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Market Consultation - 20170210 Market Consultation Property Indices
Market Consultation Property Indices
FTSE/JSE Africa Index Series
09 December 2016
1. Introduction
FTSE/JSE has embarked on a project to improve the current FTSE/JSE Listed Property Indices and in March 2015,
a broad consultation to solicit comments from the market regarding the current offering was conducted. A
significant number of responses were received from market participants and a proposed index offering has been
put together in response to the feedback obtained.
2. Proposed Offering
After considering the feedback received from the market, FTSE/JSE has crafted a proposed index offering which
involves the discontinuation of the J256 and the J255 indices. In addition, no changes are made to the indices
that are based on the Industry Classification Benchmark (ICB) Sector structure, namely the J863, J867, JS84 and
JS85 indices. Furthermore, the SAPY and PCAP are replaced by a set of 3 new property benchmarks, as defined
below. Each of the indices is derived from the All Share Index using the prevailing rules.
2.1 SA REIT Index
An SA REIT index caters for investors that want specific exposure to SA REITs as it would exclude all foreign
domiciled property companies (which are currently included in the J863 Index). Constituents of the index will be
derived from the All Share Index (J203). Any constituent of the All Share that is classified as SA REIT by the JSE
will be included in the SA REIT Index. The number of constituents in the index will not be fixed.
The index weight will be based on the full market capitalisation and not SWIX market capitalisation. Since all
constituents are expected to be primary listed on the JSE, a SWIX market capitalisation approach is unlikely to
make a significant impact to weighting. Capping may be required quarterly to prevent concentration among
constituents with a dominant weight. Table 1 below, which bears 15 constituents, provides an indication of the
constituents of the index, based on the new core index methodology at the September 2016 review.
Weight in Weight in Weight in
Secondary Weight in
Review Alpha Instrument Name Index (10% Index Index
Line Index
Cap) (15% Cap) (20% Cap)
GRT Growthpoint Prop Ltd N 24.33% 10.00% 15.00% 20.00%
RDF Redefine Properties N 18.12% 10.00% 15.00% 19.16%
HYP Hyprop Investments Ltd N 10.64% 10.00% 13.49% 11.25%
Page 1 of 16
Weight in Weight in Weight in
Secondary Weight in
Review Alpha Instrument Name Index (10% Index Index
Line Index
Cap) (15% Cap) (20% Cap)
Sep '16 RES Resilient REIT Ltd N 10.62% 10.00% 13.46% 11.23%
FFB Fortress Income Fund Ltd. (B) Y 8.05% 5.69% 8.53% 8.51%
FFA Fortress Income Fund Ltd. (A) N 6.11% 4.31% 6.47% 6.46%
SAC SA Corporate Real Estate Fund N 4.49% 10.00% 5.70% 4.75%
VKE Vukile Property Fund N 4.02% 9.12% 5.10% 4.25%
AWA Arrowhead Properties N 2.87% 6.51% 3.64% 3.03%
IPF Investec Property Fund ltd N 2.23% 5.06% 2.83% 2.36%
EMI Emira Property Fund N 2.13% 4.84% 2.71% 2.26%
REB Rebosis Property Fund N 1.69% 3.83% 2.14% 1.79%
DLT Delta Property Fund N 1.40% 3.17% 1.77% 1.48%
APF Accelerate Property Fund N 1.30% 2.94% 1.64% 1.37%
OCT Octodec Investments N 1.23% 2.80% 1.57% 1.31%
TEX Texton Property Fund N 0.76% 1.73% 0.97% 0.81%
Table 1: SA REIT Index Constituents
The historically modelled SA REIT index constituents, based on the new core index methodology, are provided in
Appendix 1.
2.2 All Property Index
The All Property Index serves as a broad benchmark of all listed property companies that are available to trade
on the JSE. This index is designed to include all the property companies in the All Share Index, regardless of
primary listing status, which will spread the weighting amongst a number of constituents and therefore reduce
the concentration of the current offering. Any constituent of the All Share that is classified as Real Estate by the
Industry Classification Benchmark (ICB) will be included in the All Property Index. The number of constituents in
the index will not be fixed.
Weighting of the index will be based on SWIX market capitalisation. The use of SWIX market capitalisation will
reduce the weighting of foreign companies in the index, which may otherwise lead to concentration concerns.
Capping may further be required to prevent excessive concentration among constituents with a larger weight.
Table 2 below, which bears 29 constituents, provides an indication of the index constituents based on the new
core index methodology at the September 2016 review. The SWIX uncapped and SWIX 15% capped weights are
provided with a comparison to the current SAPY index.
SWIX
SWIX
Weight in Weight in
Date Alpha Instrument Name Index Weight in
Index SAPY
Index
(15% Cap)
GRT Growthpoint Prop Ltd LRGC 15.81% 15.00% 18.85%
RDF Redefine Properties LRGC 12.46% 12.58% 14.85%
FFB Fortress Income Fund Ltd. (B) LRGC 5.53% 5.58% 6.59%
Sep '16 FFA Fortress Income Fund Ltd. (A) LRGC 4.23% 4.27% 5.04%
NEP New Europe Property Investment Plc MIDC 8.47% 8.55% 10.10%
HYP Hyprop Investments Ltd MIDC 7.36% 7.43% 8.78%
RES Resilient REIT Ltd MIDC 7.32% 7.39% 8.73%
Page 2 of 16
SWIX
SWIX
Weight in Weight in
Date Alpha Instrument Name Index Weight in
Index SAPY
Index
(15% Cap)
ITU Intu Properties Plc LRGC 5.55% 5.60%
CCO Capital & Counties Properties PLC LRGC 5.26% 5.31%
ROC Rockcastle Global Real Estate Co Ltd MIDC 3.76% 3.80% 4.49%
SAC SA Corporate Real Estate Fund MIDC 3.06% 3.09% 3.65%
VKE Vukile Property Fund MIDC 2.74% 2.76% 3.26%
ATT Attacq Limited MIDC 2.69% 2.71% 3.20%
RPL Redefine International PLC MIDC 2.08% 2.10%
AWA Arrowhead Properties SMLC 1.98% 2.00% 2.36%
IPF Investec Property Fund ltd SMLC 1.56% 1.57% 1.85%
EMI Emira Property Fund SMLC 1.48% 1.50% 1.77%
REB Rebosis Property Fund SMLC 1.17% 1.18% 1.39%
DLT Delta Property Fund SMLC 0.95% 0.96%
PIV Pivotal Fund Ltd SMLC 0.91% 0.91% 1.08%
OCT Octodec Investments SMLC 0.89% 0.90% 1.06%
MSP MAS Real Estate Inc SMLC 0.88% 0.89% 1.05%
APF Accelerate Property Fund SMLC 0.87% 0.88% 1.04%
IAP Investec Australia Property Fund SMLC 0.76% 0.76%
TEX Texton Property Fund SMLC 0.53% 0.53%
BWN Balwin Properties Pty Ltd SMLC 0.49% 0.49%
STP Stenprop Ltd SMLC 0.38% 0.38% 0.45%
TDH Tradehold SMLC 0.36% 0.37% 0.44%
SCD Schroder European Real Estate Investment Trust SMLC 0.34% 0.34%
CRP Capital & Regional PLC SMLC 0.16% 0.16%
Table 2: All Property Index Constituents
The historically modelled All Property Index constituents, based on the new core index methodology, are
provided in Appendix 2.
