1. NFI-ODCE Performance Attribution Methodology NCREIF Members Webinar
National Council of Real Estate
Investment Fiduciaries
NCREIF presents
NFI-ODCE Performance Attribution Methodology
NCREIF Members Webinar
March 15, 2017

2. NFI-ODCE Performance Attribution Methodology Webinar Agenda
Calculate quarterly fund impacts using the Exclusion Method
Calculate quarterly property Contribution to Return (CTR)
Multi-period linking methods for each
Ex-returns for fund level impacts
Link-backwards method for property CTR
Questions?
Please submit during the presentation and we will address at the end

3. NFI-ODCE Performance Attribution Overview
Gross of Fee Return
Property Unleveraged Returns
Property Type/Subtype
Region/Division/CBSA
Leverage Impacts
Principal Balance (property & fund)
Mark-to-Market (property & fund)
Ownership / Fund Vehicle Structure Impacts
JV Deal Structure
Cash Balances
Fund Costs
Other
Property Returns and CTR
Returns
Incremental Impacts

4. Reconciliation of Quarterly P&L Property to Fund
Current Quarter P&L
Unleveraged Property P&L
NCREIF Property Data Submission
ODCE Fund Index Return
Cash and Fund Structure
Leverage and Deal Structure
Unleveraged Property Returns
ODCE Fund Index Return
Cash and Fund Structure
Leverage and Deal Structure
Unleveraged Property Returns
Ownership Structure Attributes P&L
NCREIF Additional Data Submission
NFI-ODCE Index P&L
NCREIF Fund Data Submission

5. Executive Summary Recent Four Quarters (Page 4 of Report)
Calculate quarterly impacts using the Exclusion Method
Calculate multi-period impacts by (i) linking the ex-returns derived from the Exclusion Method and (ii) subtracting the calculated ex-returns from the linked actual NFI-ODCE return

6. Quarterly Fund-level Impacts
What is the IMPACT of an ATTRIBUTE on the overall TOTAL RETURN?
Each ATTRIBUTE is evaluated independently (that is, in isolation) of all others
The impact of one ATTRIBUTE does not have any effect on the other ATTRIBUTES
Therefore, the order of the calculation for each ATTRIBUTE does not matter
Simple Three-Step Process!
Step 1
Remove the effect of the “attribute” from both the numerator and denominator
Results in the “Ex-Numerator” and the “Ex-Denominator”
Step 2
Calculate the “Ex-Return” by dividing the “Ex-Numerator” by the “Ex-Denominator”
Step 3
Compare the calculated Ex-Return to the actual NFI-ODCE return (that is, NFI-ODCE Return minus Ex-Return)
Result
Negative difference in Step 3 means the “attribute” had a negative effect
Positive difference in Step 3 means the “attribute” had a positive effect

7. Fund-level Impacts Analysis 2016q43
Description
ODCE Ex-Numerator Adjustment
ODCE Ex-Denominator Adjustment
Numerator or Ex-Numerator
Denominator or Ex-Denominator
Return% or Ex-Return%
Calculated Impact% 4
Prop Contribution Share
3,194,866,293
204,161,299,251
1.56% 5
Prop Leveraged at Principal Bal
(344,343,332)
(35,891,853,097)
3,826,682,979
200,848,699,449
1.96%
0.15% 6
Prop Leveraged w/ Debt MtM
582,847,063
(95,276,626)
3,243,835,916
200,943,976,074
1.82%
0.29% 7
Fund Leveraged at Principal Bal
(92,329,677)
(9,867,720,089)
3,574,669,324
174,824,566,441
2.04%
0.07% 8
Fund Leveraged w/ Debt MtM
226,215,963
3,348,453,362
1.98%
0.13% 9
Acquisitions (partial period)
46,303,473
1,673,690,906
3,436,036,174
163,283,155,446
2.10%
0.01% 10
Other Investments
77,497,072
4,351,232,937
3,404,842,575
160,605,613,415
2.12%
-0.01% 11
Cash Balances
4,939,933
5,408,902,453
3,477,399,714
159,547,943,899
2.18%
-0.07% 12
Other Assets and Liabilities -
(1,923,582,401)
3,482,339,647
166,880,428,754
2.09%
0.02% 13
Fund Costs
(31,179,653)
3,513,519,301
164,956,846,352
2.13%
-0.02% 14
Joint Venture Deal Structuring
(146,042,140)
3,628,381,787
2.20%
-0.09% 15
Other
(41,422,028)
3,523,761,675
2.05%
0.06% 16
Total Return Gross of Fee
2.11%

