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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.

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Exploring the conditional performance of U.K. unit trusts

Fletcher, Jonathan and Ntozi-Obwale, Patricia (2009) Exploring the conditional performance of U.K. unit trusts. Journal of Financial Services Research, 36 (1). pp. 21-44. ISSN 0920-8550

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Abstract

We evaluate the conditional performance of U.K. equity unit trusts using the approach of Lynch and Wachter(2007, 2008) relative to three conditional linear factor models. We find significant time variation in the conditional performance of some trust portfolios and individual trusts using the lag term spread as the information variable. The conditional performance of the trusts is countercyclical and larger trusts have more countercyclical performance than smaller trusts within certain investment sectors. These patterns in conditional trust performance cannot be fully explained by the underlying securities that the trusts hold.