Eres : Digital Library : Works

Paper eres2001_211:
The Portfolio strategy of UK Property Companies. "Style" Analysis and Portfolio Performance

id eres2001_211
authors Les Ruddock
year 2001
title The Portfolio strategy of UK Property Companies. "Style" Analysis and Portfolio Performance
source 8th European Real Estate Society Conference (26-29 June 2001) Alicante, Spain
summary 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 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.
keywords Commercial property, portfolio strategy, return-based style analysis
series ERES:conference
content file.pdf (72,959 bytes)
discussion No discussions. Post discussion ...
ratings
session Portfolio I
last changed 2009/07/10 18:07
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