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Monthly Index Chart Book

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Monthly Index Chart Book May 2013 ` Comment & The Chart of the Month May 2013 Introduction Graph 6: 20 Month Bollinger Bands - Global 3,500 This Index Chart Book is intended to run in parallel with the EPRA Bollinger Bands Moving Average Statistical Bulletin and Monthly Review . While the bulletin focuses on 3,000 Index Value performance, this index chart book will use the same data in an effort to identify historical trends and indicators on the index series. 2,500 2,000 Example 1,500 This month's highlighted graph is Graph 6, the Bollinger Bands for the FTSE EPRA/NAREIT Global Developed index, as shown on the right. 1,000 When we look at the Bollinger Bands, as a measure of market volatility, the picture is quite clear: during the 2003-2006 run, the index 500 continuously traded along the upper band, pushing it higher and higher. - The 2007 and 2008 market correction saw the index dropping to near the Jul-91 Jul-92 Jul-93 Jul-94 Jul-95 Jul-08 Jul-09 Jul-10 Jul-11 Jul-97 Jul-98 Jul-99 Jul-00 Jul-01 Jul-02 Jul-03 Jul-04 Jul-05 Jul-06 Jul-07 lower band, and in December the index actually dropped below the lower Jul-96 band. Up to 2003 all three bands were parallel, but since then we see a widening of the bands, which indicates that the market has become increasingly volatile. However, since the market recovery this year-to- date, we see that the index level now almost equals the moving average, and is now more or less in the middle of both borders. As a result, the Bollinger bands are now narrowing indicating a stronger direction towards the market is going (according to the theory/model). 31/05/2013 May Version: May 2013 2 Square de Meeus 23 ■ B-1000 Brussels, Belgium ■ T +32 2739 1010 ■ F +32 2739 1020 ■ E [email protected] ■ W www.epra.com Contents Page 4 Section 1 - Global Developed Page 62 Section 6.9 - Netherlands Page 11 Section 2 - Asia Developed Page 65 Section 6.10 - Sweden Page 18 Section 3 - Europe Developed Page 68 Section 6.11 - United Kingdom Page 25 Section 4 - North America Developed Page 71 Section 6.12 - Canada Page 32 Section 5 - Emerging Markets Page 74 Section 6.13 - United States Page 37 Section 6 - Individual Countries Page 77 Section 7 - End of Year Constituents Chart Page 38 Section 6.1 - Australia Page 104 Section 8 - Details on Methodology Page 41 Section 6.2 - Hong Kong Page 108 Section 9 - Data Vendor Codes Page 44 Section 6.3 - Japan Page 122 Contacts Page 47 Section 6.4 - Singapore Page 123 Disclaimer Page 50 Section 6.5 - Belgium Page 53 Section 6.6 - France Page 56 Section 6.7 - Germany Page 59 Section 6.8 - Italy For an explanation of the graphs and details on the calculation, please refer to Section 8. A disclaimer applies to this document. Please refer to page 123. Version: May 2013 3 Square de Meeus 23 ■ B-1000 Brussels, Belgium ■ T +32 2739 1010 ■ F +32 2739 1020 ■ E [email protected] ■ W www.epra.com Section 1 Global Developed Version: May 2013 4 Square de Meeus 23 ■ B-1000 Brussels, Belgium ■ T +32 2739 1010 ■ F +32 2739 1020 ■ E [email protected] ■ W www.epra.com *** A disclaimer applies to A this to *** graph. refer page Please 123. Square de Meeus 23 ■ B-1000 