Article thumbnail
Location of Repository

Arbitrage bounds and UK unit trust performance

By Jonathan Fletcher and Patricia Ntozi-Obwale

Abstract

We use the arbitrage performance bounds of Ahn, Cao and Chretien (2003) to evaluate UK unit trust performance between January 1988 and December 2002. We find that trust performance is sensitive to the admissible stochastic discount factor used for both the average trust and the majority of individual trusts. The investment style, size, load charge, and annual charge of the trust all have an impact on trust performance. We find for some trusts, the Jensen (1968) and Ferson and Schadt (1996) measures do not satisfy arbitrage bounds by the base assets

Topics: HG
Publisher: Blackwell Publishing Ltd.
Year: 2008
DOI identifier: 10.1111/(ISSN)1468-5957
OAI identifier: oai:gala.gre.ac.uk:6541
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://dx.doi.org/10.1111/j.14... (external link)
  • http://www2.gre.ac.uk/about/sc... (external link)
  • http://onlinelibrary.wiley.com... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.