8. Cash Balances Impact for 2016q4D E F G H 3
Description
ODCE Ex-Numerator Adjustment
ODCE Ex-Denominator Adjustment
Numerator or Ex-Numerator
Denominator or Ex-Denominator
Return% or Ex-Return%
Calculated Impact% 11
Cash Balances
4,939,933
5,408,902,453
3,477,399,714
159,547,943,899
2.18%
-0.07% 16
Total Return Gross of Fee
3,482,339,647
164,956,846,352
2.11%
Row 16 = NFI-ODCE
Cell E16 = NFI-ODCE numerator
Cell F16 = NFI-ODCE denominator
Row 11 = Cash Balances
Cell C11 = interest income on cash balances
Cell D11 = average cash balance during the quarter
Cell E11 = NFI-ODCE numerator less the interest income
Cell F11 = NFI-ODCE denominator less the average cash balances
Cell G11 = Ex-Return for cash balances (that is, Cell E11/Cell F11) Cell G11 = return if the cash balances did not exist (all else held constant!) Cell H11 = impact of cash balances % shows the negative impact of cash on total return!

9. Leverage Impact for 2016q4 A B C D E F G H I J 19
Description
ODCE Ex-Numerator Adjustment
ODCE Ex-Denominator Adjustment
Numerator or Ex-Numerator
Denominator or Ex-Denominator
Return% or Ex-Return%
Calculated Impact%
Amt : Diff
Diff : Amts 20
Total Holistic Leverage
372,390,017
(45,854,849,811)
3,109,949,630
210,811,696,163
1.48%
0.64%
0.70%
-0.06% 21
 REPORT PRESENTATION  22
Prop Leveraged at Principal Bal
(344,343,332)
(35,891,853,097)
3,826,682,979
200,848,699,449
1.96%
0.21%
0.15% 23
Prop Leveraged w/ Debt MtM
582,847,063
(95,276,626)
3,243,835,916
200,943,976,074
1.82%
0.29% 24
Property Leverage
238,503,731
(35,987,129,722)
0.50%
0.44% 25 26
Fund Leveraged at Principal Bal
(92,329,677)
(9,867,720,089)
3,574,669,324
174,824,566,441
2.04%
0.07% 27
Fund Leveraged w/ Debt MtM
226,215,963 -
3,348,453,362
1.98%
0.13% 28
Fund Leverage
133,886,286
0.20%
Four individual sub-components
Row 20 shows “Holistic Leverage” of 0.64% (Cell H20) = NFI ODCE actual return of 2.11% minus the ex-return of 1.48%
Rows 22 to 28 calculate property and fund leverage of 0.50% (Cell H24) and 0.20% (Cell H28)
Sum of Cell H24 and Cell H28 equals 0.70% cell I20 , which is different than Holistic Leverage Difference of -0.06% Cell J20 is booked to Property Leverage Principal Balance (Cell I22)

10. Other Impacts 2016q4 A B C D E F G H 3 14
Description
ODCE Ex-Numerator Adjustment
ODCE Ex-Denominator Adjustment
Numerator or Ex-Numerator
Denominator or Ex-Denominator
Return% or Ex-Return%
Calculated Impact% 14
Joint Venture Deal Structuring
(146,042,140)
3,628,381,787
164,956,846,352
2.20%
-0.09% 15
Other
(41,422,028)
3,523,761,675
2.05%
0.06% 16
Total Return Gross of Fee
3,482,339,647
2.11%
For report purposes, JV Deal Structuring is combined with Other.
Other (Row 15) consists of various items including;
transactions that NCREIF does not capture post property dispositions,
investment level items not booked at property level,
cash flow timing differences between property and fund level return formulas,
interaction or residual resulting from the Exclusion Method
Other (Row 15) was +/- 1 bp for the first three quarters.
As NCREIF attempts to reconcile each NFI-ODCE fund to a P&L difference of no greater than 3 bps, Other should be a minor adjustment and generally falls with +/- 5 bps.

11. Multi-period Fund Impacts by Linking Ex-returnsH I J 32
Geometric Linking
Returns + Impacts
Impact Calculation 33
Attribute
2016q4
2016q3
2016q2
2016q1
1 Yr
Result in Column I 34
Prop Ownership Share
Return
1.56%
1.88%
2.15%
2.12%
7.94% 35
Prop Leveraged at Principal Balance
Ex-return
1.96%
1.89%
1.93%
1.99%
8.00%
0.76%
8.77%-8.00% 36
Prop Leveraged w/ Debt MtM
1.82%
2.03%
2.23%
8.57%
0.19%
8.77%-8.57% 37
Fund Leveraged at Principal Balance
2.04%
2.00%
2.06%
2.11%
8.47%
0.29%
8.77%-8.47% 38
Fund Leveraged w/ Debt MtM
1.98%
2.17%
8.77%
0.00%
8.77%-8.77% 39
Acquisitions (partial period)
2.10%
2.02%
2.19%
8.74%
0.02%
8.77%-8.74% 40
Other Investments
2.07%
2.16%
-0.01% 41
Cash Balances
2.18%
2.13%
2.20%
9.03%
-0.26%
8.77%-9.03% 42
Other Assets and Liabilities
2.09%
8.67%
0.10%
8.77%-8.67% 43
Fund Costs
2.21%
8.86%
-0.09%
8.77%-8.86% 44
Joint Venture Deal Structuring
2.25%
-0.27% 45
Other
2.05%
8.70%
0.07%
8.77%-8.70% 46
Total Return Gross of Fee
Geometric linking: (1+Q4 return%) * (1+Q3 return%) * (1+Q2 return%) * (1+Q1 return%)-1
Note: For periods greater than 1 year, annualize the Ex-Return and the NFI-ODCE actual return and then compare the two to determine the annualized impact

