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Arbitrage Bounds and UK Unit Trust Performance
Author(s) -
Fletcher Jonathan,
NtoziObwale Patricia
Publication year - 2008
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/j.1468-5957.2008.02077.x
Subject(s) - arbitrage , unit trust , investment style , unit (ring theory) , investment (military) , economics , econometrics , business , actuarial science , mathematics , financial economics , monetary economics , microeconomics , return on investment , political science , market liquidity , mathematics education , open ended investment company , production (economics) , politics , law
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.