An exploration of the persistence of UK unit trust performance

Jonathan Fletcher; David Forbes

doi:10.1016/S0927-5398(02)00006-3

An exploration of the persistence of UK unit trust performance

Jonathan Fletcher, David Forbes

Glasgow Caledonian University

Research output: Contribution to journal › Article › peer-review

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	https://doi.org/10.1016/S0927-5398(02)00006-3
Publication status	Published - 1 Dec 2002

Keywords

benchmark portfolios
performance persistence

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10.1016/S0927-5398(02)00006-3

Cite this

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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.",

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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.

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KW - performance persistence

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

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JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

SN - 0927-5398

ER -

An exploration of the persistence of UK unit trust performance

Abstract

Keywords

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