An exploration of the persistence of UK unit trust performance

We examine the persistence in UK unit trust performance between January 1982 and December 1996. We find significant persistence in the relative rankings of trusts using different performance measures. We also find significant persistence in the performance of portfolios of trusts, formed on the basis of prior year excess returns, when performance is evaluated relative to models based on the capital asset pricing model (CAPM) or arbitrage pricing theory (APT). However this persistence is eliminated when performance is evaluated relative to a model similar to Carhart [Journal of Finance 52 (1997) 57]. Using a conditional performance measure leads to significant reversals in performance with this model.