An exploration on the persistence of UK unit trust performance

Jonathan Fletcher, David Forbes

Research output: Contribution to journalArticlepeer-review

41 Citations (Scopus)


We examine the persistence in UK unit trust performance between January 1982 and December 1996. We find significant persistence in the relative rankings of trusts using different performance measures. We also find significant persistence in the performance of portfolios of trusts, formed on the basis of prior year excess returns, when performance is evaluated relative to models based on the capital asset pricing model (CAPM) or arbitrage pricing theory (APT). However this persistence is eliminated when performance is evaluated relative to a model similar to Carhart [Journal of Finance 52 (1997) 57]. Using a conditional performance measure leads to significant reversals in performance with this model.
Original languageEnglish
Pages (from-to)475-493
Number of pages18
JournalJournal of Empirical Finance
Issue number5
Publication statusPublished - Dec 2002


  • performance persistence
  • benchmark portfolios
  • UK
  • capital asset pricing model
  • arbitrage pricing theory

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