Arbitrage bounds and U.K. unit trust performance

Jonathan Fletcher, Patricia Ntozi-Obwale

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

We use the arbitrage performance bounds of Ahn, Cao and Chretien (2003) to evaluate U.K. unit trust performance between January 1988 and December 2002. We find that trust performance is sensitive to the admissible stochastic discount factor used for both the average trust and the majority of individual trusts. The investment style, size, load charge, and annual charge of the trust all have an impact on trust performance. We find for some trusts, the Jensen (1968) and Ferson and Schadt (1996) measures do not satisfy arbitrage bounds by the base assets.
Original languageEnglish
Pages (from-to)580-600
Number of pages21
JournalJournal of Business Finance and Accounting
Volume35
Issue number3-4
DOIs
Publication statusPublished - Apr 2008

Keywords

  • performance evaluation
  • stochastic discount factor
  • arbitrage bounds

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