The Global Real Estate Fund Index (GREFI) was launched in 2014 with an inception date of December 2009. The GREFI consists of global strategy funds and funds from Asia Pacific (the ANREV Quarterly Index), Europe (the INREV Quarterly Index) and the US (the NCREIF Fund Indices – OE and CEVA).
GREFI is a quarterly index. These indices are combined to calculate the overall global fund index. All returns are expressed in net terms and calculated in local currency, which means that currency fluctuations are filtered out of the results. This is done by converting all capital flows and NAVs of the funds into one base currency using the currency exchange rate as the first day of every quarter.
Since the INREV Quarterly Index, ANREV Quarterly Index and NFI‐CEVA are not frozen indices, the GREFI is an unfrozen index and historical data may change each quarter.
• INREV & ANREV use the Modified Dietz Method to calculate quarterly fund returns based on the information provided by the managers. Fund managers provide the underlying cash flows (capital calls, redemptions and distributions) and the exact dates of these cash flows as well as the quarterly NAVs of the fund. Based on these figures INREV & ANREV calculate a fund return. The Modified Dietz Method calculates a NAV based return adjusted for the average invested capital for the period. The initial net asset values are adjusted by weighting all external cash flows based on the length of time this capital is held by the fund using the actual dates of these cash flows.
• At NCREIF the fund must comply with the NCREIF/PREA Reporting Standards; including annual audits, quarterly valuations and time-weighted returns. Further, the fund must submit information in accordance with the NCREIF Fund Data Collection and Reporting Manual (timely, accurate and industry compliant data is required). NCREIF asks fund managers to provide them with their returns and weighted average equity using the Modified-Dietz methodology. Using these figures, NCREIF calculates their indices.
• The returns and weighted average equity of all funds in the ANREV, INREV and NCREIF indices are then used to calculate the overall global fund index.
• All returns are calculated in local currency which means that currency fluctuations are filtered out of the results. This is done by converting all capital flows and NAVs of the funds into one base currency using the currency exchange rate as the first day of every quarter.
• All indices are capitalisation-weighted and all returns published in this publication are net returns.
• The Fund Index Data Contributing Manager must be an investment management company offering a non-listed real estate fund product that is operated for institutional investors.
• Subject to meeting Index criteria, the fund will be included for the first full period of operations. Initial and ending partial quarters of the fund will not be included.
• In order to be included in the INREV and ANREV index at least 90% of market value of real estate net assets must be in the European and Asia Pacific markets respectively. For the NFI-OE index this is 80% in the US.
• For the INREV and ANREV Index at least 80% of market value of net assets is invested in real estate. For the NFI-OE Index this is 80%.
• There are no restrictions on property types, life cycle, leverage and diversification for the all three indices.