The Impact Of Portfolio Strategy On The ‘Style’ Performance Of U.K. Property Companies

This study applied a constrained multiple regression model to the examination of property portfolio exposure. An asset class factor model namely return-based style analysis (RBSA) was developed by Sharpe (1988, 1992) to measure the exposures of each component of a mutual fund’s portfolio to moveme...

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Main Authors: Mohd. Ali, Dr. Hishamuddin, Ruddock, Dr. Les
Format: Article
Language:English
Published: 2000
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Online Access:http://eprints.utm.my/id/eprint/1291/1/Hisham-JFMPC2000.pdf
http://eprints.utm.my/id/eprint/1291/
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spelling my.utm.12912010-06-01T02:52:41Z http://eprints.utm.my/id/eprint/1291/ The Impact Of Portfolio Strategy On The ‘Style’ Performance Of U.K. Property Companies Mohd. Ali, Dr. Hishamuddin Ruddock, Dr. Les H Social Sciences (General) This study applied a constrained multiple regression model to the examination of property portfolio exposure. An asset class factor model namely return-based style analysis (RBSA) was developed by Sharpe (1988, 1992) to measure the exposures of each component of a mutual fund’s portfolio to movements in their returns. Total returns from ten public-listed property companies (PLPCs), based on their share price movements, were used to estimate the style exposures of three commercial property types - retail, office and industrial. The study examined the relationship of the return for three commercial property types to each portfolio of PLPC. The effective portfolio allocations that are derived by RBSA are then compared with the actual average portfolio allocation of the property companies. RBSA is seen to be a particularly effective tool in the explanation of the returns of PLPCs pursuing growth or income strategies. This study also found that other aspects of portfolio allocation determinants such as gearing, the features of the property portfolio and the property market cycle were worthy of consideration. Keywords – Commercial property, Portfolio allocation, Portfolio strategy, Portfolio Performance, Return-based style analysis 2000-12 Article PeerReviewed application/pdf en http://eprints.utm.my/id/eprint/1291/1/Hisham-JFMPC2000.pdf Mohd. Ali, Dr. Hishamuddin and Ruddock, Dr. Les (2000) The Impact Of Portfolio Strategy On The ‘Style’ Performance Of U.K. Property Companies. Journal of Financial Management of Property and Construction, 5 (3). pp. 79-84.
institution Universiti Teknologi Malaysia
building UTM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Malaysia
content_source UTM Institutional Repository
url_provider http://eprints.utm.my/
language English
topic H Social Sciences (General)
spellingShingle H Social Sciences (General)
Mohd. Ali, Dr. Hishamuddin
Ruddock, Dr. Les
The Impact Of Portfolio Strategy On The ‘Style’ Performance Of U.K. Property Companies
description This study applied a constrained multiple regression model to the examination of property portfolio exposure. An asset class factor model namely return-based style analysis (RBSA) was developed by Sharpe (1988, 1992) to measure the exposures of each component of a mutual fund’s portfolio to movements in their returns. Total returns from ten public-listed property companies (PLPCs), based on their share price movements, were used to estimate the style exposures of three commercial property types - retail, office and industrial. The study examined the relationship of the return for three commercial property types to each portfolio of PLPC. The effective portfolio allocations that are derived by RBSA are then compared with the actual average portfolio allocation of the property companies. RBSA is seen to be a particularly effective tool in the explanation of the returns of PLPCs pursuing growth or income strategies. This study also found that other aspects of portfolio allocation determinants such as gearing, the features of the property portfolio and the property market cycle were worthy of consideration. Keywords – Commercial property, Portfolio allocation, Portfolio strategy, Portfolio Performance, Return-based style analysis
format Article
author Mohd. Ali, Dr. Hishamuddin
Ruddock, Dr. Les
author_facet Mohd. Ali, Dr. Hishamuddin
Ruddock, Dr. Les
author_sort Mohd. Ali, Dr. Hishamuddin
title The Impact Of Portfolio Strategy On The ‘Style’ Performance Of U.K. Property Companies
title_short The Impact Of Portfolio Strategy On The ‘Style’ Performance Of U.K. Property Companies
title_full The Impact Of Portfolio Strategy On The ‘Style’ Performance Of U.K. Property Companies
title_fullStr The Impact Of Portfolio Strategy On The ‘Style’ Performance Of U.K. Property Companies
title_full_unstemmed The Impact Of Portfolio Strategy On The ‘Style’ Performance Of U.K. Property Companies
title_sort impact of portfolio strategy on the ‘style’ performance of u.k. property companies
publishDate 2000
url http://eprints.utm.my/id/eprint/1291/1/Hisham-JFMPC2000.pdf
http://eprints.utm.my/id/eprint/1291/
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score 13.211869