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

Jonathan Fletcher

Review of Quantitative Finance and Accounting, 1997, vol. 8, issue 2, 107 pages

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

Date: 1997
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