Brussels, Belgium ■ T +32 2739 1010 ■ F +32 2739 1020 ■ E [email protected] ■ W ■ www.epra.com [email protected] E ■ 1020 2739 F +32 ■ 1010 2739 +32 T ■ Belgium Brussels, B-1000 ■ 23 Meeus de Square 2013 May Version: Downward Trend Upward Trend -1000 1000 1500 2000 2500 3000 3500 1000 1500 -500 500 500 0 0 May-95 Dec-89 range a fixed withinbottoms and tops Pattern: "Trading" upwards shows Globalan 2004: December to Launch Dec-90 May-96 Graph 3: Moving Averages: 5 Year vs 1 Year Oscillator 1 Year vs 5 Year Averages: Moving3: Graph Dec-91 May-97 Value Index Dec-92 Graph 1: Long Term Technical Analysis Analysis Technical Term 1:LongGraph May-98 Dec-93 Term LongResistance Level Dec-94 May-99 Dec-95 May-00 Dec-96 May-01 Dec-97 Long Term Support Line Term SupportLong Outbreak Trend 2004: November Dec-98 May-02 Dec-99 Reversal TrendFull2007: February May-03 Dec-00 May-04 Dec-01 May-05 Dec-02 - Global *** Global Dec-03 May-06 Dec-04 - May-07 Global Dec-05 Dec-06 May-08 Dec-07 May-09 Dec-08 May-10 Dec-09 May-11 Dec-10 Dec-11 May-12 2100 2300 2500 2700 1100 1300 1500 1700 1900 1000 1200 1400 900 200 400 600 800 0 Dec-90 Nov-07 Dec-91 Jan-08 Mar-08 Dec-92 May-08 Index Value Index Dec-93 Points) (Index Range True Average 4: Graph Jul-08 Dec-94 Sep-08 Nov-08 Levels Retracement 1Y 2: Graph Dec-95 Jan-09 Dec-96 Mar-09 Dec-97 May-09 Dec-98 Jul-09 Sep-09 Dec-99 Nov-09 Dec-00 Jan-10 Dec-01 Mar-10 May-10 Dec-02 Jul-10 - Dec-03 Global Sep-10 - Dec-04 Global Nov-10 Dec-05 Jan-11 Mar-11 Dec-06 May-11 Dec-07 Jul-11 Dec-08 Sep-11 Nov-11 Dec-09 Jan-12 Dec-10 Mar-12 Dec-11 May-12 5 Graph 5: Relative Strength Indicator - Global Graph 6: 20 Month Bollinger Bands - Global 120 3,500 70-100 Bollinger Bands Overbought Moving Average Index Value 3,000 100 2,500 80 30-70 Neutral 2,000 60 1,500 40 1,000 0-30 Oversold 20 500 0 - Jul-91 Jul-92 Jul-95 Jul-96 Jul-99 Jul-00 Jul-01 Jul-04 Jul-05 Jul-08 Jul-09 Jul-10 Jul-93 Jul-94 Jul-97 Jul-98 Jul-02 Jul-03 Jul-06 Jul-07 Jul-11 Feb-91 Feb-92 Feb-93 Feb-94 Feb-00 Feb-01 Feb-02 Feb-03 Feb-09 Feb-10 Feb-11 Feb-12 Feb-95 Feb-96 Feb-97 Feb-98 Feb-99 Feb-04 Feb-05 Feb-06 Feb-07 Feb-08 Graph 8: Seasonality Chart - Global Graph 7: Rolling 10 Years Risk/Return Profile - Global 20% Global Bonds Europe RE 3,100 2006 Global RE Asia RE 2008 2007 2006 2005 20 North America RE Global Equities 2004 2009 2010 2011 2006 15% 2008 2,750 2008 1999 2008 2002 1999 2,400 10% 2008 2000 2003 Return 20 2,050 5% 19 1999 2008 1,700 1999 1999 2003 0% 0% 5% 10% 15% 20% 25% 30% 35% 1,350 -5% 1,000 Risk (St Deviation) Jan Feb Mar Apr May June July Aug Sep Oct Nov Dec Version: May 2013 6 Square de Meeus 23 ■ B-1000 Brussels, Belgium ■ T +32 2739 1010 ■ F +32 2739 1020 ■ E [email protected] ■ W www.epra.com Square de Meeus 23 ■ B-1000 Brussels, Belgium ■ T +32 2739 1010 ■ F +32 2739 1020 ■ E [email protected] ■ W ■ www.epra.com [email protected] E ■ 1020 2739 F +32 ■ 1010 2739 +32 T ■ Belgium Brussels, B-1000 ■ 23 Meeus de Square 2013 May Version: Correlation Correlation -0.60 -0.40 -0.20 -1.00 -0.50 0.00 0.20 0.40 0.60 0.80 0.00 0.50 1.00 1.50 Jan-93 Jan-97 Jan-94 Correlations Months36 Bonds: Global vs. Countries 5 Top 11: Graph Jan-98 Global Bonds v Australia v Bonds Global Jan-95 Global BondsJapan v Jan-99 Correlations Class Asset Months 36 Bonds: & Equities