Performance and performance persistence of UK closed-end equity funds

Bredin, D., Cuthbertson, K., Nitzsche, D. & Thomas, D. C. (2014). Performance and performance persistence of UK closed-end equity funds. International Review of Financial Analysis, 34, pp. 189-199. doi: 10.1016/j.irfa.2014.05.011

Abstract

Using a comprehensive data set of almost 300 UK closed-end equity funds over the period 1990 to 2013, we use the false discovery rate to assess the alpha-performance of individual funds with both domestic and other mandates, using self-declared benchmarks and additional risk factors. We find evidence to indicate that up to 16% of the funds have truly positive alphas while around 3% have truly negative alphas. Positive post-formation alphas using fund-price returns depend on the factor model used: there is some positive-alpha performance when post-formation returns are evaluated using a one-factor global model but substantial positive-alpha performance when using a four-factor global model.

Publication Type:	Article
Additional Information:	© 2014, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Publisher Keywords:	closed-end funds, performance, false discovery rate
Departments:	Bayes Business School > Finance