Style analysis and property fund performance

Style analysis and property fund performance There are three basic approaches to style analysis: (i) an examination of the portfolio and security selection procedures used by the fund managers, (ii) a factor model approach, and (iii) return‐based approaches, all with their own strengths and weaknesses. Of the return‐based methods the effective asset mix approach, as devised and popularised by Sharpe, offers the investor the simplest route to style analysis. This study applies this approach to a sample of 37 property funds in the UK and shows that style analysis can make an important contribution to the analysis of portfolio performance. Results that should prove of considerable interest to fund managers and property professionals alike. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Property Investment & Finance Emerald Publishing

Style analysis and property fund performance

Journal of Property Investment & Finance, Volume 17 (2): 13 – May 1, 1999

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Publisher
Emerald Publishing
Copyright
Copyright © 1999 MCB UP Ltd. All rights reserved.
ISSN
1463-578X
DOI
10.1108/14635789910258534
Publisher site
See Article on Publisher Site

Abstract

There are three basic approaches to style analysis: (i) an examination of the portfolio and security selection procedures used by the fund managers, (ii) a factor model approach, and (iii) return‐based approaches, all with their own strengths and weaknesses. Of the return‐based methods the effective asset mix approach, as devised and popularised by Sharpe, offers the investor the simplest route to style analysis. This study applies this approach to a sample of 37 property funds in the UK and shows that style analysis can make an important contribution to the analysis of portfolio performance. Results that should prove of considerable interest to fund managers and property professionals alike.

Journal

Journal of Property Investment & FinanceEmerald Publishing

Published: May 1, 1999

Keywords: Performance monitoring; Property portfolio management

References

  • The performance of mutual funds in the period 1945‐1964
    Jensen, M.C

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