0.27% 72 Gables Residential Trust GBP 1,453 3.0 0.00 0.00 1.00 0.00 -0.42% -0.55% 3.27% -1.32% 73 Home Properties, Inc. HME 1,872 3.0 0.86 0.00 0.00 0.14 1.71% -0.64% -0.71% 0.35% 74 Mid-America Apartment Communities, MAA 1,304 3.0 0.18 0.01 0.80 0.02 -0.05% -0.47% 2.26% -0.97% 75 Post Properties, Inc. PPS 2,551 2.5 0.09 0.05 0.85 0.00 -0.49% -0.89% 5.81% -2.57% 76 Roberts Realty Investors, Inc. RPI 132 6.1 0.00 0.00 1.00 0.00 -0.02% -0.02% 0.15% -0.06% 77 Summit Properties Inc. SMT 1,340 4.0 0.54 0.00 0.38 0.08 0.47% -0.36% 0.65% -0.27% 78 Town and Country Trust, The TCT 499 24.9 0.91 0.00 0.09 0.00 0.06% -0.02% 0.00% -0.03% 79 United Dominion Realty Trust, Inc. UDR 3,454 2.8 0.40 0.17 0.35 0.08 0.95% -0.26% 1.93% -0.82% 80 BNP Residential Properties, Inc. BNP 231 5.2 1.00 0.00 0.00 0.00 0.15% -0.05% -0.04% -0.06% 81 Catellus Development Corp. CDX 2,276 3.3 0.02 0.73 0.10 0.15 -0.68% 1.77% -0.38% 0.59% 82 Colonial Properties Trust E CLP 1,944 4.3 0.09 0.00 0.91 0.00 -0.22% -0.51% 2.75% -1.18% 83 Cousins Properties Incorporated E CUZ 1,116 2.5 0.18 0.17 0.65 0.00 -0.06% -0.13% 1.85% -0.97% 84 Crescent Real Estate Equities Company E CEI 4,532 2.6 0.06 0.21 0.66 0.07 -1.22% -0.07% 6.85% -2.01% 85 First Union Real Estate Investments E FUR 463 3.8 0.23 0.23 0.31 0.23 0.00% 0.02% 0.12% 0.16% 86 Forest City Enterprises FCE.A 4,030 8.8 0.49 0.17 0.03 0.30 0.50% -0.05% -0.58% 1.22% 87 Income Opportunity Realty Investors IOT 97 2.4 0.04 0.36 0.52 0.08 -0.03% 0.03% 0.11% -0.03% 88 Lexington Corporate Properties, Inc. LXP 668 3.3 0.37 0.29 0.18 0.16 0.12% 0.08% 0.02% 0.13% 89 One Liberty Properties, Inc. OLP 128 2.4 0.51 0.02 0.29 0.18 0.07% -0.05% 0.05% 0.03% 90 Pennsylvania Real Estate Investment PEI 577 4.0 0.84 0.00 0.13 0.03 0.40% -0.16% 0.00% -0.15% 91 Sizeler Property Investors, Inc. E SIZ 285 4.3 0.00 0.00 1.00 0.00 -0.06% -0.08% 0.45% -0.18% 92 St. Joe Company JOE 1,115 2.0 0.05 0.00 0.95 0.00 -0.37% -0.64% 3.62% -1.51% 93 Vornado Realty Trust E VNO 6,370 3.1 0.66 0.17 0.08 0.09 3.92% -0.46% -0.92% -0.33% 94 Washington Real Estate Investment Trust E WRE 632 2.4 1.00 0.00 0.00 0.00 0.89% -0.28% -0.23% -0.33% 95 Capital Automotive REIT E CARS 1,022 3.5 0.25 0.16 0.44 0.16 0.03% -0.08% 0.62% 0.05% Debt 67.90% 60.09% 58.48% 68.27%

58 Table G-6: Pure-play Portfolio for geographic locations, 2002