2.3 Tradable Property Index
The Tradeable Property Index consists of constituents of the new Large & Mid Cap Index, regardless of primary
listing location, that are classified as Real Estate by the Industry Classification Benchmark (ICB). Excluding
constituents of the Small Cap will reduce liquidity concerns in the tail of the index. The number of constituents in
the index will not be fixed.
The index will be weighted by SWIX market capitalisation. As such, inward listed companies will be included but
at a reduced weight. Capping may be required to prevent concentration among constituents with a larger
weight. Table 3 below, which bears 13 constituents, provides an indication of the constituents of the index,
based on the new core index methodology at the September 2016 review. The SWIX uncapped and SWIX 15%
capped weights are provided with a comparison to the current SAPY index.
SWIX SWIX Weight
Weight in
Date Alpha Instrument Name Index Weight in in Index
SAPY
Index (15% Cap)
Sep '16 GRT Growthpoint Prop Ltd LRGC 18.32% 15.00% 18.85%
Page 3 of 16
SWIX SWIX Weight
Weight in
Date Alpha Instrument Name Index Weight in in Index
SAPY
Index (15% Cap)
RDF Redefine Properties LRGC 14.43% 15.00% 14.85%
FFB Fortress Income Fund Ltd. (B) LRGC 6.41% 6.67% 6.59%
FFA Fortress Income Fund Ltd. (A) LRGC 4.90% 5.10% 5.04%
NEP New Europe Property Investment Plc MIDC 9.82% 10.22% 10.10%
HYP Hyprop Investments Ltd MIDC 8.53% 8.88% 8.78%
RES Resilient REIT Ltd MIDC 8.48% 8.83% 8.73%
ITU Intu Properties Plc LRGC 6.43% 6.69%
CCO Capital & Counties Properties PLC LRGC 6.09% 6.34%
ROC Rockcastle Global Real Estate Co Ltd MIDC 4.36% 4.54% 4.49%
SAC SA Corporate Real Estate Fund MIDC 3.55% 3.69% 3.65%
VKE Vukile Property Fund MIDC 3.17% 3.30% 3.26%
ATT Attacq Limited MIDC 3.11% 3.24% 3.20%
RPL Redefine International PLC MIDC 2.40% 2.50%
Table 3: Tradable Property Index Constituents
The historically modelled Tradable Property Index constituents, based on the new core index methodology, are
provided in Appendix 3.
3. Proposed Implementation
The existing SAPY and PCAP index offering will be replaced by three new indices, namely the SA REIT, All
Property and Tradable Property indices and there are different ways to achieve this. The major impact is that a
broad range of index users are using the existing SAPY index for investment mandates, performance
benchmarks, or tracking licenses. It can be an expensive and time-consuming exercise for clients to change
these mandates, often involving polling investors. As such, the existing SAPY should ideally be converted into
the most appealing of the three new indices such that the majority of existing mandates do not require
amendment.
The existing SAPY and PCAP indices can have their rules amended, with their index code and name remaining
the same or new indices can be created. The key question is which of the indices should have their rules
amended, and where should new indices be created. Table 4 below provides five viable implementation options,
using various combinations of new indices. For example, under Option 3, the SAPY (J253) is converted to the
new All Property Index (no cap) and the PCAP (J254) is converted to the new Tradable Index (capped at 15%),
while the SA REIT is introduced as a new index.
Offering Option 1 Option 2 Option 3 Option 4 Option 5
SA REIT Index New New New J253 New
Uncapped All Property Index N/A N/A J253 N/A N/A
Capped All Property Index J254 J253 N/A J254 New
Capped Tradable Index New J254 J254 New J254
Existing SAPY Methodology J253* N/A N/A N/A J253*
Table 4: Implementation Options
Page 4 of 16
* Option 1 and Option 5 allow for the SAPY to continue unchanged using the existing methodology for a period
of time. This will allow existing index users to choose which of the three indices to convert to within a longer
time period, but will require that ALL SAPY users go through the conversion process.
4. Responding to the consultation
It is important to FTSE/JSE to be aware of the impact on clients as well as any unintended consequences of the
change. Therefore, FTSE/JSE requests comments on the proposed offering and implementation options included
in this market consultation.
Please provide us with your comments and suggestions by 10 February 2017 to the following email address:
indices@jse.co.za
All feedback received by the cut-off date will be carefully considered before making any final decisions, and
presented at the FTSE/JSE Advisory Committee Meeting in March 2017. When determining the timeline for the
implementation of any decision, FTSE/JSE is mindful of the broad usage of these indices in the market and the
need to provide appropriate notice.
