The performance of UK investment trusts
Date
1996
Authors
Bal, Y.
Leger, L. A.
Editor(s)
Advisor
Supervisor
Co-Advisor
Co-Supervisor
Instructor
Source Title
The Service Industries Journal
Print ISSN
0264-2069
Electronic ISSN
Publisher
Routledge
Volume
16
Issue
1
Pages
67 - 81
Language
English
Type
Journal Title
Journal ISSN
Volume Title
Series
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.