2002-Location Fraction of Locations WEIGHT Ticker Asset TA/E REITs East West South Mwest East West South Mwest 1 Alexandria Real Estate Equities, Inc. ARE 962 2.9 0.55 0.45 0.00 0.00 0.42% 0.33% -0.30% -0.29% 2 AmeriVest Properties, Inc. AMV 88 3.5 0.00 0.58 0.34 0.08 -0.03% 0.04% 0.04% -0.01% 3 Arden Realty Group, Inc. ARI 2,761 2.1 0.00 1.00 0.00 0.00 -1.47% 4.85% -1.41% -0.96% 4 Boston Properties, Inc. BXP 7,254 3.9 0.67 0.33 0.00 0.00 3.30% 0.82% -1.70% -1.67% 5 Brandywine Realty Trust BDN 1,960 2.8 1.00 0.00 0.00 0.00 2.25% -0.78% -0.60% -0.70% 6 Brookfield Property Corporation BPO 8,076 3.7 0.43 0.54 0.00 0.04 1.58% 3.17% -2.28% -0.78% 7 CarrAmerica Realty Corporation CRE 2,776 2.4 0.22 0.58 0.14 0.06 -0.15% 1.98% -0.01% -0.43% 8 Corporate Office Properties Trust OFC 984 3.7 1.00 0.00 0.00 0.00 0.84% -0.29% -0.23% -0.26% 9Equity Office Properties Trust EOP 25,808 2.3 0.25 0.55 0.10 0.09 0.22% 17.61% -4.04% 1.09% 10 Glenborough Realty Trust Incorporated GLB 1,388 2.1 0.43 0.33 0.07 0.17 0.49% 0.35% -0.46% 0.69% 11 Highwoods Properties, Inc. HIW 3,648 2.3 0.51 0.00 0.39 0.10 1.93% -1.68% 3.16% -0.85% 12 HRPT Properties Trust HRP 2,805 1.7 0.92 0.08 0.00 0.00 4.70% -1.23% -1.39% -1.62% 13 Mack-Cali Realty Corporation CLI 3,747 2.6 0.90 0.08 0.02 0.00 3.94% -1.02% -1.03% -1.44% 14 Maxus Realty Trust Inc. MRTI 38 3.1 0.00 0.00 0.43 0.57 -0.01% -0.01% 0.02% 0.07% 15 Parkway Properties, Inc. PKY 841 2.2 0.28 0.06 0.56 0.10 0.09% -0.27% 1.21% -0.28% 16 Prentiss Properties Trust PP 2,031 2.5 0.32 0.25 0.27 0.15 0.31% 0.14% 0.70% 0.40% 17 Prime Group Realty Trust PGE 1,522 4.7 0.00 0.05 0.00 0.95 -0.32% -0.16% -0.91% 3.57% 18 SL Green Realty Corp. SLG 1,372 1.9 1.00 0.00 0.00 0.00 2.30% -0.80% -0.62% -0.72% 19 Bedford Property Investors, Inc. BED 636 2.3 0.00 1.00 0.00 0.00 -0.31% 1.02% -0.30% -0.20% 20 Duke Realty Corporation DRE 5,330 1.9 0.10 0.00 0.25 0.65 -1.51% -2.34% -0.67% 18.70% 21 Kilroy Realty Corporation KRC 1,457 3.3 0.00 1.00 0.00 0.00 -0.49% 1.60% -0.46% -0.32% 22 Liberty Property Trust LRY 3,553 2.5 0.73 0.02 0.13 0.12 2.93% -1.35% -0.17% 0.46% 23 Mission West Properties MSW 910 8.4 0.00 1.00 0.00 0.00 -0.12% 0.39% -0.11% -0.08% 24 PS Business Parks Inc. PSB 1,170 2.0 0.29 0.59 0.12 0.00 0.11% 1.01% -0.03% -0.64% 25 Reckson Associates Realty Corp. RA 2,994 2.9 0.98 0.00 0.02 0.00 3.26% -1.15% -0.76% -1.07% 26 AMB Property Corp. AMB 4,761 2.7 0.20 0.46 0.20 0.14 -0.28% 1.96% 0.52% 0.94% 27 CenterPoint Properties Trust CNT 1,183 2.3 0.00 0.00 0.00 1.00 -0.51% -0.37% -1.51% 6.00% 28 EastGroup