Is international trust performance predictable over time? A note


  • doi: 10.1111/j.1467-629x.2007.00237.x

  • We acknowledge the financial support of Inquire UK. This article represents the views of the authors and not of Inquire UK. Helpful research assistance provided by Sally Cooper and Louise McCann. Helpful comments received from the 2003 Inquire UK conference and the French Finance Association December conference in 2004. Helpful comments received from Alistair Byrne and two anonymous reviewers.


We examine whether past return measures have any significant predictive ability for future returns of UK unit trusts with international equity objectives. We find significant positive persistence between the past return performance of the trust relative to its investment sector and future trust returns relative to its sector. This result holds at short-run and long-run return horizons. The persistence is stronger in trusts that perform well relative to their sector. Our findings suggest that the past return performance of the trust relative to their sector provides a useful guide to future return performance relative to their sector.