The Journal of Real Estate Finance and Economics

Volume 34, Issue 1, Article 1 (Abstract)


A Quarterly Transactions-Based Index of Institutional Real Estate Investment Performance and Movements in Supply and Demand


Jeff Fisher, David Geltner and Henry Pollakowski


This article presents a methodology for producing a quarterly transactions-based index (TBI) of

property-level investment performance for U.S. institutional real estate. Indices are presented for

investment periodic total returns and capital appreciation (or price-changes) for the major property

types included in the NCREIF Property Index. These indices are based on transaction prices to

avoid appraisal-based sources of index “smoothing” and lagging bias. In addition to producing

variable-liquidity indices, this approach employs the Fisher-Gatzlaff-Geltner-Haurin (REE 2003)

methodology to produce separate indices tracking movements on the demand and supply sides of

the investment market, including a “constant-liquidity” (demand side) index. Extensions of

Bayesian noise filtering techniques developed by Gatzlaff & Geltner (REF 1998) and Geltner &

Goetzmann (JREFE 2000) are employed to allow development of quarterly frequency, market

segment specific indices. The hedonic price model used in the indices is based on an extension of

the Clapp & Giacotto (JASA 1992) “assessed value method”, using a NCREIF-reported recent

appraised value of each transacting property as the composite “hedonic” variable, thus allowing

time-dummy coefficients to represent the difference each period between the (lagged) appraisals

and the transaction prices. The index could also be used to produce a mass appraisal of the

NCREIF property database each quarter, a byproduct of which would be the ability to provide

transactions price based “atuomated valuation model” estimates of property value for each NCREIF

property each quarter. Detailed results are available at