Properties, Inc. EGP 684 1.8 0.00 0.42 0.57 0.01 -0.36% 0.33% 1.27% -0.67% 29 First Industrial Realty Trust, Inc. FR 2,621 2.6 0.20 0.14 0.28 0.38 -0.14% -0.28% 0.47% 3.36% 30 Keystone Property Trust KTR 828 3.1 0.85 0.00 0.00 0.15 0.67% -0.27% -0.31% 0.25% 31 Monmouth Real Estate Investment Corp. MNRTA 119 2.4 0.50 0.08 0.07 0.36 0.05% -0.03% -0.06% 0.17% 32 ProLogis Trust PLD 5,604 2.1 0.10 0.53 0.26 0.10 -1.54% 3.88% 2.27% -0.09% 33 Acadia Realty Trust AKR 494 2.8 0.79 0.00 0.00 0.21 0.42% -0.18% -0.23% 0.29% 34 Agree Realty Corporation ADC 168 3.2 0.06 0.01 0.10 0.83 -0.04% -0.04% -0.09% 0.48% 35 Chelsea Property Group, Inc. CPG 1,099 3.1 0.31 0.38 0.14 0.17 0.10% 0.27% -0.06% 0.33% 36 Developers Diversified Realty DDR 2,497 3.0 0.24 0.20 0.21 0.34 0.02% -0.01% 0.03% 2.52% 37 Equity One, Inc. EQY 669 2.4 0.00 0.03 0.97 0.00 -0.24% -0.25% 1.84% -0.80% 38 Federal Realty Investment Trust FRT 1,838 3.1 0.83 0.11 0.01 0.06 1.44% -0.33% -0.54% -0.16% 39 Kimco Realty Corporation KIM 3,385 1.8 0.32 0.23 0.21 0.24 0.63% 0.17% 0.47% 3.20% 40 Kramont Realty Trust KRT 769 3.5 0.83 0.00 0.16 0.02 0.54% -0.24% 0.07% -0.24% 41 Malan Realty Investors, Inc. MAL 225 11.3 0.00 0.00 0.00 1.00 -0.02% -0.01% -0.06% 0.23% 42 New Plan Excel Realty Trust, Inc. NXL 2,623 1.8 0.30 0.13 0.40 0.17 0.45% -0.63% 2.81% 0.65% 43 Pan Pacific Retail Properties, Inc. PNP 1,340 2.2 0.01 0.99 0.00 0.00 -0.66% 2.22% -0.63% -0.45% 44 Ramco-Gershenson Properties Trust RPT 553 4.1 0.11 0.00 0.27 0.62 -0.06% -0.11% -0.01% 0.84% 45 Regency Centers Corporation REG 3,109 2.6 0.09 0.37 0.44 0.09 -0.73% 0.89% 2.78% -0.67% 46 Tanger Factory Outlet Centers, Inc. SKT 476 6.2 0.34 0.03 0.43 0.20 0.04% -0.07% 0.16% 0.05% 47 Weingarten Realty Investors WRI 2,096 2.3 0.04 0.30 0.63 0.03 -0.71% 0.33% 3.59% -1.62% 48 CBL & Associates Properties, Inc. CBL 3,373 6.5 0.35 0.02 0.39 0.23 0.28% -0.47% 0.89% 0.63% 49 General Growth Properties, Inc. GGP 5,647 3.7 0.14 0.44 0.23 0.18 -0.64% 1.64% 0.70% 1.53% 50 Glimcher Realty Trust GRT 1,759 4.4 0.30 0.17 0.18 0.35 0.10% -0.06% -0.10% 1.26% 51 Macerich Company, The MAC 2,295 3.8 0.07 0.71 0.08 0.14 -0.44% 1.37% -0.39% 0.47% 52 Mills Corporation, The MLS 1,329 7.7 0.31 0.27 0.27 0.16 0.05% 0.04% 0.14% 0.09% 53 Rouse Company, The RSE 4,880 7.4 0.47 0.17 0.21 0.15 0.65% -0.15% 0.26% 0.38% 54 Simon Property Group, Inc. SPG 13,811 4.3 0.30 0.12 0.32 0.26 0.91% -1.34% 3.48% 5.41% 55 Taubman Centers, Inc. TCO 2,141 