This document is not confidential and should be distributed as widely as possible to all stakeholders.
Yours Sincerely,
Indices Department
Page 5 of 16
Appendix 1:Backcast SA REIT Index Constituents
Weight in Weight in Weight in
Secondary Weight in
Review Alpha Instrument Name Index Index (15% Index (20%
Line Index
(10% Cap) Cap) Cap)
GRT Growthpoint Prop Ltd N 24.33% 10.00% 15.00% 20.00%
RDF Redefine Properties N 18.12% 10.00% 15.00% 19.16%
HYP Hyprop Investments Ltd N 10.64% 10.00% 13.49% 11.25%
RES Resilient REIT Ltd N 10.62% 10.00% 13.46% 11.23%
FFB Fortress Income Fund Ltd. (B) Y 8.05% 5.69% 8.53% 8.51%
FFA Fortress Income Fund Ltd. (A) N 6.11% 4.31% 6.47% 6.46%
SAC SA Corporate Real Estate Fund N 4.49% 10.00% 5.70% 4.75%
VKE Vukile Property Fund N 4.02% 9.12% 5.10% 4.25%
Sep '16
AWA Arrowhead Properties N 2.87% 6.51% 3.64% 3.03%
IPF Investec Property Fund ltd N 2.23% 5.06% 2.83% 2.36%
EMI Emira Property Fund N 2.13% 4.84% 2.71% 2.26%
REB Rebosis Property Fund N 1.69% 3.83% 2.14% 1.79%
DLT Delta Property Fund N 1.40% 3.17% 1.77% 1.48%
APF Accelerate Property Fund N 1.30% 2.94% 1.64% 1.37%
OCT Octodec Investments N 1.23% 2.80% 1.57% 1.31%
TEX Texton Property Fund N 0.76% 1.73% 0.97% 0.81%
GRT Growthpoint Prop Ltd N 24.79% 10.00% 15.00% 20.00%
RDF Redefine Properties Ltd N 18.05% 10.00% 15.00% 19.20%
RES Resilient REIT Limited N 13.46% 10.00% 15.00% 14.32%
FFA Fortress Inc Fund Ltd A N 4.57% 3.55% 5.32% 4.87%
FFB Fortress Inc Fund Ltd B Y 8.33% 6.45% 9.68% 8.86%
HYP Hyprop Inv Ltd N 10.49% 10.00% 13.63% 11.16%
SAC SA Corp Real Estate Ltd N 4.11% 10.00% 5.33% 4.37%
Mar '16 VKE Vukile Property Fund Ltd N 3.86% 9.51% 5.01% 4.11%
EMI Emira Property Fund Ltd N 2.85% 7.02% 3.70% 3.03%
IPF Investec Property Fund Ltd N 2.34% 5.76% 3.04% 2.49%
REB Rebosis Property Fund Ltd N 1.81% 4.45% 2.35% 1.92%
AWA Arrowhead Properties Ltd N 1.61% 3.97% 2.09% 1.71%
OCT Octodec Invest Ltd N 1.29% 3.18% 1.68% 1.37%
DLT Delta Property Fund Ltd N 1.29% 3.17% 1.67% 1.37%
APF Accelerate Prop Fund Ltd N 1.15% 2.83% 1.49% 1.22%
GRT Growthpoint Prop Ltd N 28.38% 10.00% 15.00% 20.00%
RDF Redefine Properties Ltd N 20.95% 10.00% 15.00% 20.00%
HYP Hyprop Inv Ltd N 12.56% 10.00% 15.00% 14.88%
RES Resilient Prop Inc Fund N 11.64% 10.00% 15.00% 13.78%
VKE Vukile Property Fund Ltd N 4.51% 10.00% 6.82% 5.35%
Sep '15 SAC SA Corp Real Estate Ltd N 4.08% 10.00% 6.16% 4.83%
AWA Arrowhead Properties A N 1.78% 3.99% 2.69% 2.11%
AWB Arrowhead Properties B Y 1.86% 4.16% 2.81% 2.20%
EMI Emira Property Fund Ltd N 3.29% 7.37% 4.97% 3.90%
FFA Fortress Inc Fund Ltd A N 1.42% 3.17% 2.14% 1.68%
FFB Fortress Inc Fund Ltd B Y 1.45% 3.24% 2.19% 1.71%
Page 6 of 16
Weight in Weight in Weight in
Secondary Weight in
Review Alpha Instrument Name Index Index (15% Index (20%
Line Index
(10% Cap) Cap) Cap)
REB Rebosis Property Fund Ltd N 2.05% 4.59% 3.10% 2.43%
DLT Delta Property Fund Ltd N 1.78% 3.99% 2.69% 2.11%
OCT Octodec Invest Ltd N 1.51% 3.38% 2.28% 1.79%
IPF Investec Property Fund Ltd N 1.41% 3.16% 2.14% 1.67%
APF Accelerate Prop Fund Ltd N 1.32% 2.95% 1.99% 1.56%
GRT Growthpoint Prop Ltd N 29.89% 10.00% 15.00% 20.00%
RDF Redefine Properties Ltd N 20.23% 10.00% 15.00% 20.00%
HYP Hyprop Inv Ltd N 12.35% 10.00% 15.00% 14.86%
RES Resilient Prop Inc Fund N 9.72% 10.00% 14.24% 11.69%
SAC SA Corp Real Estate Fund N 4.87% 10.00% 7.14% 5.86%
VKE Vukile Property Fund Ltd N 4.86% 10.00% 7.12% 5.85%
EMI Emira Property Fund N 3.84% 8.49% 5.63% 4.62%
Mar '15 AWA Arrowhead Properties A N 1.79% 3.97% 2.63% 2.16%
AWB Arrowhead Properties B Y 1.80% 3.98% 2.63% 2.16%
FFA Fortress Inc Fund Ltd A N 1.70% 3.76% 2.49% 2.05%
FFB Fortress Inc Fund Ltd B Y 1.53% 3.38% 2.24% 1.84%
REB Rebosis Property Fund Ltd N 2.22% 4.92% 3.26% 2.68%
FPT Fountainhead Prop Trust N 2.00% 4.43% 2.94% 2.41%
OCT Octodec Invest Ltd N 1.72% 3.81% 2.52% 2.07%
IPF Investec Property Fund Ltd N 1.47% 3.25% 2.15% 1.77%
GRT Growthpoint Prop Ltd N 31.54% 10.00% 15.00% 20.00%
RDF Redefine Properties Ltd N 18.92% 10.00% 15.00% 20.00%
HYP Hyprop Inv Ltd N 11.80% 10.00% 15.00% 14.29%
RES Resilient Prop Inc Fund N 10.26% 10.00% 15.00% 12.43%
VKE Vukile Property Fund Ltd N 5.19% 10.00% 7.55% 6.28%
SAC SA Corp Real Estate Fund N 4.45% 10.00% 6.48% 5.39%
EMI Emira Property Fund N 4.00% 8.97% 5.82% 4.84%
Sep '14 FFA Fortress Inc Fund Ltd A N 2.95% 6.62% 4.30% 3.58%
FFB Fortress Inc Fund Ltd B Y 0.60% 1.35% 0.88% 0.73%
AWA Arrowhead Properties A N 1.74% 3.90% 2.53% 2.11%
AWB Arrowhead Properties B Y 1.73% 3.87% 2.51% 2.09%
FPT Fountainhead Prop Trust N 2.11% 4.73% 3.07% 2.56%
REB Rebosis Property Fund Ltd N 2.10% 4.70% 3.06% 2.54%
IPF Investec Property Fund Ltd N 1.62% 3.64% 2.36% 1.97%
PMM Premium Properties Ltd N 0.99% 2.22% 1.44% 1.20%
GRT Growthpoint Prop Ltd N 27.38% 10.00% 15.00% 20.00%
