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Exploring the Conditional Performance of U.K. Unit Trusts |
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| Authors: | Jonathan Fletcher Patricia Ntozi-Obwale | ||
| Institution: | (1) Department of Accounting and Finance, University of Strathclyde, Curran Building, 100 Cathedral Street, Glasgow, G4 0LN, UK;(2) Department of Accounting and Finance, University of Greenwich, Old Royal Naval College, Greenwich, London, SE10 9LS, England, UK | ||
| Abstract: | We evaluate the conditional performance of U.K. equity unit trusts using the approach of Lynch and Wachter (2007, 2008) relative to three conditional linear factor models. We find significant time variation in the conditional performance of
some trust portfolios and individual trusts using the lag term spread as the information variable. The conditional performance
of the trusts is countercyclical and larger trusts have more countercyclical performance than smaller trusts within certain
investment sectors. These patterns in conditional trust performance cannot be fully explained by the underlying securities
that the trusts hold.
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| Keywords: | Conditional performance Stochastic discount factor Linear factor models Unit trusts | ||
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