INREV STYLE DEFINITION ANALYSIS IN ASIA PACIFIC - Testing and Validating the INREV Fund Styles Framework for Asian Funds

The first INREV style definition was released in 2004, then revised in 2007, 2009 and lastly in February 2012, when INREV felt the need to provide new definitions to the industry, in order to be able to compare risks and

performance in funds in Europe. The core funds definition (LTV>40%) was partially derived from ANREV feedback on Japan core funds. ANREV adopted the previous style definition in 2012.

In 2012, ANREV first attempted to review INREV style definition when publishing the Investment Intentions Asia Survey which contains a focus to gain insights from respondents on how risk should be assessed in Asia Pacific. Respondents were asked whether they agreed with the new INREV style classification parameters. Generally respondents appeared to consider the INREV style classification as a good start. The majority of respondents from the survey, agreed that the INREV style classification parameters were relevant when assessing fund styles in Asia, with 94% of investors along with 90% of funds managers and 78% of fund of funds managers.

Respondents believed that in order to create global uniformity the above style classification should be adopted. However, only limited investment strategies should be qualified as core. Some respondents specified that the strategy is much more complicated than the simple classification, for example, Japan generally requires higher leverage even at the core level to produce meaningful returns. As Asia GPs lends itself to more value add type exposure and development, perhaps a wider range on that measure are required. The goal of this paper is to test INREV core definition against ANREV core funds in order to provide context to the ANREV decision to adopt the INREV style definition. Therefore ANREV have collected a dataset comprising detailed information for all core funds in December 2013. This snapshot describes the analysis of the data obtained from the ANREV Fund database.

If you have any questions about the release, please contact Amélie Delaunay at [email protected]

As part of its commitment to support its members to improve their sustainability efforts, ANREV is a partner of the Global Real Estate Sustainability Benchmark (GRESB), a global consortium of institutional investors and real estate industry associations committed to assessing the sustainability performance of real estate portfolios.

ANREV Shares GRESB's mission "to enhance and protect shareholder value by evaluating and improving sustainability practices in the global real estate sector."

For the first time this year, GRESB shared with ANREV the sustainability score and answers of ANREV members, whose respondents represent 81% of the non-listed real estate industry respondents in APAC. Isolating the ANREV members' scores provided and opportunity to see how they rank against the industry and generally.

ANREVはメンバーのサステイナビリティへの対応を援助することを目的とし、国際的な機関投資家協会であり、不動産ポートフォリオにおけるサステイナビリティパフォーマンスを扱う不動産協会であるGRESB（Global Real Estate Sustainability Benchmark）のパートナー協会となりました。

ANREVは「グローバルな不動産業界のサステイナビリティプラクティスを評価・改善することでシェアホルダーの価値向上及び保護に努める」とうたうGRESBのミッションをサポートします。

今年初めて、GRESBのサステイナビリティスコアとANREVメンバーのスコア及び結果を共有しました。ANREVメンバーの回答者はAPACの非上場不動産業界の回答者のうち81％を占めています。ANREVメンバーのスコアを切り離すことで、業界に対して、また一般的にそれらのスコアがどのような立ち位置にあるのかを知る機会となりました。

DRIVERS OF NON-LISTED REAL ESTATE FUND RETURNS IN EUROPE AND ASIA: A STATISTICAL ANALYSIS

• A panel data regression analysis is undertaken on a dataset spanning European and Asian non-listed real estate funds to determine the primary variables which are driving non-listed real estate fund returns.
• A large proportion of fund returns in Europe and Asia are found to be attributable to four primary variables: the underlying returns of the property markets in which the fund is invested; the level of gearing at the start of the return period; the size of the fund; and the fund distribution yield.
• The greatest proportion of overall fund returns are derived from the underlying real estate markets and sectors in which has a fund is invested.
• Gearing strategies had a negative overall influence on fund returns over the assessed period implying that leverage is a not a value adding strategy for non-listed funds.
• Leverage is found to have a positive impact on returns during an ‘up market’ however has a greater relative negative impact on returns during a ‘down period’
• The relationship between the variables affecting fund performance remains consistent in both regions analysed however the regression model is able to account for a greater proportion of the fund return in European funds than Asian funds.
• The significance of the results may be influenced by the size of the dataset with the European dataset spanning 10 years and 284 funds and the Asian dataset spanning 5 years and 68 funds.