RDF Redefine Properties Ltd N 18.19% 10.00% 15.00% 20.00%
HYP Hyprop Inv Ltd N 12.13% 10.00% 15.00% 13.37%
CPL Capital Property Fund N 8.66% 10.00% 11.26% 9.55%
Mar '14
RES Resilient Prop Inc Fund N 8.40% 10.00% 10.92% 9.26%
VKE Vukile Property Fund Ltd N 5.33% 10.00% 6.93% 5.88%
SAC SA Corp Real Estate Fund N 4.55% 9.13% 5.91% 5.01%
EMI Emira Property Fund N 3.87% 7.77% 5.03% 4.26%
Page 7 of 16
Weight in Weight in Weight in
Secondary Weight in
Review Alpha Instrument Name Index Index (15% Index (20%
Line Index
(10% Cap) Cap) Cap)
FFA Fortress Inc Fund Ltd A N 2.63% 5.28% 3.42% 2.90%
FFB Fortress Inc Fund Ltd B Y 0.47% 0.94% 0.61% 0.51%
REB Rebosis Property Fund Ltd N 2.47% 4.96% 3.21% 2.72%
SYC Sycom Property Fund N 2.25% 4.51% 2.92% 2.48%
FPT Fountainhead Prop Trust N 2.18% 4.38% 2.84% 2.41%
IPF Investec Property Fund Ltd N 1.51% 3.03% 1.96% 1.66%
Appendix 1: Historical SA REIT Index constituents based on New Index Methodology
Appendix 2: Backcast All Property Index Constituents
SWIX SWIX 15%
SWIX SWIX &
Weight in Weight Cap &
Date Alpha Instrument Name Index Weight SAPY
Index in SAPY SAPY
in Index Difference
(15% Cap) Difference
GRT Growthpoint Prop Ltd LRGC 15.81% 15.00% 18.85% 3.03% 3.85%
RDF Redefine Properties LRGC 12.46% 12.58% 14.85% 2.39% 2.27%
FFB Fortress Income Fund Ltd. (B) LRGC 5.53% 5.58% 6.59% 1.06% 1.01%
FFA Fortress Income Fund Ltd. (A) LRGC 4.23% 4.27% 5.04% 0.81% 0.77%
NEP New Europe Property Investment Plc MIDC 8.47% 8.55% 10.10% 1.63% 1.54%
HYP Hyprop Investments Ltd MIDC 7.36% 7.43% 8.78% 1.41% 1.34%
RES Resilient REIT Ltd MIDC 7.32% 7.39% 8.73% 1.40% 1.33%
ITU Intu Properties Plc LRGC 5.55% 5.60% -5.55% -5.60%
CCO Capital & Counties Properties PLC LRGC 5.26% 5.31% -5.26% -5.31%
ROC Rockcastle Global Real Estate Co Ltd MIDC 3.76% 3.80% 4.49% 0.72% 0.69%
SAC SA Corporate Real Estate Fund MIDC 3.06% 3.09% 3.65% 0.59% 0.56%
VKE Vukile Property Fund MIDC 2.74% 2.76% 3.26% 0.52% 0.50%
ATT Attacq Limited MIDC 2.69% 2.71% 3.20% 0.52% 0.49%
RPL Redefine International PLC MIDC 2.08% 2.10% -2.08% -2.10%
AWA Arrowhead Properties SMLC 1.98% 2.00% 2.36% 0.38% 0.36%
Sep '16 IPF Investec Property Fund ltd SMLC 1.56% 1.57% 1.85% 0.30% 0.28%
EMI Emira Property Fund SMLC 1.48% 1.50% 1.77% 0.28% 0.27%
REB Rebosis Property Fund SMLC 1.17% 1.18% 1.39% 0.22% 0.21%
DLT Delta Property Fund SMLC 0.95% 0.96% -0.95% -0.96%
PIV Pivotal Fund Ltd SMLC 0.91% 0.91% 1.08% 0.17% 0.17%
OCT Octodec Investments SMLC 0.89% 0.90% 1.06% 0.17% 0.16%
MSP MAS Real Estate Inc SMLC 0.88% 0.89% 1.05% 0.17% 0.16%
APF Accelerate Property Fund SMLC 0.87% 0.88% 1.04% 0.17% 0.16%
IAP Investec Australia Property Fund SMLC 0.76% 0.76% -0.76% -0.76%
TEX Texton Property Fund SMLC 0.53% 0.53% -0.53% -0.53%
BWN Balwin Properties Pty Ltd SMLC 0.49% 0.49% -0.49% -0.49%
STP Stenprop Ltd SMLC 0.38% 0.38% 0.45% 0.07% 0.07%
TDH Tradehold SMLC 0.36% 0.37% 0.44% 0.07% 0.07%
Schroder European Real Estate
SCD SMLC 0.34% 0.34% -0.34% -0.34%
Investment Trust
CRP Capital & Regional PLC SMLC 0.16% 0.16% -0.16% -0.16%
Page 8 of 16
SWIX SWIX 15%
SWIX SWIX &
Weight in Weight Cap &
Date Alpha Instrument Name Index Weight SAPY
Index in SAPY SAPY
in Index Difference
(15% Cap) Difference
GRT Growthpoint Prop Ltd LRGC 16.01% 15.00% 19.05% 3.04% 4.05%
RDF Redefine Properties Ltd MIDC 12.55% 11.07% 14.93% 2.38% 3.86%
NEP New Europe Prop Inv plc MIDC 9.76% 8.61% 11.61% 1.85% 3.00%
RES Resilient REIT Limited MIDC 8.67% 7.65% 10.31% 1.65% 2.66%
FFA Fortress Inc Fund Ltd A MIDC 2.89% 2.55% 3.44% 0.55% 0.89%
FFB Fortress Inc Fund Ltd B MIDC 5.05% 4.46% 6.01% 0.96% 1.55%
ITU Intu Properties plc LRGC 7.35% 6.49%
HYP Hyprop Inv Ltd MIDC 7.34% 6.48% 8.73% 1.39% 2.26%
CCO Capital&Counties Prop plc LRGC 5.37% 4.74%
ROC Rockcastle Global Real Estate Co Ltd MIDC 3.94% 3.48% 4.69% 0.75% 1.21%
ATT Attacq Limited MIDC 2.93% 2.59% 3.49% 0.56% 0.90%
RPL Redefine International P.L.C MIDC 2.73% 2.41%
Mar '16
SAC SA Corp Real Estate Ltd SMC 2.57% 2.27% 3.06% 0.49% 0.79%
VKE Vukile Property Fund Ltd SMC 2.43% 2.15% 2.89% 0.46% 0.75%
EMI Emira Property Fund Ltd SMC 1.58% 1.39% 1.88% 0.30% 0.49%
AWA Arrowhead Properties Ltd SMC 1.57% 1.89% 1.86% 0.30% -0.03%
IPF Investec Property Fund Ltd SMC 1.45% 1.28% 1.72% 0.27% 0.44%
REB Rebosis Property Fund Ltd SMC 1.19% 1.05% 1.42% 0.23% 0.37%
OCT Octodec Invest Ltd SMC 0.95% 0.84% 1.13% 0.18% 0.29%
PIV The Pivotal Fund Ltd SMC 0.93% 4.97% 1.10% 0.18% -3.87%
MSP MAS Real Estate Inc. SMC 0.81% 0.72% 0.97% 0.15% 0.25%
DLT Delta Property Fund Ltd SMC 0.80% 6.02%
APF Accelerate Prop Fund Ltd SMC 0.76% 1.56% 0.90% 0.14% -0.66%
STP Stenprop Limited SMC 0.37% 0.33% 0.44% 0.07% 0.11%
GRT Growthpoint Prop Ltd LRGC 16.81% 15.00% 20.82% 4.01% 5.82%
