Index Smoothing and the Volatility of UK Commercial Property (March 2007)
A report from the IPF/IPFET Joint Research Programme. Smoothing in UK commercial real estate valuation indices is examined, the causes and impact of index smoothing and desmoothing techniques are explored. The effect of desmoothing on risk and risk adjustments is assessed with particular focus on the implications for the weighting of property compared to other asset classes. The research concludes that the impact of smoothing requires an upward revision of property risk.