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Performance evaluation of the UK equity unit trusts: does active management add value?

Yu, Jiejun (2012)
Ph.D. thesis, University of Birmingham.

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Abstract

Since Jensen (1968), performance evaluation of managed funds has been a popular topic in Finance. Whilst most of the studies have been focused on the US mutual funds, the evaluation of fund performance in the UK has been relatively few. This thesis investigates if active equity portfolio management can add value using a sample of UK unit trusts. Chapter 1 introduces the UK unit trust industry and the descriptive results of the data. Chapter 2 provides a literature review on performance evaluation. Chapter 3 explains the stochastic discount factor models and the generalized method of moments. It further explores the most fitted estimator with examinations of their small sample properties. Chapter 4 evaluates the conditioning performance of UK unit trusts within the framework of the stochastic discount factor models. Chapter 5 investigates style performance and presents the evidence of superior performance of style rotation strategies. Chapter 6 examines performance persistence. Chapter 7 concludes.

Type of Work:Ph.D. thesis.
Supervisor(s):Dickinson, David G. and Barassi, Marco
School/Faculty:Colleges (2008 onwards) > College of Social Sciences
Department:Department of Economics, Birmingham Business School
Subjects:HB Economic Theory
HG Finance
Institution:University of Birmingham
ID Code:3484
This unpublished thesis/dissertation is copyright of the author and/or third parties. The intellectual property rights of the author or third parties in respect of this work are as defined by The Copyright Designs and Patents Act 1988 or as modified by any successor legislation. Any use made of information contained in this thesis/dissertation must be in accordance with that legislation and must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the permission of the copyright holder.
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