IAmNeil

NCREIF index are based on appraisals - so they would have lower returns and underestimate return volatility. Stale valuations cause the volatility dampening. (Pg. 18 just above the table).

This is the uncorrected version - because that is all is available in the marketplace.
Table on Pg 18:
NCREIF Index (Market place index) --> 6.14% Return, 3.37% STDEV
NCREIF (Unsmoothed) -> 7.27% return, 8.95% STDEV..

Once you correct it.... for smoothing the volatility more than doubles.

CP