Abstract-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.Index Terms-Equally weighted property fund portfolio, large-capitalization value socks, large-capitalization growth stocks, medium-capitalization stocks.