Picture of a sphere with binary code

Making Strathclyde research discoverable to the world...

The Strathprints institutional repository is a digital archive of University of Strathclyde research outputs. It exposes Strathclyde's world leading Open Access research to many of the world's leading resource discovery tools, and from there onto the screens of researchers around the world.

Explore Strathclyde Open Access research content

Conditional performance in different states of the economy: evidence from U.K. unit trusts

Fletcher, Jonathan and Ntozi-Obwale, Patricia and Power, D. (2009) Conditional performance in different states of the economy: evidence from U.K. unit trusts. Journal of Financial Transformation, 24. pp. 155-161. ISSN 1755-361X

[img]
Preview
PDF (strathprints014082.pdf)
strathprints014082.pdf

Download (137kB) | Preview

Abstract

The purpose of this paper is to test if U.K. unit trust managers exhibit security selection and market timing skills. In other words, can they identify underpriced securities or time the market according to whether the economy is expanding or contracting. Specifically, the security selection and timing abilities is allowed to vary throughout the sample period as different economic conditions arise. The evidence shows that there is some evidence of timing skill particularly among managers of growth & income trusts when the dividend yield levels are either relatively low or relatively high. Also, managers of balanced trusts display some evidence of market timing when interest rates are relatively high. There is very little support for the view that the security selection skills of U.K. unit trust managers contribute to fund performance.