Abstract
The existing literature of performance persistence of UK investment trusts is limited. We are going to use a sample of 210 UK investment trusts to test performance persistence in different time periods. We sort funds into rank portfolios based on past performance. A positive and statistically significant α indicates a skilled fund manager whose decisions add value to the fund. On the other hand, negative α values or statistically insignificant values represent inferior or neutral performance of the manager. Four out of sixteen sectors display an α that is positive and statistically significant at the 5% and 1% significance level. Five out of sixteen sectors display an alpha that is negative and statistically significant. Fifteen out of the sixteen sectors show a negative and statistically significant market timing ability (γ). So while there is some evidence for managerial performance persistence in the short-term, there is little evidence for persistence in the long-run.
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