Performance and performance persistence of UK closed-end equity funds

Don Bredin, Keith Cuthbertson, Dirk Nitzsche and Dylan C. Thomas

International Review of Financial Analysis, 2014, vol. 34, issue C, 189-199

Abstract: Using a comprehensive data set of almost 300 UK closed-end equity funds over the period 1990 to 2013, we use the false discovery rate to assess the alpha-performance of individual funds with both domestic and other mandates, using self-declared benchmarks and additional risk factors. We find evidence to indicate that up to 16% of the funds have truly positive alphas while around 3% have truly negative alphas. Positive post-formation alphas using fund-price returns depend on the factor model used: there is some positive-alpha performance when post-formation returns are evaluated using a one-factor global model but substantial positive-alpha performance when using a four-factor global model.

Keywords: Closed-end funds; Performance; False discovery rate (search for similar items in EconPapers)
JEL-codes: C14 C15 G11 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:34:y:2014:i:c:p:189-199

DOI: 10.1016/j.irfa.2014.05.011

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