5.0 0.34 0.20 0.24 0.21 0.19% -0.02% 0.23% 0.55% 56 Alexander's, Inc. ALX 583 12.9 1.00 0.00 0.00 0.00 0.14% -0.05% -0.04% -0.04% 57 Commercial Net Lease Realty, Inc. NNN 1,007 1.8 0.18 0.21 0.49 0.12 -0.10% -0.03% 1.47% -0.17% 58 Realty Income Corporation O 1,004 1.5 0.21 0.24 0.34 0.21 -0.07% 0.09% 0.87% 0.71% 59 Manufactured Home Communities, Inc. MHC 1,100 6.3 0.00 1.00 0.00 0.00 -0.19% 0.64% -0.18% -0.13% 60 Sun Communities, Inc. SUI 994 3.0 0.00 0.00 0.00 1.00 -0.33% -0.24% -0.97% 3.85% 61 Amli Residential Properties Trust AML 919 2.2 0.00 0.05 0.54 0.41 -0.39% -0.29% 1.05% 1.33% 62 Apartment Investment & Management AIV 8,323 3.1 0.24 0.45 0.16 0.15 -0.02% 2.99% -0.04% 1.82% 63 Archstone-Smith Trust ASN 8,550 2.2 0.33 0.46 0.16 0.06 1.30% 4.14% 0.54% -1.59% 64 Associated Estates Realty Corporation AEC 775 4.5 0.10 0.01 0.16 0.74 -0.10% -0.13% -0.20% 1.38% 65 AvalonBay Communities Inc. AVB 4,664 2.0 0.60 0.37 0.00 0.02 3.43% 1.54% -2.27% -1.34% 66 BRE Properties, Inc. BRE 1,876 2.4 0.00 1.00 0.00 0.00 -0.87% 2.85% -0.83% -0.56% 67 Camden Property Trust CPT 2,450 2.7 0.08 0.40 0.46 0.05 -0.57% 0.78% 2.30% -1.02% 68 Cornerstone Realty Income Trust TCR 981 2.9 0.67 0.00 0.33 0.00 0.62% -0.36% 0.56% -0.54% 69 Equity Residential EQR 12,236 2.3 0.27 0.31 0.27 0.15 0.80% 2.32% 4.74% 2.33% 70 Essex Property Trust, Inc. ESS 1,329 3.4 0.00 0.99 0.01 0.00 -0.43% 1.39% -0.38% -0.28% 71 Gables Residential Trust GBP 1,589 3.1 0.00 0.00 1.00 0.00 -0.42% -0.54% 3.46% -1.48% 72 Home Properties, Inc. HME 2,064 3.1 0.87 0.00 0.00 0.13 1.76% -0.70% -0.75% 0.44% 73 Mid-America Apartment Communities, MAA 1,263 3.2 0.20 0.00 0.79 0.01 -0.02% -0.42% 2.08% -0.96% 74 Post Properties, Inc. PPS 2,538 2.8 0.17 0.03 0.80 0.00 -0.15% -0.85% 4.81% -2.29% 75 Roberts Realty Investors, Inc. RPI 166 6.5 0.00 0.00 1.00 0.00 -0.02% -0.03% 0.17% -0.07% 76 Summit Properties Inc. SMT 1,296 3.7 0.63 0.00 0.37 0.00 0.60% -0.38% 0.69% -0.59% 77 United Dominion Realty Trust, Inc. UDR 3,348 3.2 0.38 0.22 0.30 0.09 0.66% 0.01% 1.28% -0.36% 78 BNP Residential Properties, Inc. BNP 225 5.4 1.00 0.00 0.00 0.00 0.13% -0.05% -0.04% -0.04% 79 Colonial Properties Trust E CLP 2,015 4.0 0.09 0.00 0.91 0.00 -0.25% -0.54% 3.13% -1.40% 80 Cousins Properties Incorporated E CUZ 1,212 2.6 0.20 0.12 0.68 0.00 -0.04% -0.23% 2.03% -1.06% 81 Crescent Real Estate Equities Company E CEI 4,142 2.9 0.04 0.22 0.68 0.05 -1.04% 0.01% 5.97% -2.22% 82 First Union Real