Abstract: The present disclosure is directed toward generating indexes of unlevered asset returns based on the returns of constituents that employ leverage in the return-generating process, without exposing investors to significant tracking error. Data an amount of debt, cost of debt, implied market capitalization, and relative weights are compiled for each constituent of an index of returns of entities employing leverage. Additionally, return data are compiled for each exchange-traded product producing returns relevant to the cost of leverage employed by at least one of the constituents. Using the collected data, absolute weights of each constituent and each exchange traded product in an index of unlevered asset returns are determined. The index of unlevered asset returns may then be generated according to the constituents, the exchange-traded products, and the absolute weights.

Abstract: The present disclosure is directed to generating REIT-based pure property return indexes. First, REIT return data is compiled from each REIT of a plurality of REITs at a predetermined frequency. Then, the generated REIT return data is de-levered and processed according to exposures to each of a plurality of target characteristics to obtain coefficients reflecting each REIT's weight in an index. Finally, an index is generated according to the REITs, the obtained coefficients, and the weights.

Abstract: The present disclosure is directed to a method of approximating prices in a private property market. First, REIT return data is compiled from each REIT of a plurality of REITs at a predetermined frequency. Then, the REIT return data is processed according to exposures to each of a plurality of target characteristics to obtain coefficients reflecting each REIT's weight in an index. Then, an index is generated according to the REITs, the obtained coefficients, and the weights. Finally, a second index is derived from the generated index that approximates prices in the private property market.

Abstract: The present disclosure is directed to a method of approximating prices in a private property market. First, REIT return data is compiled from each REIT of a plurality of REITs at a predetermined frequency. Then, the REIT return data is processed according to exposures to each of a plurality of target characteristics to obtain coefficients reflecting each REIT's weight in an index. Then, an index is generated according to the REITs, the obtained coefficients, and the weights. Finally, a second index is derived from the generated index that approximates prices in the private property market.

Abstract: The present disclosure is directed to generating REIT-based pure property return indexes. First, REIT return data is compiled from each REIT of a plurality of REITs at a predetermined frequency. Then, the generated REIT return data is de-levered and processed according to exposures to each of a plurality of target characteristics to obtain coefficients reflecting each REIT's weight in an index. Finally, an index is generated according to the REITs, the obtained coefficients, and the weights.