RDF Redefine Properties Ltd MIDC 12.36% 10.74% 15.31% 2.95% 4.58%
ITU Intu Properties plc LRGC 8.42% 7.31%
HYP Hyprop Inv Ltd MIDC 7.45% 6.47% 9.22% 1.78% 2.76%
CCO Capital&Counties Prop plc LRGC 7.21% 6.26%
RES Resilient Prop Inc Fund MIDC 7.10% 6.17% 8.80% 1.69% 2.63%
NEP New Europe Prop Inv plc MIDC 6.54% 5.68% 8.10% 1.56% 2.42%
CPF Capital Property Fund Ltd MIDC 6.10% 5.30% 7.56% 1.46% 2.26%
ATT Attacq Limited MIDC 3.43% 2.98% 4.25% 0.82% 1.27%
ROC Rockcastle Global Real Estate Co Ltd MIDC 3.14% 2.73% 3.89% 0.75% 1.16%
Sep '15
VKE Vukile Property Fund Ltd SMC 2.83% 2.46% 3.51% 0.67% 1.05%
RPL Redefine International P.L.C MIDC 2.64% 2.29%
SAC SA Corp Real Estate Ltd SMC 2.63% 2.29% 3.26% 0.63% 0.97%
AWA Arrowhead Properties A SMC 1.09% 0.94% 1.35% 0.26% 0.40%
AWB Arrowhead Properties B SMC 1.09% 0.95% 1.35% 0.26% 0.40%
EMI Emira Property Fund Ltd SMC 1.98% 1.72% 2.46% 0.47% 0.73%
FFA Fortress Inc Fund Ltd A MIDC 0.89% 0.77% 1.10% 0.21% 0.33%
FFB Fortress Inc Fund Ltd B MIDC 0.85% 0.74% 1.06% 0.20% 0.32%
MSP MAS Real Estate Inc. SMC 1.21% 1.93%
REB Rebosis Property Fund Ltd SMC 1.19% 1.97% 1.47% 0.28% -0.50%
Page 9 of 16
SWIX SWIX 15%
SWIX SWIX &
Weight in Weight Cap &
Date Alpha Instrument Name Index Weight SAPY
Index in SAPY SAPY
in Index Difference
(15% Cap) Difference
IPF Investec Property Fund Ltd SMC 1.18% 1.02% 1.46% 0.28% 0.44%
PIV The Pivotal Fund Ltd SMC 1.05% 0.91% 1.30% 0.25% 0.39%
DLT Delta Property Fund Ltd SMC 1.03% 5.47% 1.28% 0.25% -4.19%
OCT Octodec Invest Ltd SMC 0.95% 3.50% 1.17% 0.23% -2.33%
APF Accelerate Prop Fund Ltd SMC 0.82% 4.41% 1.01% 0.19% -3.40%
GRT Growthpoint Prop Ltd LRGC 16.25% 15.00% 19.82% 3.57% 4.82%
RDF Redefine Properties Ltd MIDC 12.17% 11.08% 15.00% 2.83% 3.92%
ITU Intu Properties plc LRGC 8.56% 7.79%
HYP Hyprop Inv Ltd MIDC 7.72% 7.03% 9.41% 1.70% 2.39%
NEP New Europe Prop Inv plc MIDC 6.93% 6.31% 8.45% 1.52% 2.14%
RES Resilient Prop Inc Fund MIDC 6.39% 5.81% 7.79% 1.40% 1.98%
CCO Capital&Counties Prop plc LRGC 6.11% 5.56%
CPF Capital Property Fund Ltd MIDC 5.80% 5.28% 7.08% 1.28% 1.80%
ATT Attacq Limited MIDC 4.18% 3.80% 5.09% 0.92% 1.29%
ROC Rockcastle Global Real Estate Co Ltd MIDC 3.37% 3.06% 4.11% 0.74% 1.04%
VKE Vukile Property Fund Ltd SMC 2.68% 2.44% 3.27% 0.59% 0.83%
SAC SA Corp Real Estate Fund SMC 2.68% 2.44% 3.27% 0.59% 0.83%
Mar '15 RPL Redefine International P.L.C SMC 2.60% 2.37%
EMI Emira Property Fund SMC 2.11% 1.92% 2.57% 0.46% 0.65%
AWA Arrowhead Properties A SMC 1.04% 0.95% 1.27% 0.23% 0.32%
AWB Arrowhead Properties B SMC 1.04% 0.95% 1.27% 0.23% 0.32%
ACP Acucap Properties Ltd MIDC 1.98% 1.80% 2.42% 0.44% 0.61%
FFA Fortress Inc Fund Ltd A MIDC 0.94% 0.86% 1.15% 0.21% 0.29%
FFB Fortress Inc Fund Ltd B MIDC 0.95% 0.86% 1.15% 0.21% 0.29%
REB Rebosis Property Fund Ltd SMC 1.28% 2.67% 1.56% 0.28% -1.11%
MSP MAS Real Estate Inc. SMC 1.19% 1.89%
PIV The Pivotal Fund Ltd SMC 1.08% 4.58%
FPT Fountainhead Prop Trust SMC 1.06% 0.97% 1.30% 0.23% 0.33%
OCT Octodec Invest Ltd SMC 1.05% 2.87% 1.28% 0.23% -1.58%
IPF Investec Property Fund Ltd SMC 0.86% 1.72% 1.05% 0.19% -0.67%
GRT Growthpoint Prop Ltd LRGC 20.23% 15.00% 22.45% 2.22% 7.45%
RDF Redefine Properties Ltd MIDC 12.70% 13.53% 14.24% 1.54% 0.71%
ITU Intu Properties plc LRGC 11.89% 12.67%
HYP Hyprop Inv Ltd MIDC 8.42% 8.97% 9.35% 0.93% 0.37%
NEP New Europe Prop Inv plc MIDC 7.18% 7.65% 7.97% 0.79% 0.32%
RES Resilient Prop Inc Fund MIDC 7.13% 7.60% 7.92% 0.78% 0.32%
Sep '14 CCO Capital&Counties Prop plc LRGC 5.18% 5.52%
ATT Attacq Limited SMC 3.39% 3.61% 3.76% 0.37% 0.15%
VKE Vukile Property Fund Ltd SMC 3.37% 3.59% 3.74% 0.37% 0.15%
SAC SA Corp Real Estate Fund SMC 3.29% 3.50% 3.65% 0.36% 0.15%
RPL Redefine International P.L.C SMC 3.04% 3.24%
EMI Emira Property Fund SMC 2.69% 2.87% 2.99% 0.30% 0.12%
ACP Acucap Properties Ltd SMC 2.38% 2.53% 2.64% 0.26% 0.11%
Page 10 of 16
SWIX SWIX 15%
SWIX SWIX &
Weight in Weight Cap &
Date Alpha Instrument Name Index Weight SAPY
Index in SAPY SAPY
in Index Difference
(15% Cap) Difference
FFA Fortress Inc Fund Ltd A SMC 2.00% 2.13% 2.22% 0.22% 0.09%
FFB Fortress Inc Fund Ltd B SMC 0.33% 0.35%
AWA Arrowhead Properties A SMC 1.15% 1.22% 1.28% 0.13% 0.05%
AWB Arrowhead Properties B SMC 1.14% 1.22% 1.27% 0.13% 0.05%
FPT Fountainhead Prop Trust SMC 1.38% 1.47% 1.53% 0.15% 0.06%
REB Rebosis Property Fund Ltd SMC 1.36% 1.45% 1.51% 0.15% 0.06%
IPF Investec Property Fund Ltd SMC 1.04% 1.11% 1.16% 0.11% 0.05%
PMM Premium Properties Ltd SMC 0.72% 0.76%
GRT Growthpoint Prop Ltd LRGC 19.39% 15.00% 22.43% 3.04% 7.43%
RDF Redefine Properties Ltd MIDC 13.03% 13.74% 15.23% 2.20% 1.49%
ITU Intu Properties plc LRGC 9.25% 9.76%
HYP Hyprop Inv Ltd MIDC 8.16% 8.60% 9.44% 1.28% 0.83%
CPL Capital Property Fund MIDC 6.15% 6.48% 7.11% 0.96% 0.63%
