The Performance of UK International Unit Trusts

24 Pages Posted: 24 Jun 2005

See all articles by Jonathan Fletcher

Jonathan Fletcher

University of Strathclyde - Department of Accounting and Finance

Andrew P. Marshall

University of Strathclyde - Strathclyde Business School

Abstract

We evaluate the performance of UK unit trusts with international equity objectives between January 1985 and December 2000 relative to domestic benchmark strategies. We use performance measures based on Jensen (1968), Ferson and Schadt (1996), and the Chen and Knez (1996) law of one price (LOP). We find more favourable trust performance using the Jensen and Ferson and Schadt measures relative to the LOP measure. There is evidence of inferior performance by some international trusts using the unconditional LOP measure. The charges and investment sector of the trust also has an impact on the performance of the trusts using the LOP measure.

Suggested Citation

Fletcher, Jonathan and Marshall, Andrew P., The Performance of UK International Unit Trusts. European Financial Management, Vol. 11, No. 3, pp. 365-386, June 2005, Available at SSRN: https://ssrn.com/abstract=736407

Jonathan Fletcher (Contact Author)

University of Strathclyde - Department of Accounting and Finance ( email )

Curran Building
100 Cathedral Street
Glasgow G4 0LN
United Kingdom
(+44)0141 548 3892 (Phone)
(+44)0141 552 3547 (Fax)

Andrew P. Marshall

University of Strathclyde - Strathclyde Business School ( email )

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

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
19
Abstract Views
1,183
PlumX Metrics