IDEAS home Printed from https://ideas.repec.org/a/pal/assmgt/v1y2000i1d10.1057_palgrave.jam.2240006.html
   My bibliography  Save this article

Performance of UK equity unit trusts

Author

Listed:
  • G Quigley

    (Dimensional Fund Advisors)

  • R A Sinquefield

    (Chairman and Chief Investment Officer of Dimensional Fund Advisors Inc.)

Abstract

We examine the performance of all UK unit trusts that concentrate their investments in UK equities. This study covers the period from January 1978 to December 1997. We compare the returns of these unit trusts with a three-factor model which takes into account their exposure to market, value and size risk. Once we control for these risk factors, we find that managers, net of expenses, reliably underperform the market. The news is worse for small-company unit trusts. Contrary to the notion that small-company shares offer abundant ‘beat the market’ opportunities, we find that small-company trusts are the worst performers. We also examine performance persistence. Net of expenses, good performance does not reliably persist, but bad performance does.

Suggested Citation

  • G Quigley & R A Sinquefield, 2000. "Performance of UK equity unit trusts," Journal of Asset Management, Palgrave Macmillan, vol. 1(1), pages 72-92, July.
    • Handle: RePEc:pal:assmgt:v:1:y:2000:i:1:d:10.1057_palgrave.jam.2240006
    DOI: 10.1057/palgrave.jam.2240006
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1057/palgrave.jam.2240006
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1057/palgrave.jam.2240006?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:assmgt:v:1:y:2000:i:1:d:10.1057_palgrave.jam.2240006. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.