Estate Investments E FUR 186 1.5 0.00 0.00 0.00 1.00 -0.12% -0.09% -0.36% 1.43% 83 Income Opportunity Realty Investors IOT 92 2.6 0.12 0.00 0.88 0.00 -0.01% -0.04% 0.21% -0.10% 84 Lexington Corporate Properties, Inc. LXP 822 2.8 0.42 0.22 0.16 0.19 0.23% 0.01% -0.01% 0.35% 85 One Liberty Properties, Inc. OLP 133 2.4 0.45 0.03 0.41 0.11 0.05% -0.05% 0.11% -0.02% 86 Pennsylvania Real Estate Investment PEI 603 3.3 0.99 0.00 0.01 0.00 0.57% -0.20% -0.14% -0.18% 87 Sizeler Property Investors, Inc. E SIZ 278 2.9 0.00 0.00 1.00 0.00 -0.08% -0.10% 0.65% -0.28% 88 Vornado Realty Trust E VNO 6,777 2.6 0.67 0.16 0.08 0.09 4.61% -0.81% -1.18% 0.19% 89 Washington Real Estate Investment Trust E WRE 708 2.2 1.00 0.00 0.00 0.00 1.03% -0.36% -0.28% -0.32% 90 Capital Automotive REIT E CARS 1,200 3.3 0.20 0.19 0.45 0.16 -0.04% -0.05% 0.83% 0.07% Debt 64.89% 59.30% 65.06% 65.53%

59 Table G-7: Pure-play Portfolio for geographic locations, 2003

2003 - location Fraction of Locations WEIGHT Ticker Asset TA/E REITs East West South Mwest East West South Mwest 1 Alexandria Real Estate Equities, Inc. ARE 1,159 2.4 0.56 0.44 0.00 0.00 0.61% 0.44% -0.47% -0.44% 2 AmeriVest Properties, Inc. AMV 157 3.6 0.00 0.63 0.32 0.05 -0.05% 0.08% 0.06% -0.03% 3 Arden Realty Group, Inc. ARI 2,832 2.3 0.00 1.00 0.00 0.00 -1.33% 4.25% -1.24% -0.77% 4 Boston Properties, Inc. BXP 8,427 3.9 0.67 0.33 0.00 0.00 3.78% 0.86% -2.15% -2.09% 5 Brandywine Realty Trust BDN 1,919 2.8 1.00 0.00 0.00 0.00 2.15% -0.73% -0.68% -0.78% 6 Brookfield Property Corporation BPO 8,329 3.6 0.44 0.52 0.00 0.04 1.85% 2.95% -2.45% -0.93% 7 CarrAmerica Realty Corporation CRE 2,816 2.8 0.23 0.59 0.13 0.05 -0.10% 1.59% -0.09% -0.34% 8 Corporate Office Properties Trust OFC 1,126 3.9 1.00 0.00 0.00 0.00 0.90% -0.31% -0.29% -0.33% 9Equity Office Properties Trust EOP 25,247 2.3 0.26 0.55 0.10 0.09 0.41% 15.76% -3.92% 1.13% 10 Glenborough Realty Trust Incorporated GLB 1,434 2.3 0.48 0.31 0.06 0.15 0.59% 0.24% -0.46% 0.49% 11 Highwoods Properties, Inc. HIW 3,395 2.2 0.53 0.00 0.37 0.09 1.86% -1.55% 2.61% -0.76% 12 HRPT Properties Trust HRP 3,206 1.7 0.82 0.10 0.06 0.01 4.59% -1.14% -1.02% -2.00% 13 Koger Equity, Inc. KE 805 2.3 0.14 0.00 0.86 0.00 -0.14% -0.35% 1.87% -0.77% 14 Mack-Cali Realty Corporation CLI 3,796 2.6 0.90 0.08 0.02 0.00 3.96% -1.05% -1.24% -1.63% 15 Maxus Realty Trust Inc. MRTI 37 3.3 0.00 0.00 0.42 0.58 -0.01% -0.01% 0.02% 0.06% 16 Parkway Properties, Inc. PKY 