RES Resilient Prop Inc Fund MIDC 5.96% 6.29% 6.90% 0.93% 0.61%
CCO Capital&Counties Prop plc LRGC 5.66% 5.97%
NEP New Europe Prop Inv plc MIDC 4.73% 4.99% 5.47% 0.74% 0.48%
VKE Vukile Property Fund Ltd SMC 3.81% 4.02% 4.41% 0.60% 0.39%
ATT Attacq Limited SMC 3.33% 3.51% 3.85% 0.52% 0.34%
Mar '14 SAC SA Corp Real Estate Fund SMC 3.30% 3.49% 3.82% 0.52% 0.34%
RPL Redefine International P.L.C SMC 3.13% 3.30%
ACP Acucap Properties Ltd SMC 2.88% 3.03% 3.33% 0.45% 0.29%
EMI Emira Property Fund SMC 2.70% 2.85% 3.12% 0.42% 0.28%
FFA Fortress Inc Fund Ltd A SMC 1.74% 1.84% 2.02% 0.27% 0.18%
FFB Fortress Inc Fund Ltd B SMC 0.29% 0.31%
REB Rebosis Property Fund Ltd SMC 1.63% 1.72% 1.89% 0.26% 0.17%
FPT Fountainhead Prop Trust SMC 1.55% 1.63% 1.79% 0.24% 0.16%
SYC Sycom Property Fund SMC 1.54% 1.62% 1.78% 0.24% 0.16%
IPF Investec Property Fund Ltd SMC 1.05% 1.10% 1.21% 0.16% 0.11%
PMM Premium Properties Ltd SMC 0.71% 0.75% 0.82% 0.11% 0.07%
GRT Growthpoint Prop Ltd LRGC 21.82% 15.00% 24.26% 2.44% 9.26%
RDF Redefine Properties Ltd MIDC 14.24% 15.00% 15.99% 1.76% 0.99%
ITU Intu Properties plc LRGC 9.11% 9.97%
HYP Hyprop Inv Ltd MIDC 7.80% 8.53% 8.67% 0.87% 0.13%
CPL Capital Property Fund MIDC 7.09% 7.77% 7.89% 0.79% 0.12%
RES Resilient Prop Inc Fund MIDC 6.18% 6.76% 6.87% 0.69% 0.11%
CCO Capital&Counties Prop plc MIDC 5.22% 5.72%
Sep '13
SAC SA Corp Real Estate Fund SMC 3.62% 3.96% 4.02% 0.40% 0.06%
ACP Acucap Properties Ltd SMC 3.58% 3.91% 3.98% 0.40% 0.06%
NEP New Europe Prop Inv plc MIDC 3.55% 3.89% 3.95% 0.40% 0.06%
VKE Vukile Property Fund Ltd SMC 3.55% 3.88% 3.94% 0.40% 0.06%
EMI Emira Property Fund SMC 3.25% 3.56% 3.61% 0.36% 0.06%
FPT Fountainhead Prop Trust MIDC 2.56% 2.81% 2.85% 0.29% 0.04%
REB Rebosis Property Fund Ltd SMC 1.84% 2.02% 2.05% 0.21% 0.03%
Page 11 of 16
SWIX SWIX 15%
SWIX SWIX &
Weight in Weight Cap &
Date Alpha Instrument Name Index Weight SAPY
Index in SAPY SAPY
in Index Difference
(15% Cap) Difference
SYC Sycom Property Fund SMC 1.79% 1.96% 1.99% 0.20% 0.03%
FFA Fortress Inc Fund Ltd A SMC 1.61% 1.76% 1.79% 0.18% 0.03%
IPF Investec Property Fund Ltd SMC 1.20% 1.31% 1.33% 0.13% 0.02%
RIN Redefine Prop Int Ltd SMC 1.19% 1.31% 1.33% 0.13% 0.02%
PMM Premium Properties Ltd SMC 0.81% 0.89% 0.90% 0.09% 0.01%
GRT Growthpoint Prop Ltd LRGC 24.80% 15.00% 24.89% 0.09% 9.89%
RDF Redefine Properties Ltd MIDC 14.65% 15.00% 14.71% 0.05% -0.29%
CPL Capital Property Fund MIDC 8.17% 9.44% 8.20% 0.03% -1.24%
RES Resilient Prop Inc Fund MIDC 6.81% 7.87% 6.84% 0.03% -1.04%
HYP Hyprop Inv Ltd MIDC 6.40% 7.40% 6.43% 0.02% -0.98%
FPT Fountainhead Prop Trust MIDC 6.00% 6.94% 6.02% 0.02% -0.91%
VKE Vukile Property Fund Ltd SMC 4.61% 5.33% 4.63% 0.02% -0.70%
ACP Acucap Properties Ltd SMC 4.39% 5.07% 4.40% 0.02% -0.67%
CCO Capital&Counties Prop plc MIDC 4.22% 4.88%
Mar '13
SAC SA Corp Real Estate Fund SMC 4.22% 4.88% 4.24% 0.02% -0.64%
NEP New Europe Prop Inv plc SMC 3.55% 4.11% 3.57% 0.01% -0.54%
EMI Emira Property Fund MIDC 3.16% 3.66% 3.17% 0.01% -0.48%
SYC Sycom Property Fund SMC 1.94% 2.25% 1.95% 0.01% -0.30%
REB Rebosis Property Fund Ltd SMC 1.88% 2.17% 1.89% 0.01% -0.29%
FFA Fortress Inc Fund Ltd A SMC 1.71% 1.97% 1.71% 0.01% -0.26%
IPF Investec Property Fund Ltd SMC 1.35% 1.56% 1.36% 0.01% -0.21%
PMM Premium Properties Ltd SMC 1.10% 1.27% 1.11% 0.00% -0.17%
RIN Redefine Prop Int Ltd SMC 1.03% 1.19% 1.04% 0.00% -0.16%
GRT Growthpoint Prop Ltd LRGC 22.82% 15.00% 24.55% 1.73% 9.55%
RDF Redefine Properties Ltd MIDC 13.87% 15.00% 14.92% 1.05% -0.08%
CPL Capital Property Fund MIDC 8.89% 9.83% 9.56% 0.67% -0.27%
CSO Capital Shop Cent Grp plc LRGC 8.13% 8.99%
RES Resilient Prop Inc Fund MIDC 7.05% 7.80% 7.58% 0.53% -0.21%
HYP Hyprop Inv Ltd MIDC 6.82% 7.55% 7.34% 0.52% -0.21%
FPT Fountainhead Prop Trust MIDC 4.91% 5.43% 5.29% 0.37% -0.15%
ACP Acucap Properties Ltd SMC 4.29% 4.75% 4.62% 0.32% -0.13%
Sep '12 VKE Vukile Property Fund Ltd SMC 3.99% 4.41% 4.29% 0.30% -0.12%
SAC SA Corp Real Estate Fund SMC 3.86% 4.27% 4.15% 0.29% -0.12%
EMI Emira Property Fund MIDC 3.52% 3.89% 3.79% 0.27% -0.11%
CCO Capital&Counties Prop plc MIDC 3.05% 3.37%
SYC Sycom Property Fund SMC 2.62% 2.90% 2.82% 0.20% -0.08%
NEP New Europe Prop Inv plc SMC 2.36% 2.61% 2.54% 0.18% -0.07%
FFA Fortress Inc Fund Ltd A SMC 2.14% 2.37% 2.31% 0.16% -0.06%
PMM Premium Properties Ltd SMC 1.11% 1.22% 1.19% 0.08% -0.03%
RIN Redefine Prop Int Ltd SMC 0.55% 0.61% 0.59% 0.04% -0.02%
GRT Growthpoint Prop Ltd LRGC 21.60% 15.00% 23.64% 2.04% 8.64%
Mar '12
RDF Redefine Properties Ltd MIDC 13.67% 14.82% 14.96% 1.29% 0.14%
Page 12 of 16
SWIX SWIX 15%
SWIX SWIX &
Weight in Weight Cap &
Date Alpha Instrument Name Index Weight SAPY
Index in SAPY SAPY
in Index Difference
