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The Portfolio strategy of UK Property Companies. "Style" Analysis and Portfolio Performance

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  • Les Ruddock

Abstract

The paper is concerned with a study of the property portfolio strategies of a selection of the major property companies in the U.K. An asset class factor model, namely return-based style analysis (RBSA) is used to measure the exposures of each component of a portfolio in relation to its returns. Total returns from ten listed property companies, based on their share movements were used to estimate the style exposures of three commercially based property types ñ retail, office and industrial. Data on quarterly share price movements for a twelve-year period were taken and this study examined the relationship of the return for the three commercial property types to each portfolio. The effective portfolio allocations that are derived by RBSA are then compared to the actual average portfolio allocation of the property companies. RBSA is seen as a particularly effective tool in the explanation of the returns of property companies pursuing growth or income strategies.

Suggested Citation

  • Les Ruddock, 2001. "The Portfolio strategy of UK Property Companies. "Style" Analysis and Portfolio Performance," ERES eres2001_211, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2001_211
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    References listed on IDEAS

    as
    1. Joseph Gyourko & Donald B. Keim, 1992. "What Does the Stock Market Tell Us About Real Estate Returns?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(3), pages 457-485, September.
    2. K. C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1990. "Risk and Return on Real Estate: Evidence from Equity REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 431-452, December.
    3. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    4. Joseph Gyourko & Donald B. Keim, "undated". "What Does the Stock Market Tell Us About Real Estate Returns? (Revision of 18-91) (Reprint 030)," Rodney L. White Center for Financial Research Working Papers 11-92, Wharton School Rodney L. White Center for Financial Research.
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    More about this item

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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