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 language | English |
|---|---|
| Journal | Journal of Empirical Finance |
| DOIs | |
| Publication status | Published - 1 Dec 2002 |
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Keywords
- benchmark portfolios
- performance persistence
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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 journal › Article
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 -