An Exploration of the Conditional Timing Performance of UK Unit Trusts
研究了1988年1月至2002年12月间英国单位信托的条件性市场时机选择绩效，发现无论是组合还是单个信托均无优越表现，且信托对偏离基准有高度数值风险厌恶，行为类似基准投资者。
Abstract: We examine the conditional market timing performance of UK unit trusts between January 1988 and December 2002. We find no evidence of superior conditional market timing performance by UK unit trusts either across different portfolios of trusts or by individual trusts. We also find that benchmark investing is significant for UK unit trusts and trusts have high numerical risk aversion to deviations from the benchmark. Our findings suggest that UK trusts act like benchmark investors.