Tailoring Bay Street’s Quantamental Framework to Global Hospitality Markets

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Component Index Methodology

• STR Global RevPAR indices (Total Room Inventory methodology)

• CoStar hospitality submarket data

• Cambridge Private Hospitality Index

• NCREIF Hotel Index (time-weighted returns)

• FTSE Nareit Lodging Index (free-float screen)

• MSCI GPFI Composite

• S&P Global Hotels & Resorts Index

• Dynamic Illiquidity Premium (1–7.5%) modeling

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Regional Playbook: Americas

Overlay Inputs:

• NCREIF Hotel Property Index

• STR segmented RevPAR curves

• CoStar asset comps

• REIT comparables (Host, Apple Hospitality, Marriott)

Quantamental Insights:
• AHA sensitive to cap rate compression.
• BAS lower volatility given liquidity depth.
• LSD stress tests on refinancing cycles.
Key Insight: U.S. is baseline but requires careful compression risk modeling.

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Regional Playbook: Europe

• FTSE EPRA/NAREIT Europe Index

• Cambridge European Private Hospitality Index

• Eurostat & OECD tourism/property data

Quantamental Insights:
• AHA discounts for FX drag, cross-border tax friction.
• BAS includes labor and sovereign spread volatility.
• LSD stress from permit entitlement cycles.
Key Insight: Structural arbitrage (OpCo/PropCo splits) are alpha drivers.

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Regional Playbook: APAC ex-ASEAN

• MSCI APAC Real Estate Index

• CoStar APAC hospitality performance

• JLL/Savills pricing curves

Quantamental Insights:
• AHA incorporates hedging cost friction.
• BAS stressed by FX volatility and urban supply elasticities.
• LSD reflects multi-phase development risks.
Key Insight: FX risk is active, not passive; must be hedged dynamically.

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Regional Playbook: ASEAN

• Central bank FX/tourism data

• ASEAN GDP-adjusted hotel indices

• JLL ASEAN hotel market reports

Quantamental Insights:
• AHA models FX and political risk premiums.
• BAS shows upside skew with low base volatility.
• LSD flags liquidity traps from foreign ownership laws.
Key Insight: Long-term defensibility requires deep exit underwriting.

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Regional Playbook: Middle East

• S&P EM Hospitality Composite

• IMF tourism balance data

• Dynamic Illiquidity Premium calibration

Quantamental Insights:
• AHA reflects sovereign risk-adjusted hurdle rates.
• BAS swings by opacity and sponsor type.
• LSD embeds geopolitical shock sensitivity.
Key Insight: Local partnerships and sovereign alignments are non-negotiable.

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Conclusion: Global Discipline, Regional Precision

The BSHI platform empowers Bay Street to maintain a globally consistent, regionally adaptive investment process. Each regional playbook adjusts weighting across Bay Score, AHA, BAS, LSD, and volatility modeling to reflect local realities while adhering to global standards. This unlocks targeted alpha generation while maintaining LP-grade discipline.

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Benchmark Methodology Integration

• STR Global RevPAR indices (Total Room Inventory methodology)

• CoStar hospitality submarket data

• Cambridge Private Hospitality Index

• NCREIF Hotel Index (time-weighted returns)

• FTSE Nareit Lodging Index (free-float screen)

• MSCI GPFI Composite

• S&P Global Hotels & Resorts Index

• Dynamic Illiquidity Premium (1–7.5%) modeling

IX. CoStar Methodology Integration & Forecast Notes

• CoStar Method Tag: Denotes forecasted or modeled inputs.

• Forecast Confidence Score: Low/Moderate/High, graded on data sufficiency and regional model depth.

• Bay Score Trajectory Forecasts: Visualized under base, bull, bear cases.

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Copyright Notice and Legal Disclaimer

The materials provided by Bay Street Hospitality Fund I GP LLC are for informational purposes only and do not constitute investment advice or a solicitation. Past performance is not indicative of future results. All rights reserved © 2025 Bay Street Hospitality Fund I GP LLC.

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