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Monthly Index Chart Book

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Monthly Index Chart Book June 2015 ` Comment & The Chart of the Month June 2015 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-97 Jul-03 Jul-12 Jul-94 Jul-00 Jul-06 Jul-09 Oct-93 Oct-99 Oct-02 Oct-08 Oct-96 Oct-05 Oct-11 Apr-95 Apr-01 Apr-07 Apr-13 Apr-92 Apr-98 Apr-04 Apr-10 Jan-99 Jan-05 Jan-11 Jan-96 Jan-02 Jan-08 lower band, and in December the index actually dropped below the lower Jan-93 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). 30/06/2015 June Version: June 2015 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 123 Contacts Page 47 Section 6.4 - Singapore Page 124 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 124. Version: June 2015 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: June 2015 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 124. 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 2015 June Version: Downward Trend Upward Trend -1000 1000 1500 2000 2500 3000 3500 4000 4500 1000 1500 -500 500 500 0 0 May-95 Dec-89 range a fixed withinbottoms and tops Pattern: "Trading" upwards anshows Global 2004: December to Launch Jan-96 Oct-90 Aug-91 Sep-96 Oscillator 1 Year vs 5 Year Averages: Moving3: Graph May-97 Jun-92 Jan-98 Apr-93 Feb-94 Analysis Technical Term 1:LongGraph Sep-98 Value Index Long Term LongTerm ResistanceLevel May-99 Dec-94 Jan-00 Oct-95 Sep-00 Aug-96 May-01 Jun-97 Jan-02 Apr-98 Feb-99 Sep-02 Long Term Support Line Term Support Long Dec-99 Outbreak Trend 2004:November May-03 Oct-00 Jan-04 Reversal Trend Full2007: February Aug-01 Sep-04 Jun-02 May-05 Apr-03 Jan-06 Feb-04 Sep-06 Dec-04 - May-07 *** Global Oct-05 Jan-08 Aug-06 Sep-08 - Global Jun-07 May-09 Apr-08 Jan-10 Feb-09 Sep-10 Dec-09 May-11 Oct-10 Jan-12 Aug-11 Sep-12 Jun-12 May-13 Apr-13 Jan-14 Feb-14 Sep-14 Dec-14 3900 4400 4900 1400 1900 2400 2900 3400 1000 1200 1400 900 200 400 600 800 0 Dec-90 Nov-07 Oct-91 Feb-08 Aug-92 May-08 38% 50% 61% Jun-93 Aug-08 Apr-94 Points) (Index Range True Average 4: Graph Nov-08 Feb-95 Feb-09 Dec-95 May-09 Graph 2: 1Y Retracement Levels Levels Retracement 1Y 2: Graph Oct-96 Aug-09 Aug-97 Nov-09 Jun-98 Feb-10 Apr-99 May-10 Feb-00 Aug-10 Dec-00 Nov-10 Oct-01 Feb-11 Aug-02 May-11 Jun-03 Aug-11 Apr-04 Nov-11 - Feb-05 Feb-12 Global Dec-05 May-12 - Oct-06 Global Aug-12 Aug-07 Nov-12 Jun-08 Feb-13 Apr-09 May-13 Feb-10 Aug-13 Value Index Dec-10 Nov-13 Oct-11 Feb-14 Aug-12 May-14 Jun-13 Aug-14 Apr-14 Nov-14 5 Graph 5: Relative Strength Indicator - Global Graph 6: 20 Month Bollinger Bands - Global 120 4,500 70-100 Bollinger Bands Overbought Moving Average 4,000 Index Value 100 3,500 30-70 80 3,000 Neutral 2,500 60 2,000 40 1,500 0-30 1,000 Oversold 20 500 0 - Jul-91 Jul-96 Jul-01 Jul-06 Jul-11 Oct-92 Oct-97 Apr-00 Apr-05 Apr-10 Apr-95 Oct-02 Oct-07 Oct-12 Jun-94 Jun-99 Jun-04 Jun-09 Jun-14 Feb-91 Feb-96 Feb-01 Feb-06 Feb-11 Jan-94 Jan-99 Jan-04 Jan-09 Jan-14 Dec-01 Aug-03 Dec-06 Aug-08 Dec-11 Aug-13 Dec-91 Aug-93 Dec-96 Aug-98 Mar-93 Mar-98 Mar-03 Mar-08 Mar-13 Nov-94 Sep-95 Nov-99 Sep-00 Nov-04 Sep-05 Nov-09 Sep-10 Nov-14 May-92 May-97 May-02 May-07 May-12 Graph 8: Seasonality Chart - Global Graph 7: Rolling 10 Years Risk/Return Profile - Global 20% Global Bonds 2006 Europe RE 3,800 Global RE 20 Asia RE 2006 15% 2008 3,450 2008 1999 2008 3,100 2002 1999 10% 2008 2000 2,750 2003 Return 20 2,400 5% 19 1999 2008 2,050 1999 1999 2003 1,700 0% 0% 5% 10% 15% 20% 25% 30% 35% 2008 2007 2006 1,350 2005 2004 2009 2010 2011 2012 -5% 1,000 2013 2014 Risk (St Deviation) Jan Feb Mar Apr May June July Aug Sep Oct Nov Dec Version: June 2015 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 2015 June 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 Oct-93 Aug-97 Graph 11: Top 5 Countries vs. Global Bonds: 36 Months Correlations Correlations Months36 Bonds: Global vs. Countries 5 Top 11: Graph Jul-94 Mar-98 Apr-95 Oct-98 Global Bonds v Hong Kong v Bonds Hong Global v Bonds UK Global v Bonds Australia Global Graph 9: Real Estate, Equities & Bonds: 36 Months Asset Correlations Class Asset Months 36 Bonds: & Equities Estate, Real 9: Graph Jan-96 May-99 Oct-96 Dec-99 Jul-00 Jul-97 Feb-01 Apr-98 Sep-01 Jan-99 Bonds Global EquitiesGlobal v Global Bonds RealGlobal v Estate Global Equities Global v Real Estate Apr-02 Oct-99 Nov-02 Jul-00 Jun-03 Apr-01 Jan-04 Jan-02 Aug-04 Oct-02 Global Bonds v Japan Global Bonds v US Mar-05 Jul-03 Oct-05 Apr-04 May-06 Global Jan-05 Dec-06 Oct-05 Jul-07 Jul-06 Feb-08 Apr-07 Sep-08 Jan-08 Apr-09 Oct-08 Nov-09 Jul-09 Jun-10 Apr-10 Jan-11 Aug-11 - Jan-11 Global Mar-12 Oct-11 Oct-12 Jul-12 May-13 Apr-13 Dec-13 Jan-14 Jul-14 - Oct-14 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 Aug-97 Oct-93 Mar-98 Correlations Months36 Equities: Global vs.
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