CAN INVESTMENT PROFESSIONALS CONSISTENTLY BEAT THE MARKET? AN INVESTIGATION OF UNIT TRUST/OEIC PERFORMANCE AND THE ���¢��������HOT HAND���¢�������� PHENOMENON IN THE UK, 2004 - 2008
This study analyzes the performance of 2003���¢��������s Top 40 UK unit trusts over the period from January 2004 through June 2008. Our main research objectives are twofold. First, we wish to determine whether investment professionals such as unit trust managers possess superior stock-pi...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2008
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| Online Access: | https://eprints.nottingham.ac.uk/21799/ |
| Summary: | This study analyzes the performance of 2003���¢��������s Top 40 UK unit
trusts over the period from January 2004 through June 2008. Our main
research objectives are twofold. First, we wish to determine whether
investment professionals such as unit trust managers possess superior
stock-picking skills which enable them to outperform the market return.
Second, if they manage to do just that, can their performance persist
over the short-to-medium term? We apply traditional performance
measures that are based on the single-factor capital asset pricing model (CAPM) such as Sharpe ratio, Treynor ratio and Jensen alpha. We find evidence that unit trust managers on average as a group are unable to neither beat the market nor maintain their performance level consistently over our research period. |
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