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An Examination of UK Unit Trust Performance within the Arbitrage Pricing Theory Framework

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  • Fletcher, Jonathan

Abstract

This paper examines the performance of a sample of 101 United Kingdom unit trusts within an Arbitrage Pricing Theory framework and considers the relationship between performance and a number of trust characteristics. For this sample of trusts there appears to be little relationship between performance and the investment objective, size and expenses of the trusts. Also portfolio strategies using past trust performance to rank the trusts fails to generate significant abnormal returns relative to two different benchmark portfolios. Copyright 1997 by Kluwer Academic Publishers

Suggested Citation

  • Fletcher, Jonathan, 1997. "An Examination of UK Unit Trust Performance within the Arbitrage Pricing Theory Framework," Review of Quantitative Finance and Accounting, Springer, vol. 8(2), pages 91-107, March.
    • Handle: RePEc:kap:rqfnac:v:8:y:1997:i:2:p:91-107
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    Cited by:

    1. Jonathan Fletcher & David Forbes, 2002. "U.K. Unit Trust Performance: Does it Matter Which Benchmark or Measure is Used?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 21(3), pages 195-218, June.
    2. Keith Cuthbertson & Dirk Nitzsche & Niall O'Sullivan, 2012. "False Discoveries in UK Mutual Fund Performance," European Financial Management, European Financial Management Association, vol. 18(3), pages 444-463, June.
    3. Cuthbertson, Keith & Nitzsche, Dirk, 2013. "Performance, stock selection and market timing of the German equity mutual fund industry," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 86-101.
    4. Elyas Elyasiani & Jingyi Jia, 2011. "Performance persistence of closed-end funds," Review of Quantitative Finance and Accounting, Springer, vol. 37(3), pages 381-408, October.
    5. Foran, Jason & O'Sullivan, Niall, 2014. "Liquidity risk and the performance of UK mutual funds," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 178-189.
    6. Bredin, Don & Cuthbertson, Keith & Nitzsche, Dirk & Thomas, Dylan C., 2014. "Performance and performance persistence of UK closed-end equity funds," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 189-199.

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