Wrap Text
Informative Notice – 20250505 FTSEJSE Property Indices Discussion Paper
To: Market Participants
From: FTSE/JSE Indices
Date: 08 April 2025
Subject: FTSE/JSE Property Indices Discussion Paper
1. Introduction
FTSE/JSE received a request in 2024 to expand the ALPI universe to include Fledgling constituents that pass the
liquidity requirements. Following this request, a Market Consultation was published in November 2024 to get
feedback from a broad set of index users on the proposed change to the FTSE/JSE All Property Index. FTSE/JSE
received feedback both for and against the proposal and did not feel there was sufficient support to implement
the changes at the March 2025 review. This discussion document presents the core feedback received from the
consultation. It also includes further analysis on the comments and an overview of the set of available property
indices.
2. Background
In 2016, FTSE/JSE published a Market Consultation proposing to decommission the FTSE/JSE South African Listed
Property Index (J253/SAPY) and the FTSE/JSE Capped Property Index (J254/PCAP), and to replace them with three
new property indices, namely the FTSE/JSE All Property Index (J803/ALPI), FTSE/JSE Tradable Property Index
(J800/PROP) and the FTSE/JSE SA REIT Index (J805/REIT). After the consultation, the three new property indices
were launched in 2017 as stand-alone indices without impacting the methodology for the existing SAPY and PCAP
indices. FTSE/JSE signalled that both the SAPY and PCAP had been identified for decommissioning, with the ALPI
recommended as the successor index for benchmark usage and the PROP for tradable/product usage. While the
SAPY is still widely referenced, there has been a shift toward using the ALPI for fund and composite benchmarking.
While the ALPI was originally designed as a stand-alone property benchmark, it was nonetheless constructed as a
sub-set of the FTSE/JSE All Share Index (J203/ALSI). Listed property companies must be constituents of the ALSI
before they are considered for inclusion in the ALPI. Since the ALSI is intended to capture 99% of the eligible gross
market capitalisation of the JSE Main Board, the overall market structure and composition of all listed equities will
therefore impact on which property companies are included in the ALPI.
From 2017 when the ALPI launched to 2025, the number of companies included in the ALSI decreased from 164
to 125. Over the same period, the number of property companies in the ALPI decreased from 33 to 22. This is
partly due to a decrease in the absolute number of property companies but also due to the market capitalisation
of non-property companies relative to property companies. Over the same period, the number of property
companies listed on the Main Board decreased from 56 to 42, implying that the ALPI coverage by number of
property companies decreased from 59% to 52% (without any consideration for market capitalisation). This
contrasts with the ALSI representation of Main Board listings which decreased marginally over the same period,
from 51% to 50% by number of index-eligible listings.
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3. Current offering
FTSE/JSE currently publishes eleven property indices, which are all subsets of the general equity ALSI benchmark
and are listed in Table 1 below. Of these eleven, three will be terminated on 31 December 2025 as part of Phase 2
of the Index harmonisation project, and two (SAPY and PCAP) are on a sunset path and are not recommended for
new mandates.
The JSE references the FTSE Russell Industry Classification Benchmark (ICB), which uses a hierarchical structure to
categorise listed equities by Industry, Super-Sector, Sector and Sub-Sector. The FTSE/JSE index series publishes
separate ALSI sub-indices for each Industry and Sector which are reflected by codes JI0035, JS3511 and JS3512:
Index
Index name Category Intended use Status Cap Constituents
code
SAPY - South African Listed
J253 Legacy Multi-use Due for termination 17
Property
J254 PCAP - Capped Property Legacy Multi-use Due for termination 15% 20
J800 PROP - Tradable Property Tradable Index Tradable Index 15% 10
J803 ALPI -All Property Benchmark Index Benchmark Index 15% 22
J805 REIT - SA REIT SA REIT Specialist Index 15% 12
JI0035 Real Estate ICB Industry Benchmark Index 22
Real Estate Investment & Services
JS3511 ICB Sector Benchmark Index 4
Development
JS3512 Real Estate Investment Trusts ICB Sector Benchmark Index 18
JW0035 Real Estate SWIX ICB Industry Benchmark Index Terminates 31 Dec 22
Real Estate Investment & Services
JX3511 SWIX ICB Sector Benchmark Index Terminates 31 Dec 4
Development
JX3512 Real Estate Investment Trusts SWIX ICB Sector Benchmark Index Terminates 31 Dec 18
Table 1: List of property indices
Under the current methodology, the ALPI and the JI0035 industry index will always have identical constituents.
