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.
LanguageEnglish
Pages580-600
Number of pages21
JournalJournal of Business Finance and Accounting
Volume35
Issue number3-4
DOIs
Publication statusPublished - Apr 2008

Fingerprint

Arbitrage
Unit trusts
Charge
Assets
Stochastic discount factor
Investment style

Keywords

  • performance evaluation
  • stochastic discount factor
  • arbitrage bounds

Cite this

Fletcher, Jonathan ; Ntozi-Obwale, Patricia. / Arbitrage bounds and U.K. unit trust performance. In: Journal of Business Finance and Accounting. 2008 ; Vol. 35, No. 3-4. pp. 580-600.
@article{843400d374a74f86ad0d9340bf15bb33,
title = "Arbitrage bounds and U.K. unit trust performance",
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.",
keywords = "performance evaluation, stochastic discount factor, arbitrage bounds",
author = "Jonathan Fletcher and Patricia Ntozi-Obwale",
year = "2008",
month = "4",
doi = "10.1111/j.1468-5957.2008.02077.x",
language = "English",
volume = "35",
pages = "580--600",
journal = "Journal of Business Finance and Accounting",
issn = "0306-686X",
number = "3-4",

}

Arbitrage bounds and U.K. unit trust performance. / Fletcher, Jonathan; Ntozi-Obwale, Patricia.

In: Journal of Business Finance and Accounting, Vol. 35, No. 3-4, 04.2008, p. 580-600.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Arbitrage bounds and U.K. unit trust performance

AU - Fletcher, Jonathan

AU - Ntozi-Obwale, Patricia

PY - 2008/4

Y1 - 2008/4

N2 - 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.

AB - 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.

KW - performance evaluation

KW - stochastic discount factor

KW - arbitrage bounds

UR - http://www3.interscience.wiley.com/journal/118540481/home

U2 - 10.1111/j.1468-5957.2008.02077.x

DO - 10.1111/j.1468-5957.2008.02077.x

M3 - Article

VL - 35

SP - 580

EP - 600

JO - Journal of Business Finance and Accounting

T2 - Journal of Business Finance and Accounting

JF - Journal of Business Finance and Accounting

SN - 0306-686X

IS - 3-4

ER -