764 2.0 0.28 0.05 0.58 0.08 0.06% -0.29% 1.22% -0.31% 17 Prentiss Properties Trust PP 2,122 2.5 0.31 0.26 0.30 0.14 0.19% 0.16% 0.87% 0.24% 18 Prime Group Realty Trust PGE 1,409 5.7 0.00 0.05 0.00 0.95 -0.28% -0.11% -0.58% 2.60% 19 SL Green Realty Corp. SLG 1,473 2.0 1.00 0.00 0.00 0.00 2.31% -0.79% -0.73% -0.84% 20 Trizec Properties, Inc. TRZ 5,579 3.0 0.50 0.09 0.32 0.09 1.94% -1.11% 2.33% -0.62% 21 Bedford Property Investors, Inc. BED 694 2.5 0.00 1.00 0.00 0.00 -0.29% 0.94% -0.28% -0.17% 22 Duke Realty Corporation DRE 5,349 2.0 0.10 0.00 0.26 0.63 -1.74% -1.99% 0.22% 16.46% 23 Kilroy Realty Corporation KRC 1,507 3.4 0.00 1.00 0.00 0.00 -0.47% 1.50% -0.44% -0.27% 24 Liberty Property Trust LRY 3,627 2.7 0.72 0.02 0.13 0.13 2.66% -1.23% -0.29% 0.37% 25 Mission West Properties MSW 929 8.4 0.00 1.00 0.00 0.00 -0.12% 0.38% -0.11% -0.07% 26 PS Business Parks Inc. PSB 1,157 1.7 0.28 0.55 0.17 0.00 0.09% 0.92% 0.19% -0.71% 27 Reckson Associates Realty Corp. RA 2,908 3.1 0.99 0.00 0.01 0.00 2.89% -1.00% -0.83% -1.09% 28 AMB Property Corp. AMB 4,992 3.0 0.20 0.47 0.19 0.14 -0.35% 1.90% 0.35% 0.90% 29 CenterPoint Properties Trust CNT 1,306 2.5 0.00 0.00 0.00 1.00 -0.60% -0.32% -1.27% 5.86% 30 EastGroup Properties, Inc. EGP 702 2.0 0.00 0.40 0.59 0.01 -0.36% 0.27% 1.21% -0.54% 31 First Industrial Realty Trust, Inc. FR 2,630 3.0 0.21 0.15 0.27 0.37 -0.17% -0.20% 0.43% 2.81% 32 Keystone Property Trust KTR 672 2.8 0.78 0.00 0.07 0.15 0.53% -0.24% -0.16% 0.14% 33 Monmouth Real Estate Investment Corp. MNRTA 149 2.5 0.44 0.07 0.10 0.39 0.05% -0.03% -0.05% 0.21% 34 ProLogis Trust PLD 5,924 2.1 0.11 0.53 0.26 0.11 -1.74% 3.92% 2.28% 0.29% 35 Acadia Realty Trust AKR 411 2.5 0.84 0.00 0.00 0.16 0.39% -0.16% -0.20% 0.13% 36 Chelsea Property Group, Inc. CPG 1,703 3.7 0.32 0.37 0.15 0.15 0.13% 0.31% -0.04% 0.33% 37 Developers Diversified Realty DDR 2,777 2.9 0.39 0.15 0.24 0.23 0.54% -0.27% 0.43% 1.32% 38 Equity One, Inc. EQY 730 2.1 0.11 0.01 0.87 0.00 -0.18% -0.33% 1.94% -0.79% 39 Federal Realty Investment Trust FRT 1,999 3.1 0.80 0.14 0.01 0.05 1.48% -0.27% -0.64% -0.33% 40 Heritage Property Investment Trust HTG 2,060 2.3 0.36 0.00 0.12 0.52 0.38% -0.72% -0.74% 4.43% 41 Kimco Realty Corporation KIM 3,757 2.0 0.36 0.23 0.19 0.21 0.87% 0.16% 0.27% 2.53% 42 Kramont Realty Trust KRT 779 3.1 0.85 0.00 0.13 0.01 0.64% -0.27% -0.01% -0.29% 43 Malan Realty Investors, Inc. MAL 208 7.9 0.00 0.00 0.00 1.00 -0.03% -0.02% -0.06% 