An exploration on the persistence of UK unit trust performance

Jonathan Fletcher; David Forbes

doi:10.1016/S0927-5398(02)00006-3

An exploration on the persistence of UK unit trust performance

Jonathan Fletcher, David Forbes

Accounting And Finance

Research output: Contribution to journal › Article › peer-review

49 Citations (Scopus)

Abstract

We examine the persistence in UK unit trust performance between January 1982 and December 1996. We find significant persistence in the relative rankings of trusts using different performance measures. We also find significant persistence in the performance of portfolios of trusts, formed on the basis of prior year excess returns, when performance is evaluated relative to models based on the capital asset pricing model (CAPM) or arbitrage pricing theory (APT). However this persistence is eliminated when performance is evaluated relative to a model similar to Carhart [Journal of Finance 52 (1997) 57]. Using a conditional performance measure leads to significant reversals in performance with this model.

Original language	English
Pages (from-to)	475-493
Number of pages	18
Journal	Journal of Empirical Finance
Volume	9
Issue number	5
DOIs	https://doi.org/10.1016/S0927-5398(02)00006-3
Publication status	Published - Dec 2002

Keywords

performance persistence
benchmark portfolios
UK
capital asset pricing model
arbitrage pricing theory

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10.1016/S0927-5398(02)00006-3

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KW - arbitrage pricing theory

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An exploration on the persistence of UK unit trust performance

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Keywords

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