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Exploring the conditional performance of UK unit trusts

By Jonathan Fletcher and Patricia Ntozi-Obwale

Abstract

We evaluate the conditional performance of U.K. equity unit trusts using the approach of Lynch and Wachter (2007, 2008) relative to three conditional linear factor models. We find significant time variation in the conditional performance of some trust portfolios and individual trusts using the lag term spread as the information variable. The conditional performance of the trusts is countercyclical and larger trusts have more countercyclical performance than smaller trusts within certain investment sectors. These patterns in conditional trust performance cannot be fully explained by the underlying securities that the trusts hold

Topics: HG
Publisher: Springer Netherlands
Year: 2009
DOI identifier: 10.1007/s10693-009-0061-z
OAI identifier: oai:gala.gre.ac.uk:1702
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