We use the no arbitrage (NA) performance bounds of Ahn, Cao, and Chrétien (2009) to evaluate the performance, in terms of value added, of U.K. investment trusts with domestic equity objectives. We find that the value added by trusts is sensitive to the NA admissible stochastic discount factor model used. We find that some portfolios of trusts and individual trusts add significant value to the investor class most favorable to the trust. The size of the trust, the level of the discount, and the age of the trust all have a significant impact on the value added. Our results suggest that some investment trusts add value at least from the perspective of the investor class most favorable to the trusts.
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