0.29% 44 New Plan Excel Realty Trust, Inc. NXL 3,515 2.2 0.31 0.12 0.40 0.17 0.41% -0.67% 2.77% 0.72% 45 Pan Pacific Retail Properties, Inc. PNP 1,424 2.2 0.01 0.99 0.00 0.00 -0.67% 2.18% -0.63% -0.41% 46 Ramco-Gershenson Properties Trust RPT 698 3.5 0.11 0.00 0.24 0.65 -0.12% -0.15% -0.02% 1.30% 47 Regency Centers Corporation REG 3,062 2.5 0.12 0.38 0.42 0.08 -0.66% 0.84% 2.47% -0.55% 48 Tanger Factory Outlet Centers, Inc. SKT 478 5.3 0.45 0.08 0.32 0.15 0.08% -0.05% 0.11% 0.03% 49 Urstadt Biddle Properties Inc. UBA 393 1.8 0.89 0.03 0.02 0.07 0.58% -0.20% -0.21% -0.07% 50 Weingarten Realty Investors WRI 2,424 2.6 0.05 0.28 0.64 0.03 -0.76% 0.24% 3.51% -1.37% 51 CBL & Associates Properties, Inc. CBL 3,795 5.1 0.40 0.02 0.37 0.21 0.47% -0.64% 1.07% 0.76% 52 General Growth Properties, Inc. GGP 7,281 4.7 0.16 0.42 0.25 0.17 -0.58% 1.38% 0.91% 1.36% 53 Glimcher Realty Trust GRT 1,632 3.8 0.30 0.16 0.20 0.35 0.07% -0.09% 0.01% 1.25% 54 Macerich Company, The MAC 3,662 3.5 0.07 0.70 0.10 0.13 -0.80% 2.22% -0.44% 0.69% 55 Mills Corporation, The MLS 2,155 3.5 0.28 0.30 0.33 0.10 0.07% 0.20% 0.82% -0.12% 56 Rouse Company, The RSE 6,386 5.7 0.51 0.15 0.21 0.13 1.19% -0.35% 0.40% 0.35% 57 Simon Property Group, Inc. SPG 14,905 4.3 0.33 0.16 0.29 0.22 1.10% -0.80% 2.99% 4.47% 58 Taubman Centers, Inc. TCO 2,270 6.1 0.35 0.20 0.24 0.20 0.16% -0.02% 0.21% 0.41% 59 Agree Realty Corporation ADC 178 3.4 0.08 0.01 0.10 0.81 -0.04% -0.03% -0.07% 0.46% 60 Alexander's, Inc. ALX 665 9.7 1.00 0.00 0.00 0.00 0.21% -0.07% -0.07% -0.08% 61 AmREIT Inc. AMY 74 1.9 0.00 0.05 0.88 0.07 -0.04% -0.03% 0.21% -0.05% 62 Commercial Net Lease Realty, Inc. NNN 954 1.7 0.29 0.18 0.43 0.10 0.10% -0.11% 1.15% -0.19% 63 Realty Income Corporation O 1,080 1.5 0.21 0.24 0.34 0.20 -0.11% 0.08% 0.94% 0.76% 64 Manufactured Home Communities, Inc. MHC 1,163 6.5 0.00 1.00 0.00 0.00 -0.19% 0.60% -0.18% -0.11% 65 Sun Communities, Inc. SUI 1,164 3.6 0.00 0.00 0.00 1.00 -0.36% -0.20% -0.77% 3.55% 66 Amli Residential Properties Trust AML 921 2.3 0.00 0.05 0.58 0.38 -0.42% -0.26% 1.11% 1.09% 67 Apartment Investment & Management AIV 10,317 3.3 0.25 0.45 0.16 0.14 -0.07% 3.24% 0.10% 1.80% 68 Archstone-Smith Trust ASN 8,855 2.3 0.37 0.44 0.14 0.05 1.83% 3.58% -0.10% -1.60% 69 Associated Estates Realty Corporation AEC 735 4.9 0.10 0.01 0.14 0.74 -0.10% -0.10% -0.15% 1.18% 70 AvalonBay Communities Inc. AVB 4,951 2.3 0.59 0.39 0.00 0.02 3.06% 1.51% -2.25% -1.44% 