The evaluation of the performance of UK American unit trusts

Abstract

This article examines the performance of 85 UK unit trusts with North American investment objectives between January 1985 and December 1996 using unconditional and conditional performance measures. The paper finds that, on average, the trusts register insignificant performance to each of the respective benchmark portfolios. In addition there is no evidence of any predictability in performance. The results of the article are consistent with market efficiency in that unit trusts do not, on average, possess private information, higher expenses tend not to improve performance, and trusts are not able to consistently outperform the market.