Estate, Real 9: Graph Global Equities v Global Bonds Global v Equities Global Estate Real Global v Equities Global Jan-96 Jan-00 Jan-97 Jan-98 Jan-01 Jan-99 Global Bonds Hongv Kong Global US Bonds v Jan-02 Jan-00 Jan-03 Jan-01 Jan-04 Jan-02 Global Real Estate v Global Real Global Estate Bonds Jan-03 Jan-05 Global Global Bonds v UK v Bonds Global Jan-04 Jan-06 Jan-05 Jan-07 Jan-06 Jan-08 Jan-07 Jan-08 Jan-09 - Jan-09 Global Jan-10 Jan-10 Jan-11 Jan-11 Jan-12 - Jan-12 Correlation -1.00 -0.80 -0.60 -0.40 -0.20 0.40 0.60 0.80 1.00 0.00 0.20 -0.60 -0.40 -0.20 0.00 0.20 0.40 0.60 0.80 1.00 Jan-93 Jan-97 Jan-94 Jan-98 Correlations Months36 Equities: Global vs. 5 Countries Top 10: Graph Graph 12: Global & Regional 36 Months Correlations (EUR) (EUR) Correlations Months36 Regional & Global12: Graph Jan-95 Japan v Equities Global Australia v Equities Global Europe v Nth America Nth Europe v Europe v Global Jan-99 Jan-96 Jan-00 Jan-97 Jan-98 Jan-01 Jan-99 Jan-02 Jan-00 Europe v Asia Europe v America Nth v Global Jan-03 Jan-01 Hong Kong v Equities Global US v Equities Global Jan-04 Jan-02 Jan-03 Jan-05 Jan-04 Jan-06 Jan-05 Jan-07 Nth America v Asia v America Nth Asia v Global Jan-06 Jan-08 Jan-07 UK v Equities Global - Jan-08 Global Jan-09 Jan-09 Jan-10 - Global Jan-10 Jan-11 Jan-11 Jan-12 Jan-12 7 Graph 13: 36 Months Velocity vs. Volatility - Global Graph 14: 36 Months Annual Velocity - Global 47% 160% y = 0.1854x + 0.0274 R² = 0.2626 42% 140% 37% 120% 32% 100% 27% 80% Volatility 22% Velocity ratio Velocity 60% 17% 12% 40% 7% 20% Europe Asia 2% North America Global 0% 30% 40% 50% 60% 70% 80% 90% 100% Velocity (Liquidity) Oct-03 Oct-05 Oct-08 Oct-10 Oct-01 Oct-02 Oct-04 Oct-06 Oct-07 Oct-09 Oct-11 Apr-01 Apr-03 Apr-06 Apr-08 Apr-11 Apr-02 Apr-04 Apr-05 Apr-07 Apr-09 Apr-10 Apr-12 Graph 15: 36 Months Rolling Volatility - Global Graph 16: Sharp Ratio - Global 70% 1.50 60% 1.00 50% 0.50 40% Volatility 30% 0.00 20% -0.50 10% Global Asia Global Europe North America Asia Europe North America 0% -1.00 Jul-01 Jul-04 Jul-06 Jul-09 Jul-11 Jul-00 Jul-02 Jul-03 Jul-05 Jul-07 Jul-08 Jul-10 Apr-01 Oct-01 Apr-02 Oct-02 Apr-03 Oct-03 Apr-04 Oct-04 Apr-05 Oct-05 Apr-06 Oct-06 Apr-07 Oct-07 Apr-08 Oct-08 Apr-09 Oct-09 Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Jan-00 Jan-01 Jan-03 Jan-05 Jan-06 Jan-08 Jan-10 Jan-11 Jan-02 Jan-04 Jan-07 Jan-09 Jan-12 Version: May 2013 8 Square de Meeus 23 ■ B-1000 Brussels, Belgium ■ T +32 2739 1010 ■ F +32 2739 1020 ■ E [email protected] ■ W www.epra.com Square de Meeus 23 ■ B-1000 Brussels, Belgium ■ T +32 2739 1010 ■ F +32 2739 1020 ■ E [email protected] ■ W ■ www.epra.com [email protected] E ■ 1020 2739 F +32 ■ 1010 2739 +32 T ■ Belgium Brussels, B-1000 ■ 23 Meeus de Square 2013 May Version: Value-at-Risk (USD Mln) 100,000 150,000 200,000 250,000 300,000 50,000 -0.80 -0.60 -0.40 -0.20 0.00 0.20 0.40 0.60 0.80 1.00 1.20 1.40 0 Jan-93 Jan-00 Jul-00 Jan-94 Jan-01 Jan-95 Global in EUR Mln EUR in Global Mln USDGlobal in Jul-01 Europe Global Jan-96 Jan-02 Coefficient Beta Term Long17: Graph Graph 19: Equally Weighted Value Weighted Equally 19: Graph Jan-97 Jul-02 Jan-03 Jan-98 Jul-03 Jan-99 Jan-04 Jan-00 Jul-04 America North Asia Jan-01 Jan-05 Jul-05 Jan-02 Jan-06
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