Exploring the conditional performance of U.K. unit trusts

Jonathan Fletcher, Patricia Ntozi-Obwale

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

We evaluate the conditional performance of U.K. equity unit trusts using the approach of Lynch and Wachter(2007, 2008) relative to three conditional linear factor models. We find significant time variation in the conditional performance of some trust portfolios and individual trusts using the lag term spread as the information variable. The conditional performance of the trusts is countercyclical and larger trusts have more countercyclical performance than smaller trusts within certain investment sectors. These patterns in conditional trust performance cannot be fully explained by the underlying securities that the trusts hold.
LanguageEnglish
Pages21-44
Number of pages23
JournalJournal of Financial Services Research
Volume36
Issue number1
DOIs
Publication statusPublished - Aug 2009

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Unit trusts
Equity
Term spread
Lag
Time variation

Keywords

  • conditional performance
  • stochastic discount factor
  • linear factor models
  • unit trusts

Cite this

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Exploring the conditional performance of U.K. unit trusts. / Fletcher, Jonathan; Ntozi-Obwale, Patricia.

In: Journal of Financial Services Research, Vol. 36, No. 1, 08.2009, p. 21-44.

Research output: Contribution to journalArticle

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