This is because the Industry indices are subject to ALSI inclusion by definition. The difference between the two
indices is that the ALPI is capped at 15% and the JI0035 is not capped.
The PROP index is smaller at 10 constituents since it is constructed as a subset of the FTSE/JSE Large and Mid Cap
(J206) indices rather than the ALSI. If there are not enough companies in the J206 to fill 10 constituents, the index
is filled by selecting the largest real estate companies in the FTSE/JSE Small Cap Index (J202) when ranked by gross
market capitalisation
4. ALPI expansion proposal
In 2024, FTSE/JSE received requests from index users to review the methodology of the ALPI and to de-link the
selection criteria from the ALSI. This would effectively allow the inclusion of fledgling property companies in the
ALPI, subject to the FTSE/JSE ALSI liquidity screen.
Many of the views in support of the proposal were cited in the November 2024 market consultation. The key
themes where there was no alignment between all market participants are presented below.
Inclusion of ALPI additions for modelling purposes
The market consultation also indicated the ALPI inclusion of four fledgling property companies based on the
proposed expansion methodology. There were still 17 property companies listed on the Main Board that did not
meet the criteria under the proposed methodology at that time, although the eligibility for these 17 companies
could change as their free float, liquidity and market capitalisation profiles change. The modelling in paragraphs
4.7 to 4.11 below is based on the November consultation paper and the inclusion of those four new constituents.
These new additions are highlighted in red in each section.
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Any actual additions to an expanded ALPI will depend on the finalised methodology and the characteristics of each
listed property company at the time of the index review.
4.1 Purpose of benchmark
Some managers are restricted to use either the ALSI or the ALPI as their selection universe. In this scenario, the
manager is not able to select individual stocks that are not included in their benchmark index. In the listed property
space, there are several fledgling companies that are therefore structurally excluded from these managers'
selection process due to their investment mandate definition.
One potential solution to this is to expand the benchmark index to include more stocks. Another solution could be
for investors to amend their mandates to allow off-benchmark holdings. Many property managers are already not
limited to ALPI constituents in terms of their investment mandate and are in fact already holding fledgling property
companies in off-benchmark positions.
It is not appropriate for a benchmark administrator to use methodology decisions to influence investor behaviour
or portfolio construction. Similarly, a benchmark administrator would not base index methodology decisions on
individual stock fundamentals, or an intention to include or exclude certain counters from the index.
Notwithstanding this principle, in the case of the ALPI it is not clear that inclusion of fledgling property companies
would increase analyst coverage, investor interest or drive a re-rating of these companies.
4.2 Listed property as an asset (sub)class
There are a significant number of funds and managers in South Africa that are specialised solely in the listed
property space, some of whom have questioned the principle that their investment universe benchmark is
constructed as a subset of the general equity ALSI. A core argument in support of the ALPI expansion is that a listed
property benchmark should be constructed as a stand-alone asset class benchmark rather than a subset of the
general equity space. In other words, the ALPI should be constructed as the "all share of property" rather than a
carve-out of the existing ALSI.
There are also equity managers that operate within a broad ALSI mandate but allocate a portion of their fund to
listed property. These managers may use a composite benchmark which combines ALSI and ALPI (and other
indices) and some of these managers have a preference that the ALPI remains a subset of the ALSI. Furthermore,
some of these managers are restricted to holding only ALSI constituents in their broader mandate, and therefore
an expanded ALPI would not be investable for them.
It is clear that the ALPI is currently used by both specialist listed property funds but also as a component of asset
allocation by general equity and balanced funds. The former are likely to consider the ALPI as a stand-alone asset
class benchmark and support the ALPI expansion, while the latter are likely to see it as a sub-set of the ALSI and
reject the ALPI expansion.
4.3 Benchmark alignment
Past experience has shown that it is preferable to have a small number of performance benchmarks that are widely
used by the industry. This standardisation of performance measurement can make it easier to compare funds and
simplify the analysis process, particularly for retail investors. Conversely, bespoke performance benchmarks
aligned with individual investment mandates deliver more accurate benchmarking outcomes and can better track
individual performance.
