Performance of UK Equity Unit Trusts

  • Garrett Quigley
  • Rex A. Sinquefield


Studies of money manager performance are the bottom line test of market efficiency. They do not claim to uncover specific types of market failure as do the ‘anomalies’ literature of the 1980s and the behavioural finance literature of today. Rather, money manager studies ask whether there are market failures, regardless of type, that are systematically exploitable. In our opinion, the conclusion of the literature to date is a resounding ‘No’.


Mutual Fund Total Return Capital Asset Price Model Dividend Yield Monthly Return 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. Brown, S. J., Goetzmann, W., Ibbotson, R. G. and Ross, S. A. (1992) ‘Survivorship Bias in Performance Studies’, Review of Financial Studies, 5, 553–80.CrossRefGoogle Scholar
  2. Carhart, M. M. (1997a) ‘On Persistence in Mutual Fund Performance’, Journal of Finance, 52(1), 57–82.CrossRefGoogle Scholar
  3. Carhart, M. M. (1997b) ‘Mutual Fund Survivorship’, Working Paper, Goldman Sachs Asset Management, New York.Google Scholar
  4. Davis, J. L. (1999) ‘Mutual Fund Performance and Manager Style’, Working Paper, Dimensional Fund Advisors, Santa Monica.Google Scholar
  5. Dimson, E. and Marsh, P. (1995–98) Hoare Govett Smaller Companies Index, ABN AMRO Hoare Govett, London.Google Scholar
  6. Elton, E. J., Gruber, M. J., Das, S. and Hlavka, M. (1993) ‘Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios’, Review of Financial Studies, 6(1), 1–21.CrossRefGoogle Scholar
  7. Elton, E. J., Gruber, M. J. and Blake, C. R. (1996) ‘Survivorship Bias and Mutual Fund Performance’, Review of Financial Studies, 9(4), 1097–120.CrossRefGoogle Scholar
  8. Fama, E. F. and French, K. R. (1992) ‘The Cross-Section of Expected Stock Returns’, Journal of Finance, 47, 427–65.CrossRefGoogle Scholar
  9. Fama, E. F. and French, K. R. (1993) ‘Common Risk Factors in the Returns on Stocks and Bonds’, Journal of Financial Economics, 33, 3–56.CrossRefGoogle Scholar
  10. Lintner, J. (1965) ‘The Valuation of Risky Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets’, Review of Economics and Statistics, 47, 13–37.CrossRefGoogle Scholar
  11. Malkiel, B. G. (1995) ‘Returns from Investing in Equity Mutual Funds 1971 to 1991’, Journal of Finance, 50(2), 549–72.CrossRefGoogle Scholar
  12. Sharpe, W. F. (1964) ‘Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk’, Journal of Finance, 19, 425–42.Google Scholar
  13. Strong, N. and Xinzhong G. Xu (1997) ‘Explaining the Cross-Section of UK Expected Stock Returns’, British Accounting Review, 1, 1–23.CrossRefGoogle Scholar
  14. Unit Frust Yearbooks (1992–1997) FT Business Publications, London.Google Scholar

Copyright information

© The Editor(s) 2016

Authors and Affiliations

  • Garrett Quigley
    • 1
  • Rex A. Sinquefield
    • 2
  1. 1.Dimensional Fund Advisors LtdLondonUK
  2. 2.Dimensional Fund Advisors Inc.Santa MonicaUSA

Personalised recommendations