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

Yu, Jiejun (2012). Performance evaluation of the UK equity unit trusts: does active management add value? University of Birmingham. Ph.D.

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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: Thesis (Doctorates > Ph.D.)
Award Type: Doctorates > Ph.D.
Supervisor(s):
Supervisor(s)EmailORCID
Dickinson, David G.UNSPECIFIEDUNSPECIFIED
Barassi, MarcoUNSPECIFIEDUNSPECIFIED
Licence:
College/Faculty: Colleges (2008 onwards) > College of Social Sciences
School or Department: Birmingham Business School, Department of Economics
Funders: None/not applicable
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
URI: http://etheses.bham.ac.uk/id/eprint/3484

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