Performance evaluation of UK unit trusts within the stochastic discount framework

Jonathan Fletcher, David N. Forbes

Research output: Contribution to journalArticle

9 Citations (Scopus)

Abstract

We examine the performance of U.K. unit trusts between January 1982 and December 1996 within the stochastic discount factor approach across a wide class of models. No one model dominates the others in correctly pricing passive portfolios or detecting superior performance for hypothetical trading strategies. We find no evidence of significant superior performance by the unit trusts for any model of the stochastic discount factor. Also, the charges of the trust have a mixed effect on trust performance.
Original languageEnglish
Pages (from-to)289-306
Number of pages17
JournalJournal of Financial Research
Volume27
Issue number2
DOIs
Publication statusPublished - Jun 2004

Keywords

  • performance evaluation
  • UK
  • unit trusts
  • stochastic discount framework
  • trading strategies

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