The performance of UK international unit trusts

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

We evaluate the performance of UK unit trusts with international equity objectives between January 1985 and December 2000 relative to domestic benchmark strategies. We use performance measures based on Jensen (1968), Ferson and Schadt (1996), and the Chen and Knez (1996) law of one price (LOP). We find more favourable trust performance using the Jensen and Ferson and Schadt measures relative to the LOP measure. There is evidence of inferior performance by some international trusts using the unconditional LOP measure. The charges and investment sector of the trust also has an impact on the performance of the trusts using the LOP measure.
LanguageEnglish
Pages365-386
Number of pages21
JournalEuropean Financial Management
Volume11
Issue number3
DOIs
Publication statusPublished - Jun 2005

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Unit trusts
Law of one price
Performance measures
Equity
Benchmark
Charge

Keywords

  • performance
  • unit trusts
  • UK

Cite this

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The performance of UK international unit trusts. / Fletcher, Jonathan; Marshall, Andrew P.

In: European Financial Management, Vol. 11, No. 3, 06.2005, p. 365-386.

Research output: Contribution to journalArticle

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