Is international trust performance predictable over time? A note

Research output: Contribution to journalArticle

Abstract

We examine whether past return measures have any significant predictive ability for future returns of UK unit trusts with international equity objectives. We find significant positive persistence between the past return performance of the trust relative to its investment sector and future trust returns relative to its sector. This result holds at short-run and long-run return horizons. The persistence is stronger in trusts that perform well relative to their sector. Our findings suggest that the past return performance of the trust relative to their sector provides a useful guide to future return performance relative to their sector.
LanguageEnglish
Pages123-132
Number of pages9
JournalAccounting and Finance
Volume48
Issue number1
DOIs
Publication statusPublished - 2008

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Persistence
Relative performance
Long-run returns
Predictive ability
Equity
Unit trusts
Short-run

Keywords

  • performance persistence
  • international unit trusts
  • investment sector
  • G10
  • G12

Cite this

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Is international trust performance predictable over time? A note. / Fletcher, J.E.; Marshall, A.P.

In: Accounting and Finance, Vol. 48, No. 1, 2008, p. 123-132.

Research output: Contribution to journalArticle

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