Is International Trust Performance Predictable Over Time? A Note

10 Pages Posted: 29 Feb 2008

See all articles by Jonathan Fletcher

Jonathan Fletcher

University of Strathclyde

Andrew P. Marshall

University of Strathclyde - Strathclyde Business School

Date Written: 2007-05-18

Abstract

We examine whether past return measures have any significant predictive ability for future returns of UK unit trusts with international equity objectives. We find significant positive persistence between the past return performance of the trust relative to its investment sector and future trust returns relative to its sector. This result holds at short-run and long-run return horizons. The persistence is stronger in trusts that perform well relative to their sector. Our findings suggest that the past return performance of the trust relative to their sector provides a useful guide to future return performance relative to their sector.

Suggested Citation

Fletcher, Jonathan and Marshall, Andrew P., Is International Trust Performance Predictable Over Time? A Note (2007-05-18). Accounting & Finance, Vol. 48, Issue 1, pp. 123-132, March 2008, Available at SSRN: https://ssrn.com/abstract=1100197 or http://dx.doi.org/10.1111/j.1467-629X.2007.00237.x

Jonathan Fletcher (Contact Author)

University of Strathclyde

16 Richmond Street
Glasgow 1XQ, Scotland G1 1XQ
United Kingdom

Andrew P. Marshall

University of Strathclyde - Strathclyde Business School ( email )

100 Cathedral Street
Glasgow G4 0LN
United Kingdom
44 0141 548 3894 (Phone)

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