Selectivity and timing performance of UK investment trusts

► We examine selectivity and timing ability of UK investment trusts from 1981 to 2009. ► GJR-GARCH-M estimation is more appropriate when high frequency data are used. ► International funds show some favourable selectivity ability. ► Domestic funds show some favourable timing ability. ► Our results are robust to various in-sample and out-of-sample tests.