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An Exploration of the Conditional Timing Performance of UK Unit Trusts

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  • Alistair Byrne
  • Jonathan Fletcher
  • Patricia Ntozi

Abstract

We examine the conditional market timing performance of UK unit trusts between January 1988 and December 2002. We find no evidence of superior conditional market timing performance by UK unit trusts either across different portfolios of trusts or by individual trusts. We also find that benchmark investing is significant for UK unit trusts and trusts have high numerical risk aversion to deviations from the benchmark. Our findings suggest that UK trusts act like benchmark investors.

Suggested Citation

  • Alistair Byrne & Jonathan Fletcher & Patricia Ntozi, 2006. "An Exploration of the Conditional Timing Performance of UK Unit Trusts," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(5‐6), pages 816-838, June.
    • Handle: RePEc:bla:jbfnac:v:33:y:2006:i:5-6:p:816-838
    DOI: 10.1111/j.1468-5957.2006.00617.x
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    References listed on IDEAS

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    Cited by:

    1. Cuthbertson, Keith & Nitzsche, Dirk, 2013. "Performance, stock selection and market timing of the German equity mutual fund industry," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 86-101.
    2. Bangassa, Kenbata & Su, Chen & Joseph, Nathan L., 2012. "Selectivity and timing performance of UK investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1149-1175.

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