(15% Cap) Difference
CPL Capital Property Fund MIDC 9.56% 10.36% 10.46% 0.90% 0.10%
CSO Capital Shop Cent Grp plc LRGC 9.18% 9.95%
RES Resilient Prop Inc Fund MIDC 6.86% 7.44% 7.51% 0.65% 0.07%
HYP Hyprop Inv Ltd MIDC 6.70% 7.26% 7.33% 0.63% 0.07%
FPT Fountainhead Prop Trust SMC 5.45% 5.91% 5.97% 0.52% 0.06%
ACP Acucap Properties Ltd SMC 4.40% 4.77% 4.82% 0.42% 0.05%
SAC SA Corp Real Estate Fund SMC 4.29% 4.65% 4.69% 0.41% 0.04%
EMI Emira Property Fund MIDC 4.09% 4.43% 4.47% 0.39% 0.04%
VKE Vukile Property Fund Ltd SMC 3.36% 3.64% 3.67% 0.32% 0.04%
CCO Capital&Counties Prop plc MIDC 3.06% 3.31%
SYC Sycom Property Fund SMC 2.89% 3.14% 3.17% 0.27% 0.03%
FFA Fortress Inc Fund Ltd A SMC 2.41% 2.61% 2.64% 0.23% 0.03%
PMM Premium Properties Ltd SMC 1.12% 1.21% 1.22% 0.11% 0.01%
NEP New Europe Prop Inv plc SMC 0.96% 1.04% 1.05% 0.09% 0.01%
RIN Redefine Prop Int Ltd SMC 0.42% 0.45% 0.46% 0.04% 0.00%
GRT Growthpoint Prop Ltd LRGC 23.29% 15.00% 24.78% 1.49% 9.78%
RDF Redefine Properties Ltd MIDC 16.67% 15.00% 17.74% 1.07% 2.74%
CPL Capital Property Fund MIDC 10.34% 12.06% 11.00% 0.66% -1.05%
CSO Capital Shop Cent Grp plc LRGC 10.29% 12.00%
RES Resilient Prop Inc Fund MIDC 6.49% 7.57% 6.90% 0.42% -0.66%
FPT Fountainhead Prop Trust SMC 5.81% 6.78% 6.18% 0.37% -0.59%
SAC SA Corp Real Estate Fund SMC 5.24% 6.11% 5.57% 0.34% -0.53%
Sep '11 HYP Hyprop Inv Ltd MIDC 5.03% 5.86% 5.35% 0.32% -0.51%
ACP Acucap Properties Ltd SMC 4.80% 5.59% 5.10% 0.31% -0.49%
EMI Emira Property Fund MIDC 3.49% 4.06% 3.71% 0.22% -0.36%
SYC Sycom Property Fund SMC 2.65% 3.09% 2.82% 0.17% -0.27%
FFA Fortress Inc Fund Ltd A SMC 2.13% 2.49% 2.27% 0.14% -0.22%
VKE Vukile Property Fund Ltd SMC 1.88% 2.20% 2.00% 0.12% -0.19%
PMM Premium Properties Ltd SMC 1.37% 1.60% 1.46% 0.09% -0.14%
RIN Redefine Prop Int Ltd SMC 0.52% 0.60% 0.55% 0.03% -0.05%
GRT Growthpoint Prop Ltd LRGC 21.85% 15.00% 24.17% 2.32% 9.17%
RDF Redefine Properties Ltd MIDC 16.27% 15.00% 17.99% 1.72% 2.99%
CSO Capital Shop Cent Grp plc LRGC 11.89% 13.45%
PAP PANGBOURNE PROP LTD MIDC 6.47% 7.32% 7.16% 0.69% -0.16%
RES Resilient Prop Inc Fund MIDC 6.38% 7.22% 7.06% 0.68% -0.16%
FPT Fountainhead Prop Trust SMC 5.90% 6.68% 6.53% 0.63% -0.15%
Mar '11 HYP Hyprop Inv Ltd MIDC 5.40% 6.11% 5.98% 0.57% -0.14%
SAC SA Corp Real Estate Fund SMC 5.22% 5.91% 5.78% 0.55% -0.13%
CPL Capital Property Fund SMC 4.46% 5.04% 4.93% 0.47% -0.11%
EMI Emira Property Fund MIDC 3.98% 4.50% 4.40% 0.42% -0.10%
ACP Acucap Properties Ltd SMC 3.53% 4.00% 3.91% 0.37% -0.09%
SYC Sycom Property Fund SMC 2.66% 3.01% 2.94% 0.28% -0.07%
FFA Fortress Inc Fund Ltd A SMC 1.97% 2.23% 2.18% 0.21% -0.05%
Page 13 of 16
SWIX SWIX 15%
SWIX SWIX &
Weight in Weight Cap &
Date Alpha Instrument Name Index Weight SAPY
Index in SAPY SAPY
in Index Difference
(15% Cap) Difference
VKE Vukile Property Fund Ltd SMC 1.93% 2.18% 2.13% 0.20% -0.05%
PMM Premium Properties Ltd SMC 1.54% 1.74% 1.70% 0.16% -0.04%
RIN Redefine Prop Int Ltd SMC 0.54% 0.61% 0.60% 0.06% -0.01%
Appendix 2: Historical modelled All Property Index constituents based on New Index Methodology
Appendix 3: Backcast Tradable Property Index Constituents
SWIX
SWIX
Weight in Weight in
Date Alpha Instrument Name Index Weight in
Index SAPY
Index
(15% Cap)
GRT Growthpoint Prop Ltd LRGC 18.32% 15.00% 18.85%
RDF Redefine Properties LRGC 14.43% 15.00% 14.85%
FFB Fortress Income Fund Ltd. (B) LRGC 6.41% 6.67% 6.59%
FFA Fortress Income Fund Ltd. (A) LRGC 4.90% 5.10% 5.04%
NEP New Europe Property Investment Plc MIDC 9.82% 10.22% 10.10%
HYP Hyprop Investments Ltd MIDC 8.53% 8.88% 8.78%
RES Resilient REIT Ltd MIDC 8.48% 8.83% 8.73%
Sep '16
ITU Intu Properties Plc LRGC 6.43% 6.69%
CCO Capital & Counties Properties PLC LRGC 6.09% 6.34%
ROC Rockcastle Global Real Estate Co Ltd MIDC 4.36% 4.54% 4.49%
SAC SA Corporate Real Estate Fund MIDC 3.55% 3.69% 3.65%
VKE Vukile Property Fund MIDC 3.17% 3.30% 3.26%
ATT Attacq Limited MIDC 3.11% 3.24% 3.20%
RPL Redefine International PLC MIDC 2.40% 2.50%
GRT Growthpoint Prop Ltd LRGC 18.92% 15.00% 19.05%
RDF Redefine Properties Ltd MIDC 14.83% 15.00% 14.93%
NEP New Europe Prop Inv plc MIDC 11.53% 12.19% 11.61%
RES Resilient REIT Limited MIDC 10.25% 10.83% 10.31%
FFA Fortress Inc Fund Ltd A MIDC 3.42% 3.61% 3.44%
FFB Fortress Inc Fund Ltd B MIDC 5.97% 6.31% 6.01%
Mar '16
ITU Intu Properties plc LRGC 8.69% 9.19%
HYP Hyprop Inv Ltd MIDC 8.67% 9.17% 8.73%
CCO Capital&Counties Prop plc LRGC 6.35% 6.71%
ROC Rockcastle Global Real Estate Co Ltd MIDC 4.66% 4.92% 4.69%
ATT Attacq Limited MIDC 3.46% 3.66% 3.49%
RPL Redefine International P.L.C MIDC 3.23% 3.41%
GRT Growthpoint Prop Ltd LRGC 20.27% 15.00% 20.82%
RDF Redefine Properties Ltd MIDC 14.90% 15.00% 15.31%
ITU Intu Properties plc LRGC 10.15% 10.96%
