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...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2008
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| Online Access: | https://eprints.nottingham.ac.uk/21799/ |
| _version_ | 1848792304137011200 |
|---|---|
| author | Kurniadi, Agus |
| author_facet | Kurniadi, Agus |
| author_sort | Kurniadi, Agus |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T18:42:16Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-21799 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:42:16Z |
| publishDate | 2008 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-217992018-01-12T15:11:43Z https://eprints.nottingham.ac.uk/21799/ CAN INVESTMENT PROFESSIONALS CONSISTENTLY BEAT THE MARKET? AN INVESTIGATION OF UNIT TRUST/OEIC PERFORMANCE AND THE ���¢��������HOT HAND���¢�������� PHENOMENON IN THE UK, 2004 - 2008 Kurniadi, Agus 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. 2008 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/21799/1/08MAlixak20.pdf Kurniadi, Agus (2008) CAN INVESTMENT PROFESSIONALS CONSISTENTLY BEAT THE MARKET? AN INVESTIGATION OF UNIT TRUST/OEIC PERFORMANCE AND THE ���¢��������HOT HAND���¢�������� PHENOMENON IN THE UK, 2004 - 2008. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Kurniadi, Agus CAN INVESTMENT PROFESSIONALS CONSISTENTLY BEAT THE MARKET? AN INVESTIGATION OF UNIT TRUST/OEIC PERFORMANCE AND THE ���¢��������HOT HAND���¢�������� PHENOMENON IN THE UK, 2004 - 2008 |
| title | CAN INVESTMENT PROFESSIONALS CONSISTENTLY
BEAT THE MARKET?
AN INVESTIGATION OF UNIT TRUST/OEIC PERFORMANCE
AND THE ���¢��������HOT HAND���¢�������� PHENOMENON
IN THE UK, 2004 - 2008 |
| title_full | CAN INVESTMENT PROFESSIONALS CONSISTENTLY
BEAT THE MARKET?
AN INVESTIGATION OF UNIT TRUST/OEIC PERFORMANCE
AND THE ���¢��������HOT HAND���¢�������� PHENOMENON
IN THE UK, 2004 - 2008 |
| title_fullStr | CAN INVESTMENT PROFESSIONALS CONSISTENTLY
BEAT THE MARKET?
AN INVESTIGATION OF UNIT TRUST/OEIC PERFORMANCE
AND THE ���¢��������HOT HAND���¢�������� PHENOMENON
IN THE UK, 2004 - 2008 |
| title_full_unstemmed | CAN INVESTMENT PROFESSIONALS CONSISTENTLY
BEAT THE MARKET?
AN INVESTIGATION OF UNIT TRUST/OEIC PERFORMANCE
AND THE ���¢��������HOT HAND���¢�������� PHENOMENON
IN THE UK, 2004 - 2008 |
| title_short | CAN INVESTMENT PROFESSIONALS CONSISTENTLY
BEAT THE MARKET?
AN INVESTIGATION OF UNIT TRUST/OEIC PERFORMANCE
AND THE ���¢��������HOT HAND���¢�������� PHENOMENON
IN THE UK, 2004 - 2008 |
| title_sort | can investment professionals consistently
beat the market?
an investigation of unit trust/oeic performance
and the ã�â�ã�â¢ã�â�ã�â�ã�â�ã�â�hot handã�â�ã�â¢ã�â�ã�â�ã�â�ã�â� phenomenon
in the uk, 2004 - 2008 |
| url | https://eprints.nottingham.ac.uk/21799/ |