12. Property Sector Contribution to Return
Property Sectors can be Property Types, Sub-types, Regions, Divisions, Life-Cycles, CBSAs, or any combination thereof
Weights x Returns = Contribution to Return
Weight = Unleveraged Property-Level Denominator at Legal Contribution Share%
Sector A weight
Sector A return
Sector A Contribution To Return
Sector C weight
Sector C return
Sector C Contribution to Return
Sector B weight
Sector B return
Sector B Contribution To Return
Sum of Sector Contributions to Return equals the overall Property Return

13. Quarterly Property Sector Contribution to Return (Page 4 of Report)
The 1 year CTR for Apartment calculated on the next slide using the link-backwards method
ODCE
Quarter End
iname
Benchmark Weight
Benchmark Return
Benchmark CTR%
12/31/2016
ODCE_T_A
25.21%
1.20%
0.30%
ODCE_T_I
13.14%
2.85%
0.37%
ODCE_T_O
38.46%
1.32%
0.51%
ODCE_T_R
19.23%
1.59%
0.31%
ODCE_T_H
0.82%
0.22%
0.00%
ODCE_T_L
0.49%
0.95%
ODCE_T_X
2.66%
2.64%
0.07%
ODCE_TOT
100.00%
1.56%
Property sector details are provided in the excel spreadsheet that is part of the NFI-ODCE PA product package.
Sum of each sector CTR% equals the total return of 1.56%

14. Link-backwards Property Sector Contribution to Return
Derived for illustrative purposes only as 1.75% / 6.94%
Apt used as an example A B C D E F G H I J 3
Quarter End
Iname ODCE
Benchmark Weight
Benchmark Return
Benchmark CTR%
Cum ODCE Return
Column G Formula
Cum Apt CTR
Column I Formula 4
3/31/2016
_T_A
25.20%
1.85%
0.47%
=F4 5
_TOT
100.00%
2.12%
=(1+F5)-1 6
6/30/2016
25.14%
1.90%
0.48%
0.95%
=(1+G5)*F6+I4 7
2.15%
4.32%
=(1+F7)*(1+G5)-1 8
9/30/2016
1.82%
0.46%
1.43%
=(1+G7)*F8+I6 9
1.88%
6.28%
=(1+F9)*(1+G7)-1 10
12/31/2016
25.21%
1.20%
0.30%
1.75%
=(1+G9)*F10+I8 11
1.56%
7.94%
=(1+F11)*(1+G9)-1
Link-backwards compounds the current quarter CTR by the cumulative property level return that is then added to the prior quarter cumulative CTR

15. Annual Property Sector Contribution to Return
Sum of each sector CTR% equals the total return of 7.94%
Note: This example is only a 1 year period. For periods greater than 1 year, the CTR results will be calculated on a cumulative basis and then must be annualized using a proportion of the ODCE annualized return to the ODCE cumulative return
Annualized Sector CTR =Ratio 𝑥 𝑪𝒖𝒎𝒖𝒍𝒂𝒕𝒊𝒗𝒆 𝑺𝒆𝒄𝒕𝒐𝒓 𝑪𝑻𝑹
Ratio = 𝒂𝒏𝒏𝒖𝒂𝒍𝒊𝒛𝒆𝒅 𝒖𝒏𝒍𝒆𝒗𝒆𝒓𝒂𝒈𝒆𝒅 𝒑𝒓𝒐𝒑𝒆𝒓𝒕𝒚 𝒓𝒆𝒕𝒖𝒓𝒏 𝒄𝒖𝒎𝒖𝒍𝒂𝒕𝒊𝒗𝒆 𝒖𝒏𝒍𝒆𝒗𝒆𝒓𝒂𝒈𝒆𝒅 𝒑𝒓𝒐𝒑𝒆𝒓𝒕𝒚 𝒓𝒆𝒕𝒖𝒓𝒏

16. NFI-ODCE Performance Attribution Methodology Recap
Four main calculations used in ODCE Performance Attribution;
1) Quarterly fund level impacts using the exclusion method
2) Multi-period linking of quarterly fund-level impacts using ex-returns
3) Quarterly property-level contribution to return using weights and returns
4) Multi-period linking of quarterly property-level contribution to return using the link-backwards method.

17. NFI-ODCE Performance Attribution Methodology
The End!
Any Questions?