Abstract

We examine the investment characteristics of income trusts to explore their role within a portfolio as well as to clarify the on-going political debate surrounding income trusts. Results show that income trusts exhibited risk-adjusted performance that far outperformed equities and bonds during our sample period. We adopt a multifactor return generating process for ex-post income trust returns to quantify the degree to which they are influenced by bond- and stock-related effects. The relationship between trust returns and bond returns is very weak, whereas the relationship between trust returns and stock returns is quite strong. We conclude that while income trusts appear indistinct ...

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