Performance and Performance Persistence of Ethical Unit Trusts in the UK

18 Pages Posted: 15 Oct 2007

See all articles by Alan Gregory

Alan Gregory

University of Exeter - Xfi Centre; University of Exeter Business School

Julie M. Whittaker

University of Exeter Business School

Abstract

We examine performance, and persistence in the performance, of UK ethical or SRI funds and find that performance appears to be time-varying, showing that conclusions on performance itself are influenced by whether a static or time varying model is employed. Given evidence that many UK funds which claim to be international in nature may exhibit home bias in their portfolio allocations, we also propose a new measure for performance of international funds that allows for this and show that such recognition has important implications for the conclusions drawn with respect to these funds. We find evidence that supports persistence in performance, particularly at longer time horizons. There is some evidence that for domestic funds, past winning SRI funds outperform losing SRI funds to a greater extent than their control portfolio counterparts.

Suggested Citation

Gregory, Alan and Whittaker, Julie M., Performance and Performance Persistence of Ethical Unit Trusts in the UK. Journal of Business Finance & Accounting, Vol. 34, No. 7-8, pp. 1327-1344, September/October 2007, Available at SSRN: https://ssrn.com/abstract=1020802 or http://dx.doi.org/10.1111/j.1468-5957.2007.02006.x

Alan Gregory

University of Exeter - Xfi Centre ( email )

University of Exeter
Xfi Building, Rennes Dr.
Exeter, EX4 3BZ
United Kingdom

University of Exeter Business School ( email )

Streatham Court
Xfi Building Rennes Dr.
Exeter, EX4 4JH
United Kingdom

Julie M. Whittaker (Contact Author)

University of Exeter Business School ( email )

Streatham Court
Xfi Building, Rennes Dr.
Exeter, EX4 4JH
United Kingdom

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