Moodys/REAL Commercial Property Price Index (CPPI)
Methodology developed at MIT's Center for Real Estate
Latest Results
October 21 , 2009 update: The latest results of the Moodys/REAL CPPI show a return of negative 3.0% in August for the all properties national index.
The Moodys/REAL CPPI will be published first by Moodys and will appear here on the MIT/CRE website shortly afterwards. The MIT/CRE is publishing the Moodys/REAL commercial property index results monthly as a service to the real estate academic and industry research communities. It should be noted that these indices are a statistical product that may contain estimation error, and that MIT makes no claim or warranty regarding its accuracy or use.
What is the Moodys/REAL Commercial Property Index (CPPI)?
The Moodys/REAL commercial property index (CPPI) is a periodic same-property round-trip investment price change index of the U.S. commercial investment property market based on data from MIT Center for Real Estate industry partner Real Capital Analytics, Inc (RCA). The methodology for index construction has been developed by the MIT/CRE through a project undertaken in cooperation with a consortium of firms including RCA and Real Estate Analytics, LLC (REAL). The index has been developed with the objective of supporting the trading of commercial property price derivatives. The index is designed to track same-property realized round-trip price changes based purely on the documented prices in completed, contemporary property transactions. The index uses no appraisal valuations. The methodology employed to construct the index is a repeat-sales regression (RSR), as described in detail in Geltner & Pollakowski (2007). The data source for the index is described in detail in a white paper available from RCA.
The set of indices developed so far includes a national all-property index at the monthly frequency, national quarterly indices for each of the four major property type sectors (office, apartment, industrial, retail), selected annual-frequency indices for specific property sectors in specific metropolitan areas, and primary markets quarterly indices for the top 10 metropolitan areas in the major property types. The annual indices are produced in four versions, beginning in January, April, July, and October of each year. These are respectively named the calendar year (CY) index, the fiscal year ending March (FYM) index, the fiscal year ending June (FYJ) index and the fiscal year ending September (FYS) index.
The RCA Database
The commercial property index is based on the RCA database which attempts to collect, on a timely basis, price information for every commercial property transaction in the U.S. over $2,500,000 in value. This represents one of the most extensive and intensively documented national databases of commercial property prices ever developed in the U.S.
The Moodys/REAL CPPI and the TBI
The Moodys/REAL CPPI index is a complementary information product to the transaction based index (TBI) also published on the MIT/CRE web site. Both the CPPI and the TBI are based purely on transaction price data. The TBI is based on NCREIF property sales prices data, while the former is based on RCA sales prices data. Thus, the TBI is based on a smaller population of more purely institutionally held properties. The TBI is based on a hedonic regression methodology whereas the CPPI is constructed with a repeat-sales methodology. The TBI is published with history going back to 1984 but only at the quarterly frequency, and only at the national level (for the four major property types), whereas the CPPI includes monthly and annual frequencies and more geographic regional break outs. The latter is a variable-liquidity price-change (appreciation return) index, while the TBI includes total return and constant-liquidity (demand side) indexes. There is evidence that the CPPI, based on a broader market, tends to lead in time the NCREIF-based indexes.
Downloads
- Click here to download returns data for all indexes
- Click here to download the index white paper
- Click here to download the technical supplement to the white paper
The Basic Set of Indexes
National and Regional Level Indices
| All (National) |  View Monthly |
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| Apartment | Industrial | Office | Retail | ||
| National |  View Quarterly |
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| East Region |  View Annual |
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| South Region | View Annual |
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| West Region | View Quarterly |
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MSA Level Indices
| Apartment | Industrial | Office | Retail | |
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| Top 10 MSAs | View Quarterly |
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| Southern California |
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| DC Metro | View Annual |
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| NYC Metro | View Annual |
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| San Francisco Metro |
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| Florida | View Annual |
Index Reports: Time Allowed to Gather Price Data
Experience with the developmental database suggests that within 45 to 75 days of the close of an index reporting period, a sufficient quantity and proportion of the second-sale transactions that RCA will ultimately gather from the given month will be available for index construction. Based on this consideration, for indexes where the data availability is sufficiently dense (generally, the monthly and quarterly indexes), 45 days will be allowed to elapse after the end of the reporting period to accumulate data for index computation. For indexes where the data availability is less dense (generally the annual indexes), 75 days will be allowed to elapse. In all cases, the index report will be considered to be final once it is published, and any second sales occurring beyond the end of the subject period will be excluded from the index computation (no “backward adjustment”).
To view, the schedule for the release of results for the calendar year 2007, click [here].
Index Methodology and Further Details
The CPPI are based on a repeat-sales regression model (RSR), with conventional modifications and enhancements that are widely used in the real estate indices estimated in the academic community. In an RSR index, the database on which the regression is estimated consists purely of properties that transact at least twice in the historical sample. The fundamental data on which the index is based thus consists of the price changes actually experienced by individual properties which are the same type of price changes as actually experienced by direct propery investors. While the indexes may contain normal statistical estimation error, all index returns are based purely and completely on actually realized investment round-trip price changes recorded in the RCA transaction price database, as described in the MIT and RCA white papers noted above.
