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 (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 [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

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.

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 07 Jan 2009
Last Modified: 23 Oct 2016 14:57
URI: http://eprints.nottingham.ac.uk/id/eprint/21799

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