The performance of UK investment trusts

Date
1996
Authors
Bal, Y.
Leger, L. A.
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Source Title
The Service Industries Journal
Print ISSN
0264-2069
Electronic ISSN
Publisher
Routledge
Volume
16
Issue
1
Pages
67 - 81
Language
English
Type
Article
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Abstract

The Performance of 92 UK investment trusts was analysed over the period 1975 to 1993 using the Sharpe Treynor and Jensen measures of portfolio performance. A very high degree of correlation was found between the measures. Even without correction for transactions costs funds did not on average outperform the market, although a few individual funds appeared to do so. Fund rankings by the Sharpe measure showed significant intertemporal persistence, especially in the income-producing group of funds, which needs further investigation.

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Published Version (Please cite this version)