An exploration of the persistence of UK unit trust performance

Jonathan Fletcher, David Forbes

Research output: Contribution to journalArticle

Abstract

We examine the persistence in UK unit trust performance between January 1982 and December 1996. We find significant persistence in the relative rankings of trusts using different performance measures. We also find significant persistence in the performance of portfolios of trusts, formed on the basis of prior year excess returns, when performance is evaluated relative to models based on the capital asset pricing model (CAPM) or arbitrage pricing theory (APT). However this persistence is eliminated when performance is evaluated relative to a model similar to Carhart [Journal of Finance 52 (1997) 57]. Using a conditional performance measure leads to significant reversals in performance with this model.

Original languageEnglish
JournalJournal of Empirical Finance
DOIs
Publication statusPublished - 1 Dec 2002

Fingerprint

Unit trusts
Persistence
Performance measures
Arbitrage pricing theory
Capital asset pricing model
Finance
Ranking
Reversal
Excess returns

Keywords

  • benchmark portfolios
  • performance persistence

Cite this

@article{7d16f118742c42f48f57f5cb228e16eb,
title = "An exploration of the persistence of UK unit trust performance",
abstract = "We examine the persistence in UK unit trust performance between January 1982 and December 1996. We find significant persistence in the relative rankings of trusts using different performance measures. We also find significant persistence in the performance of portfolios of trusts, formed on the basis of prior year excess returns, when performance is evaluated relative to models based on the capital asset pricing model (CAPM) or arbitrage pricing theory (APT). However this persistence is eliminated when performance is evaluated relative to a model similar to Carhart [Journal of Finance 52 (1997) 57]. Using a conditional performance measure leads to significant reversals in performance with this model.",
keywords = "benchmark portfolios, performance persistence",
author = "Jonathan Fletcher and David Forbes",
note = "Originally published in: Journal of Empirical Finance (2002), 9 (5), pp.475-493.",
year = "2002",
month = "12",
day = "1",
doi = "10.1016/S0927-5398(02)00006-3",
language = "English",
journal = "Journal of Empirical Finance",
issn = "0927-5398",
publisher = "Elsevier B.V.",

}

An exploration of the persistence of UK unit trust performance. / Fletcher, Jonathan; Forbes, David.

In: Journal of Empirical Finance, 01.12.2002.

Research output: Contribution to journalArticle

TY - JOUR

T1 - An exploration of the persistence of UK unit trust performance

AU - Fletcher, Jonathan

AU - Forbes, David

N1 - Originally published in: Journal of Empirical Finance (2002), 9 (5), pp.475-493.

PY - 2002/12/1

Y1 - 2002/12/1

N2 - We examine the persistence in UK unit trust performance between January 1982 and December 1996. We find significant persistence in the relative rankings of trusts using different performance measures. We also find significant persistence in the performance of portfolios of trusts, formed on the basis of prior year excess returns, when performance is evaluated relative to models based on the capital asset pricing model (CAPM) or arbitrage pricing theory (APT). However this persistence is eliminated when performance is evaluated relative to a model similar to Carhart [Journal of Finance 52 (1997) 57]. Using a conditional performance measure leads to significant reversals in performance with this model.

AB - We examine the persistence in UK unit trust performance between January 1982 and December 1996. We find significant persistence in the relative rankings of trusts using different performance measures. We also find significant persistence in the performance of portfolios of trusts, formed on the basis of prior year excess returns, when performance is evaluated relative to models based on the capital asset pricing model (CAPM) or arbitrage pricing theory (APT). However this persistence is eliminated when performance is evaluated relative to a model similar to Carhart [Journal of Finance 52 (1997) 57]. Using a conditional performance measure leads to significant reversals in performance with this model.

KW - benchmark portfolios

KW - performance persistence

U2 - 10.1016/S0927-5398(02)00006-3

DO - 10.1016/S0927-5398(02)00006-3

M3 - Article

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

SN - 0927-5398

ER -