Picture of athlete cycling

Open Access research with a real impact on health...

The Strathprints institutional repository is a digital archive of University of Strathclyde's Open Access research outputs. Strathprints provides access to thousands of Open Access research papers by Strathclyde researchers, including by researchers from the Physical Activity for Health Group based within the School of Psychological Sciences & Health. Research here seeks to better understand how and why physical activity improves health, gain a better understanding of the amount, intensity, and type of physical activity needed for health benefits, and evaluate the effect of interventions to promote physical activity.

Explore open research content by Physical Activity for Health...

Arbitrage bounds and U.K. unit trust performance

Fletcher, Jonathan and Ntozi-Obwale, Patricia (2008) Arbitrage bounds and U.K. unit trust performance. Journal of Business Finance and Accounting, 35 (3-4). pp. 580-600. ISSN 0306-686X

Full text not available in this repository. Request a copy from the Strathclyde author

Abstract

We use the arbitrage performance bounds of Ahn, Cao and Chretien (2003) to evaluate U.K. unit trust performance between January 1988 and December 2002. We find that trust performance is sensitive to the admissible stochastic discount factor used for both the average trust and the majority of individual trusts. The investment style, size, load charge, and annual charge of the trust all have an impact on trust performance. We find for some trusts, the Jensen (1968) and Ferson and Schadt (1996) measures do not satisfy arbitrage bounds by the base assets.