—This study investigates Thai property funds’
in-depth diversification ability during 2003 and 2011 by
applying Sharpe asset allocation method. The equally weighted
property fund portfolio is built and replicated by a portfolio
built from12 asset classes including government’s short term
bills, government’s intermediate-term bonds, government’s
long-term bonds, corporate bonds, property sector stock Index,
large capitalization value socks, large capitalization growth
stocks, medium-capitalization stocks, small-capitalization
stocks, non-Thai market bond index, developed market stock
index and emerging market stock. The result shows that Thai
property funds’ behavior is exposed to corporate bond (60%),
medium-capitalization stock (21%) and small-capitalization
stock (10%). However, the analysis also indicates that the
equally weighted property fund portfolio is made up of style
component by only 47%. There exists a unique characteristic of
property funds which could not be found from other asset
classes. The existence of property funds allows investors to
further eliminate diversifiable risk in their portfolio.
—Equally weighted property fund portfolio,
large-capitalization value socks, large-capitalization growth
stocks, medium-capitalization stocks.
Aekkachai Nittayakasetwat is with NIDA Business School, National
Institute of Development, Thailand (e-mail: email@example.com).
Jiroj Buranasiri is with the Department of Business Administration,
Faculty of Social Science, Srinakharinwirot Unisversity, Thailand (e-mail:
Cite: Aekkachai Nittayakasetwat and Jiroj Buranasiri, "The Insight Diversification Characteristic of Real Estate Security in Capital Market under Sharpe’s Asset Class Factor Model: The Case of Thai Property Funds," International Journal of Trade, Economics and Finance vol.5, no.6, pp. 472-476, 2014.