A Set of Indexes for Trading Commercial Real Estate Based on the Real Capital Analytics Transaction Prices Database
||Pollakowski, Henry; David Geltner
||A Set of Indexes for Trading Commercial Real Estate Based on the Real Capital Analytics Transaction Prices Database
||14th Annual European Real Estate Society Conference in London, UK
||This paper describes the engineering of a set of indexes for tracking same property realized price appreciation in the U.S. commercial real estate asset market, based on the transactions database of Real Capital Analytics, Inc (RCA). The set of regression-based, repeat-sales indexes developed so far includes a national all-property index at the monthly frequency, national quarterly indexes for each of the four major property type sectors (office, apartment, industrial, retail), selected annual-frequency indexes for specific property sectors in specific metropolitan areas, and other specialized indexes. The RCA database is one of the most extensive and intensively documented national databases of commercial property prices ever developed in the U.S., and attempts to include on a timely basis all transactions of commercial properties greater than $2,500,000 in value. The indexes described in this paper were developed de novo for the specific purpose of supporting and facilitating derivatives trading, such as “index return swaps”. This paper presents the price index methodology and an initial history of the major indexes starting in 2001.
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||Session G5: Index Construction and Real Estate Derivatives
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