Giliberto-Levy Commercial Mortgage Performance Index
Established in 1993, the Giliberto-Levy Index measures the quarterly total return produced by a model portfolio of institutional-grade commercial mortgage whole loans. The Giliberto-Levy Index is based on a $148 billion aggregate model portfolio that represents a thorough cross-section of fixed-rate, fixed-term loans made by institutional lenders. Our database, which begins in 1972, is the most extensive whole-loan data available anywhere. Although our index differs from standard stock and bond indexes, it's constructed to function like a market-based index. We report on our findings each quarter with the Giliberto-Levy Monitor, a publication that provides detailed analysis and commentary on commercial mortgage investments.
Index Background
The Giliberto-Levy Commercial Mortgage Performance IndexSM is a benchmark to measure the performance of commercial mortgage portfolios. Established in 1993, the Giliberto-Levy Index measures the quarterly total return produced by a model portfolio of institutional-grade commercial mortgage whole loans. We report on our findings each quarter with the Giliberto-Levy Monitor, a publication that provides detailed analysis and commentary on commercial mortgage investments.
Investors, fund managers, pension advisers, and consultants use the index as a reliable way to monitor the performance of investments in the commercial mortgage industry.
Here are the benefits:
- Improves ability to make strategic decisions and monitor performance, whether advising clients or managing a commercial mortgage portfolio.
- Provides access to the latest information on commercial mortgage performance, defaults, and delinquencies for the entire industry or by sectors within the industry: warehouse, retail, office, and apartment.
- Timely, accurate research on issues and emerging trends that affect mortgage investments.
- Allows proper decision-making for asset allocation because it is the most accurate information at just the right time.
Benchmarks are only as valuable and accurate as the foundations on which they're built. The Giliberto-Levy Index provides a solid foundation for the research we present in the Giliberto-Levy Monitor. The Giliberto-Levy Index is based on a $142 billion aggregate model portfolio that represents a thorough cross-section of fixed-rate, fixed-term loans made by institutional lenders. The data used to create this portfolio extends back to 1972. Although our index differs from standard stock and bond indexes, it's constructed to function like a market-based index.
Our index pulls specific data from several sources to assure the accuracy of its measurement. Loan commitment and delinquency data come from a large number of sources, including the American Council of Life Insurance (ACLI). Information on mortgage rates comes from the Barron's/John B. Levy & Company National Mortgage Survey. For trends on property values, we rely on the NCREIF Property Index. Data on interest rates come from market sources.
By using standard bond indexing, fixed-income technology to create our benchmark, we make sure that investors receive an apples-to-apples comparison when evaluating the performance of their commercial mortgage investments.
Index Downloads
Custom Benchmarking
The Giliberto-Levy Commercial Mortgage Performance Index allows investors to evaluate the performance of commercial mortgages on a total return, marked-to-market basis. The Giliberto-Levy Index calculates quarterly and aggregate returns on commercial mortgages for each type of property: office, retail, industrial, apartment, and "other." This index also indicates the duration of each property sector and provides returns after adjusting for credit losses.If you would like to determine how well your investment performed compared to the Giliberto-Levy Index, we could create a custom benchmark for your portfolio. Custom benchmarking establishes a true apples-to-apples comparison that weights the property sectors and duration in the Index to match your portfolio.
Once we determine how your portfolio performed, we conduct an in-depth analysis to explain why your portfolio outperformed or underperformed the Index. Our explanation covers a variety of factors, including principal paydown rates, credit losses, duration, differential yield change, and convexity. We can also analyze the performance of your portfolio by property sector, as well as by line of business. This highly specific analysis can be useful if you are establishing target durations and adjusting your allocations for each line of business in an effort to match target durations.
Custom benchmark services are offered on a quarterly basis. For more information and to set up an initial consultation, please contact us (info@jblevyco.com or 804-644-2000).