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In the case of the ALPI, there is a benefit to having one index that is broadly used for listed property performance
assessment. This will however mean that the index methodology is less closely aligned with individual mandates
and some material divergences will emerge. One way to solve this problem is to position two broad indices for
market usage:
• ALPI as a stand-alone listed property benchmark for dedicated property investors who are not typically
operating in the broader ALSI space
• The JI0035 as a sub-set of the ALSI that includes all listed property companies in the ALSI
The JI0035 and the ALPI currently have identical constituents. The only difference is that the ALPI is capped at 15%
whereas the JI0035 is not capped.
Under this approach, index users that prefer an ALSI universe would transition to using the JI0035 (or a capped
variant could be introduced), allowing the ALPI methodology to then be refined for a dedicated property investor
use case. However, there is a cost associated if existing index users are required to change benchmarks, which may
in some cases include balloting investors and applying with the FSCA. It is not clear whether there are currently
more existing ALPI users that prefer a stand-alone approach or more that prefer an ALSI-subset approach – either
by number of managers or by assets under management.
In the event that the majority of existing ALPI users prefer an ALSI-subset approach, it would be preferable to leave
the ALPI methodology unchanged and launch a new standalone property benchmark that is decoupled from the
ALSI.
4.4 Timing
Investors that have made decisions based on an existing ALSI-subset benchmark may not wish to reference an
expanded benchmark. Managers who feel that including fledgling companies is a material change to their
benchmark would be required to transparently notify investors of the change, and in some cases may elect to
ballot their investors to obtain support. Given the timing of the November 2024 introduction of the expansion
concept, a March 2025 implementation would not provide sufficient time to complete this process and there were
respondents that requested consideration for a longer notice period.
4.5 Liquidity
Market capitalisation has a broad correlation with liquidity. Benchmark indices are generally weighted on market
capitalisation, with one result being that stocks with larger weightings naturally tend to have higher liquidity,
providing a natural underpin for index investability. One of the reasons that the existing ALSI includes only 125 out
of 250 listed companies on the Main Board is that the remaining "fledgling" companies tend to be materially less
liquid while also contributing a nearly insignificant amount to overall index risk and return metrics.
This is a key concern from respondents on expanding the existing ALPI – there is already a liquidity concern in the
tail end of the ALPI and including fledgling property companies will exacerbate this. A good benchmark must be
investable and including companies that cannot be reliably traded at scale goes against this principle.
Paragraphs 4.7 to 4.9 show various liquidity lenses, with the table in each section ranked from highest to lowest.
It is recognised that the existing small cap ALPI constituents may be included in the index but may not necessarily
be considered liquid by all ALPI users.
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4.6 Market Capitalisation
The ALSI is selected based on gross market capitalisation (before the application of free float), while the stocks are
weighted based on net market capitalisation (free float adjusted). This creates the situation that a small cap
company with a low free float may be included in the ALSI and the ALPI, but a fledgling company with a high free
float could be excluded, even though that fledgling company may have a higher index weighting and may even be
more investable.
Table 2 below ranks property companies by free float adjusted market capitalisation.
Gross MCAP Net MCAP Current Proposed
Alpha Instrument Index
ZAR bn ZAR bn Weight Weight
NRP NEPI Rockcastle N.V. ALPI 97.84 46.73 15.79% 15.79%
GRT Growthpoint Prop Ltd ALPI 44.81 42.71 14.43% 14.43%
RDF Redefine Properties ALPI 30.90 29.54 10.43% 9.98%
FFB FORTRESS REAL EST INV B ALPI 23.62 23.51 8.30% 7.95%
VKE Vukile Property Fund ALPI 21.48 20.89 7.37% 7.06%
RES Resilient REIT Ltd ALPI 21.00 17.21 6.08% 5.82%
HYP Hyprop Investments Ltd ALPI 16.24 16.16 5.70% 5.46%
EQU Equites Property Fund ALPI 11.86 11.49 4.06% 3.88%
ATT Attacq Limited ALPI 9.78 9.14 3.22% 3.09%
MSP MAS PLC ALPI 13.03 8.59 3.03% 2.90%
LTE Lighthouse Properties plc ALPI 15.98 8.11 2.86% 2.74%
SRE Sirius Real Estate Ltd ALPI 29.54 8.06 2.84% 2.72%
FTB Fairvest Limited B ALPI 8.53 8.01 2.83% 2.71%
SAC SA Corporate Real Estate Fund ALPI 7.07 6.91 2.44% 2.34%
SSS Stor-Age Property REIT ALPI 6.98 5.69 2.01% 1.92%
HMN Hammerson Plc ALPI 29.81 5.57 1.96% 1.88%
BTN Burstone Group Limited ALPI 6.78 4.98 1.76% 1.68%
DIB Dipula Properties Ltd (B) N/A 4.72 4.53 1.53%
SHC Shaftesbury Capital ALPI 56.37 3.21 1.13% 1.08%
AHR Assura ALPI 43.88 3.18 1.12% 1.07%
SRI Supermarket Income REIT ALPI 23.99 2.67 0.94% 0.90%
SEA Spear REIT N/A 3.31 2.48 0.84%
PHP Primary Health Properties ALPI 29.67 2.47 0.87% 0.83%
EMI Emira Property Fund ALPI 5.69 2.31 0.82% 0.78%
OCT Octodec Investments N/A 2.73 1.66 0.56%
SCD Schroder European REIT N/A 2.03 0.08 0.03%
Table 2: Gross and Net (free float adjusted) market capitalisation of the expanded ALPI
Some of the potential fledgling ALPI additions have higher free float adjusted market capitalisations than existing
small cap ALPI constituents and may be more investable on this basis.
