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.