The property portfolio allocation of property companies could be determined through a risk and return analysis of each sector considering an acceptable level of risk. The reliability of a risk and return analysis seems to depend on the adequacy of the time series data that relate to property performance measurement. Furthermore, these data tend to be complex to interpret and lack uniformity in deriving the best asset allocation of property portfolio. This study investigates the asset allocation of public listed property companies (PLPC) in the U.K. A constrained multiple regression model is applied, which was developed by Sharpe (1988, 1992) to estimate a statistical relationship between the time series of the property companies' returns and a set of time series indexes representing portfolio investment strategies. The asset mix of the portfolio emphasises commercial property as this contributes much of the property investment activity in the U.K. Returns from selected property companies are used to estimate the style exposures of three commercial property types (retail, office and industry). These style exposures are then compared with the actual portfolio allocation of the property companies along with their perceived portfolio strategy. Perceptions of the portfolio strategy of each PLPC are obtained from the company's annual report. Three categories of portfolio strategy are considered, namely: Growth, Balanced and Income strategy. Although the commercial property portfolio has less ability to explain the return of property companies, the results implicitly explain the influence of the portfolio strategy to the portfolio allocation style of property companies. Nevertheless, it is necessary to consider other portfolio allocation determinants, such as gearing, the features of the property portfolio and the property market cycle. The current stage of this research is concerned with the validation of the results

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