Performance and performance persistence of UK closed-end equity funds |
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Affiliation: | 1. Smurfit Business School, University College Dublin, Ireland;2. Cass Business School, City University London, United Kingdom;3. School of Business and Management, Queen Mary, University of London, United Kingdom |
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Abstract: | Using a comprehensive data set of almost 300 UK closed-end equity funds over the period 1990 to 2013, we use the false discovery rate to assess the alpha-performance of individual funds with both domestic and other mandates, using self-declared benchmarks and additional risk factors. We find evidence to indicate that up to 16% of the funds have truly positive alphas while around 3% have truly negative alphas. Positive post-formation alphas using fund-price returns depend on the factor model used: there is some positive-alpha performance when post-formation returns are evaluated using a one-factor global model but substantial positive-alpha performance when using a four-factor global model. |
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