Sep '15 HYP Hyprop Inv Ltd MIDC 8.98% 9.69% 9.22%
CCO Capital&Counties Prop plc LRGC 8.70% 9.39%
RES Resilient Prop Inc Fund MIDC 8.56% 9.24% 8.80%
NEP New Europe Prop Inv plc MIDC 7.88% 8.51% 8.10%
Page 14 of 16
SWIX
SWIX
Weight in Weight in
Date Alpha Instrument Name Index Weight in
Index SAPY
Index
(15% Cap)
CPF Capital Property Fund Ltd MIDC 7.36% 7.95% 7.56%
ATT Attacq Limited MIDC 4.13% 4.46% 4.25%
ROC Rockcastle Global Real Estate Co Ltd MIDC 3.78% 4.09% 3.89%
RPL Redefine International P.L.C MIDC 3.18% 3.43%
FFA Fortress Inc Fund Ltd A MIDC 1.07% 1.16% 1.10%
FFB Fortress Inc Fund Ltd B MIDC 1.03% 1.11% 1.06%
GRT Growthpoint Prop Ltd LRGC 19.98% 15.00% 19.82%
RDF Redefine Properties Ltd MIDC 14.97% 15.00% 15.00%
ITU Intu Properties plc LRGC 10.52% 11.32%
HYP Hyprop Inv Ltd MIDC 9.49% 10.21% 9.41%
NEP New Europe Prop Inv plc MIDC 8.52% 9.17% 8.45%
RES Resilient Prop Inc Fund MIDC 7.85% 8.45% 7.79%
Mar '15 CCO Capital&Counties Prop plc LRGC 7.51% 8.08%
CPF Capital Property Fund Ltd MIDC 7.13% 7.68% 7.08%
ATT Attacq Limited MIDC 5.13% 5.52% 5.09%
ROC Rockcastle Global Real Estate Co Ltd MIDC 4.14% 4.45% 4.11%
ACP Acucap Properties Ltd MIDC 2.43% 2.62% 2.42%
FFA Fortress Inc Fund Ltd A MIDC 1.16% 1.24% 1.15%
FFB Fortress Inc Fund Ltd B MIDC 1.16% 1.25% 1.15%
GRT Growthpoint Prop Ltd LRGC 27.82% 15.00% 22.45%
RDF Redefine Properties Ltd MIDC 17.46% 15.00% 14.24%
ITU Intu Properties plc LRGC 16.34% 15.00%
Sep '14 HYP Hyprop Inv Ltd MIDC 11.58% 15.00% 9.35%
NEP New Europe Prop Inv plc MIDC 9.87% 14.73% 7.97%
RES Resilient Prop Inc Fund MIDC 9.81% 14.64% 7.92%
CCO Capital&Counties Prop plc LRGC 7.12% 10.63%
GRT Growthpoint Prop Ltd LRGC 26.81% 15.00% 22.43%
RDF Redefine Properties Ltd MIDC 18.01% 15.00% 15.23%
ITU Intu Properties plc LRGC 12.79% 15.00%
HYP Hyprop Inv Ltd MIDC 11.28% 14.64% 9.44%
Mar '14
CPL Capital Property Fund MIDC 8.50% 11.03% 7.11%
RES Resilient Prop Inc Fund MIDC 8.24% 10.69% 6.90%
CCO Capital&Counties Prop plc LRGC 7.83% 10.16%
NEP New Europe Prop Inv plc MIDC 6.54% 8.48% 5.47%
GRT Growthpoint Prop Ltd LRGC 28.13% 15.00% 24.26%
RDF Redefine Properties Ltd MIDC 18.36% 15.00% 15.99%
ITU Intu Properties plc LRGC 11.74% 15.00%
HYP Hyprop Inv Ltd MIDC 10.05% 13.23% 8.67%
Sep '13
CPL Capital Property Fund MIDC 9.15% 12.04% 7.89%
RES Resilient Prop Inc Fund MIDC 7.96% 10.48% 6.87%
CCO Capital&Counties Prop plc MIDC 6.73% 8.86%
NEP New Europe Prop Inv plc MIDC 4.58% 6.02% 3.95%
Page 15 of 16
SWIX
SWIX
Weight in Weight in
Date Alpha Instrument Name Index Weight in
Index SAPY
Index
(15% Cap)
FPT Fountainhead Prop Trust MIDC 3.31% 4.35% 2.85%
GRT Growthpoint Prop Ltd LRGC 33.40% 15.00% 24.89%
RDF Redefine Properties Ltd MIDC 19.70% 15.00% 14.71%
CPL Capital Property Fund MIDC 11.00% 15.00% 8.20%
RES Resilient Prop Inc Fund MIDC 9.20% 14.08% 6.84%
Mar '13
HYP Hyprop Inv Ltd MIDC 8.60% 13.24% 6.43%
FPT Fountainhead Prop Trust MIDC 8.10% 12.41% 6.02%
CCO Capital&Counties Prop plc MIDC 5.70% 8.73%
EMI Emira Property Fund MIDC 4.30% 6.54% 3.17%
GRT Growthpoint Prop Ltd LRGC 28.86% 15.00% 24.55%
RDF Redefine Properties Ltd MIDC 17.55% 15.00% 14.92%
CPL Capital Property Fund MIDC 11.24% 14.68% 9.56%
CSO Capital Shop Cent Grp plc LRGC 10.29% 13.43%
Sep '12 RES Resilient Prop Inc Fund MIDC 8.91% 11.64% 7.58%
HYP Hyprop Inv Ltd MIDC 8.63% 11.27% 7.34%
FPT Fountainhead Prop Trust MIDC 6.21% 8.12% 5.29%
EMI Emira Property Fund MIDC 4.45% 5.81% 3.79%
CCO Capital&Counties Prop plc MIDC 3.86% 5.04%
GRT Growthpoint Prop Ltd LRGC 28.91% 15.00% 23.64%
RDF Redefine Properties Ltd MIDC 18.30% 15.00% 14.96%
CPL Capital Property Fund MIDC 12.80% 15.00% 10.46%
CSO Capital Shop Cent Grp plc LRGC 12.28% 15.00%
Mar '12
RES Resilient Prop Inc Fund MIDC 9.18% 13.25% 7.51%
HYP Hyprop Inv Ltd MIDC 8.97% 12.94% 7.33%
EMI Emira Property Fund MIDC 5.47% 7.90% 4.47%
CCO Capital&Counties Prop plc MIDC 4.09% 5.90%
GRT Growthpoint Prop Ltd LRGC 30.81% 15.00% 24.78%
RDF Redefine Properties Ltd MIDC 22.05% 15.00% 17.74%
CPL Capital Property Fund MIDC 13.68% 15.00% 11.00%
Sep '11 CSO Capital Shop Cent Grp plc LRGC 13.61% 15.00%
RES Resilient Prop Inc Fund MIDC 8.58% 15.00% 6.90%
HYP Hyprop Inv Ltd MIDC 6.65% 14.76% 5.35%
EMI Emira Property Fund MIDC 4.61% 10.24% 3.71%
GRT Growthpoint Prop Ltd LRGC 30.25% 15.00% 24.17%
RDF Redefine Properties Ltd MIDC 22.52% 15.00% 17.99%
CSO Capital Shop Cent Grp plc LRGC 16.46% 15.00%
Mar '11 PAP PANGBOURNE PROP LTD MIDC 8.96% 15.00% 7.16%
RES Resilient Prop Inc Fund MIDC 8.83% 15.00% 7.06%
HYP Hyprop Inv Ltd MIDC 7.48% 14.40% 5.98%
EMI Emira Property Fund MIDC 5.50% 10.60% 4.40%
Appendix 3: Historical modelled Tradable Property Index constituents based on
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