U.K. unit trust performance: does it matter which benchmark or measure is used?

Jonathan Fletcher, David Forbes

Research output: Contribution to journalArticle


We explore the validity of different benchmark specifications used to evaluate U.K. fund performance, and we examine the sensitivity of U.K. unit trust performance to the factor benchmark specification and two performance measures. Our findings suggest that the different benchmark specifications create some bias when we evaluate U.K. fund performance with either performance measure. We find that the performance of the trusts is sensitive to the factor benchmark specification used, but not to the performance measure. We also find significant time-series variations in the abnormal performance of the trusts.

Original languageEnglish
JournalJournal of Financial Services Research
Publication statusPublished - 1 Jun 2002



  • fund performance
  • benchmark specifications

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