4.7 Relative Liquidity (turnover)
The FTSE/JSE ALSI liquidity hurdle uses a turnover model which calculates total JSE volumes traded for each stock
as a percentage of their free float adjusted shares in issue on the local register. Table 3 below ranks property
companies by six-month average JSE turnover and shows the liquidity metric of the fledgling companies that would
potentially be included in the ALPI under the expanded methodology relative to the existing index constituents.
Average
Alpha Instrument Index Aug 24 Sep 24 Oct 24 Nov 24 Dec 24 Jan 25
Turnover
SRI Supermarket REIT11 ALPI 96.45% 54.31% 75.38%
PHP Primary Health Prop PLC ALPI 2.87% 172.72% 126.06% 48.53% 11.85% 48.79% 68.47%
AHR Assura Plc2 ALPI 15.48% 2.99% 76.89% 31.79%
HMN Hammerson plc ALPI 32.05% 82.83% 9.68% 15.44% 11.80% 26.45% 29.71%
1 Listed December 2024
2 Listed November 2024
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SHC Shaftesbury Capital plc ALPI 7.10% 11.59% 7.96% 5.21% 2.95% 13.54% 8.06%
GRT Growthpoint Prop Ltd ALPI 7.48% 9.40% 8.48% 5.59% 5.12% 7.00% 7.18%
SRE Sirius Real Estate Ltd ALPI 4.62% 6.37% 4.67% 4.54% 5.69% 12.43% 6.39%
HYP Hyprop Inv Ltd ALPI 6.65% 10.64% 6.27% 3.69% 4.85% 6.55% 6.44%
DIB Dipula Income Fund B N/A 2.24% 3.15% 2.96% 26.39% 1.24% 2.57% 6.43%
NRP NEPI Rockcastle N.V. ALPI 5.41% 6.40% 9.21% 4.45% 4.73% 3.64% 5.64%
MSP MAS P.L.C ALPI 5.65% 6.39% 4.09% 4.55% 6.99% 4.65% 5.39%
EQU Equites Prop Fund Ltd ALPI 4.18% 7.24% 10.64% 4.23% 2.76% 2.22% 5.21%
VKE Vukile Property Fund Ltd ALPI 4.15% 7.86% 4.84% 5.54% 4.11% 3.47% 5.00%
RES Resilient REIT Limited ALPI 4.90% 5.94% 4.98% 5.57% 3.30% 5.15% 4.98%
BTN Burstone Group Limited ALPI 3.31% 5.66% 2.56% 10.38% 2.46% 2.26% 4.44%
RDF Redefine Properties Ltd ALPI 4.04% 5.05% 6.13% 4.50% 3.42% 3.19% 4.39%
SSS Stor-Age Prop REIT Ltd ALPI 4.82% 3.95% 4.34% 3.97% 4.82% 2.41% 4.05%
FFB Fortress Real Est Inv B ALPI 5.11% 4.69% 4.90% 2.06% 3.55% 2.39% 3.78%
SEA Spear REIT Limited N/A 3.81% 3.03% 5.06% 5.59% 2.07% 1.96% 3.59%
FTB Fairvest Limited B ALPI 3.06% 3.08% 5.97% 2.21% 2.51% 2.77% 3.27%
SCD Schroder Eur REIT plc N/A 7.62% 2.77% 3.22% 1.41% 0.40% 3.79% 3.20%
SAC SA Corp Real Estate Ltd ALPI 3.17% 3.32% 2.87% 3.04% 2.12% 3.47% 3.00%
OCT Octodec Invest Ltd N/A 5.50% 2.83% 2.04% 2.30% 1.39% 2.26% 2.72%
EMI Emira Property Fund Ltd ALPI 3.45% 3.19% 2.38% 2.52% 1.78% 2.83% 2.69%
LTE Lighthouse Properties plc ALPI 2.21% 2.82% 4.15% 2.44% 2.78% 1.50% 2.65%
ATT Attacq Limited ALPI 2.75% 3.53% 3.93% 1.45% 1.67% 1.70% 2.50%
Table 3: Average turnover
For dual listed foreign companies, the turnover metric can be skewed if there are a relatively small number of
shares held on the domestic Strate share register, since this number impacts the denominator of the turnover
metric. Since the turnover is calculated relative to the size of each company, it does not necessarily imply the
availability of liquidity at scale for larger funds.
