Conditional performance in different states of the economy: evidence from U.K. unit trusts

Patricia Ntozi-Obwale, Jonathan Fletcher, David Power

Research output: Contribution to journalArticle

Abstract

The purpose of this paper is to test if U.K. unit trust managers exhibit security selection and market timing skills. In other words, can they identify underpriced securities or time the market according to whether the economy is expanding or contracting. Specifically, the security selection and timing abilities is allowed to vary throughout the sample period as different economic conditions arise. The evidence shows that there is some evidence of timing skill particularly among managers of growth & income trusts when the dividend yield levels are either relatively low or relatively high. Also, managers of balanced trusts display some evidence of market timing when interest rates are relatively high. There is very little support for the view that the security selection skills of U.K. unit trust managers contribute to fund performance.
LanguageEnglish
Pages155-161
Number of pages6
JournalJournal of Financial Transformation
Volume24
Publication statusPublished - 2009

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Managers
Unit trusts
Security selection
Market timing
Contracting
Securities market
Income
Interest rates
Economic conditions
Dividend yield
Fund performance

Keywords

  • uk unit trusts
  • accountancy
  • finance

Cite this

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Conditional performance in different states of the economy: evidence from U.K. unit trusts. / Ntozi-Obwale, Patricia; Fletcher, Jonathan; Power, David.

In: Journal of Financial Transformation, Vol. 24, 2009, p. 155-161.

Research output: Contribution to journalArticle

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