THE ASSOCIATION FOR REAL ESTATE SECURITIZATION May-June. 2003 1
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ARES SPECIAL Asia Pacific Europe, Africa & Middle East America Australia New Zealand Netherlands, United Kingdom Canada, United States Hong Kong Singapore Malaysia Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Norway, South Africa, Spain, Sweden, Switzerland Japan Philippines South Korea Taiwan Thailand Czech Republic, Estonia, Greece, Hungary, Israel, Italy, Poland, Portugal Chile, Mexico India Indonesia P.R. China Russia, United Arab Emirates Argentina, Brazil, Colombia, Costa Rica Vietnam Egypt, Romania, Saudi Arabia Turkey, Ukraine November-December. 2005 41
ARES SPECIAL Source: Real Capital Analytics, LaSalle Investment Management Research * Plans with over $25 billion in assets and active real estate program Source: 2005 Institutional Real Estate, Inc. s Annual Plan Sponsor Survey 42
ARES SPECIAL NCREIF Total Return Forecast 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 Source: NCREIF, LaSalle Investment Management Research 6%-9% 10% -15% 15%+ Source: LaSalle Investment Management Equity Mkt Cap (USD, Billions) UnitedStates Canada Singapore Australia New Zealand Japan Hong Kong France Netherlands Belgium 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 Source: Source: S&P Citigroup World REIT Index (Data represents constituents of S&P/Citi REIT Index; does not represent all REITs) November-December. 2005 43
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x JREIT (t) x JREIT (t) = 1 (s) + 2 (s) x JREIT (t 1) +(s)(t) 1 (s) 2 (s)(s) (t) 1 (1) 1 (2) (1)(2) x JREIT (t) 1 (s) 2 (s)(s) 1 (s) 2 (s)(s) L( 1 (s) 2 (s)(s)) T = log f (x JREIT (t) s(t), 1 (s) 2 (s)(s)) t1 f T ( t) s( t), θ ( s), θ ( s), σ ( s)) = 1 [ ξˆ( t t 1) η( )] ( x t JREIT 1 2 Pr ob[ s( t) = 1 X ξˆ( t t 1) = Pr ob[ s( t) = 2 X X REIT REIT REIT ( t 1), θ ( s), θ ( s), σ ( s)] 1 ( t 1), θ ( s), θ ( s), σ ( s)] ( t 1) = ( x ( t 1), x ( t 2),..., x (0)) REIT REIT REIT 1 2 2 82
η( t) = = f ( x f ( x JREIT JREIT ( t) s( t) = 1, X ( t) s( t) = 2, X 1 ( x exp{ 2πσ (1) 1 ( x exp{ 2πσ (2) JREIT JREIT ξˆ( t t 1) η( t) ξˆ( t t) = T 1 [ ξˆ( t t 1) η( t)] ξˆ ( t + 1 t) = ( t 1), θ ( s), θ ( s), σ ( s)) ( t 1), θ ( s), θ ( s), σ ( s)) ( t) θ (1) θ (1) x 1 2 2 σ (1) ( t) θ (2) θ (2) x 2 σ (2) REIT REIT 2 ( t 1)) } 2 ( t 1)) } (s) x JREIT (t) 1 1 1 2 2 2 JREIT JREIT Pr ob( s = 1 s = 1), Pr ob( s = 2 s = 1) ξˆ( t t) Pr ob( s = 1 s = 2), Pr ob( s = 2 s = 2) 1 (1) 1 (2) 2 (1) 2 (2) (1) (2) x JREIT (t) 1 (s) 2 (s)(s) 1 (2) (1)(2) (1)(2) (1)(2) November-December. 2005 83
1 (1) = 1 (2) 2 (1) = 2 (2) 1 (1) 1 (2) 2 (1) 2 (2) (1) (2) 1 (s) 2 (s)(s) 1 (1) = 1 (2) 2 (1) = 2 (2) (s) x JREIT (t) = 1 + 2 x JREIT (t 1) +(s)(t) 1 2 (1)(2) 1 (1) = 1 (2) 2 (1) = 2 (2)=0 1 (1) 1 (2) 2 (1) 2 (2) (1) (2) (1)(2) (1)(2) 2 1 (1) = 1 (2) 2 (1) = 2 (2) = 0 x JREIT (t) = 1 +(s)(t) (1)(2) (1)(2) 84
(1) =(2) 1 (1) 1 (2) 2 (1) 2 (2) (1) (2) (1) =(2) x JREIT (t) = 1 (s) + 2 (s) x JREIT (t 1) +(t) (1)(2) 1 (2) (1) =(2) 2 (1) = 2 (2) = 0 x JREIT (t) = 1 (s)+(t) 2 (1) = 2 (2)=0(1) =(2) 1 (1) 1 (2) 2 (1) 2 (2) (1) (2) (1)(2) 1 (1) 1 (2) November-December. 2005 85
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