All of the proposed fledgling ALPI additions reflect a higher average turnover than some of the existing small cap
constituents of the ALPI.
4.8 Average Daily Value Traded
Liquidity can also be viewed through a nominal daily value traded for each stock. This may be a more relevant
measure for funds that need to trade these counters at size. Table 4 below shows the ADVT for the existing ALPI
constituents and the potential fledgling additions under the expanded methodology. Monthly and six-month ADVT
figures are shown in ZAR millions.
Alpha Instrument Index Sep 24 Oct 24 Nov 24 Dec 24 Jan 25 Feb 25 ADVT
NRP NEPI Rockcastle N.V. ALPI 257.32 335.07 173.16 207.11 135.79 255.63 227.35
GRT Growthpoint Prop Ltd ALPI 223.13 167.78 116.85 118.58 131.95 177.97 156.04
RDF Redefine Properties Ltd ALPI 84.37 89.90 68.28 55.72 42.96 57.59 66.47
HYP Hyprop Inv Ltd ALPI 84.65 44.66 28.18 45.31 50.70 35.13 48.11
VKE Vukile Property Fund Ltd ALPI 74.27 40.45 49.06 44.29 30.91 23.15 43.69
FFB Fortress Real Est Inv B ALPI 55.56 50.76 22.38 44.68 25.41 32.98 38.63
RES Resilient REIT Limited ALPI 52.15 36.89 45.27 31.07 40.49 33.04 39.82
HMN Hammerson plc ALPI 19.87 20.34 32.85 31.04 59.00 12.40 29.25
EQU Equites Prop Fund Ltd ALPI 39.83 53.05 22.51 16.81 11.36 14.63 26.36
MSP MAS P.L.C ALPI 26.51 15.08 19.69 47.71 27.34 16.22 25.42
SRE Sirius Real Estate Ltd ALPI 32.17 19.24 18.95 23.26 41.45 44.43 29.92
SHC Shaftesbury Capital plc ALPI 24.03 13.46 8.83 5.34 20.08 36.10 17.97
DIB Dipula Income Fund B N/A 6.51 5.34 54.12 2.99 5.34 4.86 13.19
BTN Burstone Group Limited ALPI 15.35 6.30 28.98 7.35 5.33 20.81 14.02
SSS Stor-Age Prop REIT Ltd ALPI 11.44 11.17 11.33 15.53 6.56 6.53 10.43
ATT Attacq Limited ALPI 15.68 15.62 6.36 8.41 7.02 9.92 10.50
SAC SA Corp Real Estate Ltd ALPI 12.15 8.94 10.06 8.21 11.29 16.99 11.27
LTE Lighthouse Properties plc ALPI 10.61 13.45 8.41 12.18 5.39 19.32 11.56
FTB Fairvest Limited B ALPI 9.13 16.10 6.58 8.67 7.60 8.91 9.50
PHP Primary Health Prop PLC ALPI 15.08 8.13 3.33 1.34 4.51 1.44 5.64
SEA Spear REIT Limited N/A 2.70 3.95 4.69 2.63 2.18 4.11 3.38
EMI Emira Property Fund Ltd ALPI 3.65 2.48 2.90 2.24 2.92 5.16 3.23
OCT Octodec Invest Ltd N/A 2.57 1.68 2.16 1.45 1.89 3.59 2.22
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SRI Supermarket REIT ALPI 3.25 0.96 0.09 1.44
AHR Assura Plc ALPI 0.25 0.08 0.98 2.24 0.88
SCD Schroder Eur REIT plc N/A 0.32 0.28 0.11 0.04 0.22 0.25 0.20
Table 4: Average Daily Value Traded in Rand Million per month and for a six-month lookback
The 6-month ADVT calculation can be skewed by outlier months that reflect large once-off market activity and it
is important to also consider the multi-month trend. Off book trades may create further complexity in the data.
