Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.556892
Title: Performance evaluation of the UK equity unit trusts : does active management add value?
Author: Yu, Jiejun
Awarding Body: University of Birmingham
Current Institution: University of Birmingham
Date of Award: 2012
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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.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.556892  DOI: Not available
Keywords: HB Economic Theory ; HG Finance
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