We examine the performance of all UK unit trusts that concentrate their investments in UK equities. This study covers the period from January 1978 to December 1997. We compare the returns of these unit trusts with a three-factor model which takes into account their exposure to market, value and size risk. Once we control for these risk factors, we find that managers, net of expenses, reliably underperform the market. The news is worse for small-company unit trusts. Contrary to the notion that small-company shares offer abundant ‘beat the market’ opportunities, we find that small-company trusts are the worst performers. We also examine performance persistence. Net of expenses, good performance does not reliably persist, but bad performance does.
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Quigley, G., Sinquefield, R. Performance of UK equity unit trusts. J Asset Manag 1, 72–92 (2000). https://doi.org/10.1057/palgrave.jam.2240006
- performance measurement
- multi-factor models
- passive management
- unit trusts