Performance of UK equity unit trusts

G Quigley () and R A Sinquefield
Additional contact information
G Quigley: Dimensional Fund Advisors
R A Sinquefield: Chairman and Chief Investment Officer of Dimensional Fund Advisors Inc.

Journal of Asset Management, 2000, vol. 1, issue 1, No 6, 72-92

Abstract: Abstract We examine the performance of all UK unit trusts that concentrate their investments in UK equities. This study covers the period from January 1978 to December 1997. We compare the returns of these unit trusts with a three-factor model which takes into account their exposure to market, value and size risk. Once we control for these risk factors, we find that managers, net of expenses, reliably underperform the market. The news is worse for small-company unit trusts. Contrary to the notion that small-company shares offer abundant ‘beat the market’ opportunities, we find that small-company trusts are the worst performers. We also examine performance persistence. Net of expenses, good performance does not reliably persist, but bad performance does.

Keywords: performance measurement; multi-factor models; persistence; passive management; unit trusts (search for similar items in EconPapers)
Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (28)

Downloads: (external link)
http://link.springer.com/10.1057/palgrave.jam.2240006 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:1:y:2000:i:1:d:10.1057_palgrave.jam.2240006

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/palgrave.jam.2240006

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().