71 BNP Residential Properties, Inc. BNP 272 6.9 1.00 0.00 0.00 0.00 0.12% -0.04% -0.04% -0.04% 72 BRE Properties, Inc. BRE 2,109 2.5 0.00 1.00 0.00 0.00 -0.91% 2.90% -0.85% -0.52% 73 Camden Property Trust CPT 2,610 3.1 0.09 0.40 0.46 0.05 -0.56% 0.67% 1.98% -0.75% 74 Cornerstone Realty Income Trust TCR 1,015 3.5 0.64 0.00 0.36 0.00 0.48% -0.30% 0.48% -0.46% 75 Equity Residential EQR 11,811 2.3 0.25 0.37 0.27 0.12 -0.06% 3.36% 4.31% 0.82% 76 Essex Property Trust, Inc. ESS 1,620 3.3 0.00 0.99 0.01 0.00 -0.52% 1.66% -0.46% -0.31% 77 Gables Residential Trust GBP 1,584 3.7 0.02 0.00 0.98 0.00 -0.39% -0.42% 2.70% -1.01% 78 Home Properties, Inc. HME 2,456 3.4 0.88 0.00 0.00 0.12 1.89% -0.73% -0.85% 0.27% 79 Mid-America Apartment Communities, MAA 1,239 3.7 0.18 0.00 0.81 0.01 -0.08% -0.34% 1.71% -0.70% 80 Post Properties, Inc. PPS 2,508 3.0 0.17 0.02 0.80 0.00 -0.23% -0.76% 4.19% -1.80% 81 Roberts Realty Investors, Inc. RPI 179 8.0 0.00 0.00 1.00 0.00 -0.02% -0.02% 0.15% -0.05% 82 Summit Properties Inc. SMT 1,337 3.4 0.65 0.00 0.35 0.00 0.66% -0.41% 0.65% -0.63% 83 United Dominion Realty Trust, Inc. UDR 3,276 3.3 0.37 0.24 0.32 0.07 0.50% 0.05% 1.31% -0.54% 84 Colonial Properties Trust E CLP 2,130 4.0 0.10 0.00 0.90 0.00 -0.31% -0.54% 3.08% -1.23% 85 Cousins Properties Incorporated E CUZ 1,248 3.1 0.21 0.12 0.68 0.00 -0.06% -0.20% 1.66% -0.79% 86 Crescent Real Estate Equities Company E CEI 4,288 3.2 0.04 0.25 0.66 0.06 -1.15% 0.14% 5.21% -1.57% 87 First Union Real Estate Investments E FUR 172 1.6 0.00 0.00 0.00 1.00 -0.12% -0.07% -0.26% 1.20% 88 Forest City Enterprises FCE.A 5,077 7.2 0.53 0.19 0.04 0.24 0.79% -0.07% -0.74% 1.34% 89 Lexington Corporate Properties, Inc. LXP 902 2.7 0.39 0.20 0.22 0.20 0.19% -0.03% 0.11% 0.37% 90 One Liberty Properties, Inc. OLP 180 2.0 0.38 0.09 0.44 0.09 0.05% -0.05% 0.19% -0.05% 91 Pennsylvania Real Estate Investment PEI 704 3.7 0.95 0.00 0.04 0.01 0.55% -0.20% -0.14% -0.19% 92 Sizeler Property Investors, Inc. E SIZ 288 2.8 0.00 0.00 1.00 0.00 -0.10% -0.10% 0.67% -0.25% 93 Vornado Realty Trust E VNO 9,018 3.4 0.73 0.13 0.07 0.07 -0.63% 0.21% 0.20% 0.23% 94 Washington Real Estate Investment Trust E WRE 756 2.3 1.00 0.00 0.00 0.00 0.21% -0.68% 0.20% 0.12% 95 Capital Automotive REIT E CARS 1,542 4.1 0.21 0.19 0.45 0.14 0.20% 0.20% -1.30% 0.48% 96 Entertainment Properties Trust E EPR 730 2.1 0.04 0.49 0.47 0.00 0.23% 0.12% 0.48% -2.22% Debt 66.98% 61.22% 65.61% 70.43%