Some of the potential fledgling ALPI additions show a higher ADVT than some of the existing small cap ALPI
constituents.
4.9 Aggregate Market Trade
A final lens on liquidity considers the total amount of daily trade that the index methodology could absorb. Table
5 models this by considering a R100m new investment into the ALPI weightings, based on a maximum daily traded
amount per stock of 10% of ADVT, and reflects the number of days required to trade each counter up to index
weights.
Proposed Days to Trade
Alpha Instrument Index Trade Size Stock ADVT
Weight @10% POV
SHC Shaftesbury Capital ALPI 1,1% R1 084 236 R17 971 968 0.60
HMN Hammerson Plc ALPI 1,9% R1 881 390 R29 250 960 0.64
NRP NEPI Rockcastle N.V. ALPI 15,8% R15 794 051 R227 346 379 0.69
SRE Sirius Real Estate Ltd ALPI 2,7% R2 722 759 R29 916 022 0.91
GRT Growthpoint Prop Ltd ALPI 14,4% R14 434 621 R156 043 447 0.93
HYP Hyprop Investments Ltd ALPI 5,5% R5 462 751 R48 106 654 1.14
MSP MAS PLC ALPI 2,9% R2 903 019 R25 424 747 1.14
DIB Dipula Properties Ltd (B) N/A 1,5% R1 531 197 R13 194 378 1.16
BTN Burstone Group Limited ALPI 1,7% R1 684 533 R14 019 880 1.20
SCD Schroder European REIT N/A 0,0% R27 381 R203 102 1.35
RES Resilient REIT Ltd ALPI 5,8% R5 817 547 R39 819 478 1.46
EQU Equites Property Fund ALPI 3,9% R3 882 894 R26 363 815 1.47
PHP Primary Health Properties ALPI 0,8% R834 367 R5 639 497 1.48
RDF Redefine Properties ALPI 10,0% R9 982 745 R66 469 305 1.50
VKE Vukile Property Fund ALPI 7,1% R7 060 022 R43 688 324 1.62
SSS Stor-Age Property REIT ALPI 1,9% R1 922 785 R10 426 468 1.84
FFB FORTRESS REAL EST INV B ALPI 7,9% R7 945 908 R38 628 506 2.06
SAC SA Corporate Real Estate Fund ALPI 2,3% R2 336 227 R11 271 904 2.07
LTE Lighthouse Properties plc ALPI 2,7% R2 740 547 R11 561 100 2.37
EMI Emira Property Fund ALPI 0,8% R781 027 R3 225 395 2.42
SEA Spear REIT N/A 0,8% R836 498 R3 376 745 2.48
OCT Octodec Investments N/A 0,6% R561 579 R2 222 162 2.53
FTB Fairvest Limited B ALPI 2,7% R2 706 807 R9 496 239 2.85
ATT Attacq Limited ALPI 3,1% R3 088 037 R10 500 613 2.94
SRI Supermarket Income REIT ALPI 0,9% R902 669 R1 436 859 6.28
AHR Assura ALPI 1,1% R1 074 404 R884 863 12.14
R 100 000 000
Table 5: Numbers of days required to trade a R100m portfolio based on a 10% of ADVT
The 'days to trade' model is largely dependent on the total position size that is required to align to ALPI weights.
At the same time, very small index weightings may also skew the analysis.
Some of the potential fledgling ALPI additions show a lower days-to-trade metric than existing small cap ALPI
constituents.
