Abstract
This article reviews a model proposed by Bhattacharya and Pfleiderer (1983) and first implemented by Lee and Rhaman (1990) which allows the separation of the measurement of selection and timing skills of fund managers. It is the first model to analyse the error term to identify a fund manager’s forecasting ability and as such avoids many of the shortcomings of prior models. An empirical analysis of local Unit Trusts using the model reveals that no positive stock selection or timing ability was evident amongst the local fund managers.