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4.10 Excessive individual weights
Respondents raised a risk around large managers holding stocks at benchmark weights. It is possible for a smaller
counter that a large fund holding a benchmark weight may end up holding an excessive weighting in that individual
counter. In extreme cases, this could trigger a minority offer requirement, but in less extreme cases could see the
managers portfolio holding being measured as restricted in line with the prevailing free float rules.
Consider for example a listed property allocation of R1bn that holds benchmark weights under an expanded ALPI
model. Table 6 below shows the percentage holding of each individual company's overall share register that would
be held by the single fund.
Alpha Instrument Index Fund holding in ZAR Ownership of Company
EMI Emira Property Fund ALPI R7 810 274.68 0.01%
DIB Dipula Properties Ltd (B) N/A R15 311 973.97 0.02%
OCT Octodec Investments N/A R5 615 791.10 0.02%
SHC Shaftesbury Capital ALPI R10 842 358.36 0.03%
SCD Schroder European REIT N/A R273 807.47 0.04%
BTN Burstone Group Limited ALPI R16 845 326.70 0.06%
ATT Attacq Limited ALPI R30 880 365.23 0.09%
AHR Assura ALPI R10 744 035.06 0.14%
NRP NEPI Rockcastle N.V. ALPI R157 940 509.34 0.16%
LTE Lighthouse Properties plc ALPI R27 405 474.03 0.17%
SEA Spear REIT N/A R8 364 983.58 0.21%
SRE Sirius Real Estate Ltd ALPI R27 227 590.09 0.22%
HMN Hammerson Plc ALPI R18 813 903.84 0.25%
PHP Primary Health Properties ALPI R8 343 669.16 0.25%
RES Resilient REIT Ltd ALPI R58 175 466.70 0.28%
SSS Stor-Age Property REIT ALPI R19 227 845.30 0.28%
GRT Growthpoint Prop Ltd ALPI R144 346 210.62 0.32%
RDF Redefine Properties ALPI R99 827 454.04 0.32%
MSP MAS PLC ALPI R29 030 188.83 0.32%
SAC SA Corporate Real Estate Fund ALPI R23 362 267.47 0.32%
SRI Supermarket Income REIT ALPI R9 026 689.51 0.32%
VKE Vukile Property Fund ALPI R70 600 217.56 0.33%
EQU Equites Property Fund ALPI R38 828 937.39 0.33%
FTB Fairvest Limited B ALPI R27 068 068.35 0.33%
FFB FORTRESS REAL EST INV B ALPI R79 459 080.99 0.34%
HYP Hyprop Investments Ltd ALPI R54 627 510.62 0.34%
R1 000 000 000.00
Table 6: Proposed fund holding on a R1bn portfolio
Measured against the free float adjusted share register, a R1bn fund would hold 0.34% of each individual property
company. This corresponds to the R1bn fund size relative to the total investable universe.
4.11 Capping
FTSE/JSE received responses from clients who were neither in support of nor against the proposal. Some of these
responses cited that the ALPI doesn't necessarily require more constituents or fewer constituents, but rather the
removal of the capping methodology. This is because the index was created for benchmarking and performance
tracking purposes for property companies, and a capped index doesn't capture the true performance of the
sector and increases turnover.
An uncapped version of the ALPI is currently available as the JI0035, but any expansion of the ALPI to include
fledglings would not be applied to the JI0035.
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5. Termination of SAPY and PCAP
FTSE/JSE expects to formally announce the termination of the existing SAPY and PCAP indices in due course. The
ALPI is currently seen as the successor index to the SPAY and PCAP for benchmark users, while the PROP is seen as
the successor index for tradable (product) users.
Market participants who currently use one of these indices for benchmarking purposes are therefore also
encouraged to consider the proposed amendments to the ALPI.
6. Next steps
This discussion document provides feedback from the November consultation together with further analysis. It is
intended to be read in conjunction with the November 2024 consultation document.
All market participants are encouraged to engage directly with FTSE/JSE to further develop any proposed changes
to the ALPI methodology and we invite both bilateral and industry conversations or submissions. These can be
arranged by engaging with the team directly using indices@jse.co.za by Monday 5 May 2025. All respondents are
requested to contextualise their views by providing their current ALPI usage together with AUM.
FTSE/JSE intends to formulate an updated proposal in the first half of 2025 for either consultation or
implementation, subject to formal announcement and notice periods.
Page 9 of 9
Date: 08-04-2025 05:45:00
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