Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Malaysian unit trust aggregate performance

Malaysian unit trust aggregate performance Purpose – This paper seeks to focus on examining unit trust performance in Malaysia over the period 1991‐2001. Design/methodology/approach – The broad based study covers full economic cycles using 7 different performance measures: raw return, market adjusted return, Jensen's alpha, adjusted Jensen's alpha, Sharpe Index, adjusted Sharpe Index, and Treynor Index. Findings – The results show that on average the performance of Malaysian unit trust falls below market portfolio and risk free returns. However, the variance of unit trust monthly returns is less than the market. Performance by type of funds indicates that bond funds show relatively superior performance, over and above the market and equity unit trusts. This is due to the high interest rate kept during the crisis period. Findings also suggest that there is no persistency in performance as there is no significant inter‐temporal correlation between past and current performance. Research limitations/implications – The issue of inferior performance needs further investigations to adjust for great importance placed on maintaining consistent dividend distribution. In addition, ill‐managed funds must be separately analysed to see if limited budget, less qualified managers, use of limited information and less sophisticated software could explain the poor performance. Practical implications – A very useful source of information for potential investors and portfolio management companies looking for opportunities to invest. Originality/value – The paper contributes to the present body of knowledge by offering broad based performance evidence from an emerging market with strong government back up for unit trusts investment. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Managerial Finance Emerald Publishing

Malaysian unit trust aggregate performance

Managerial Finance , Volume 33 (2): 20 – Jan 23, 2007

Loading next page...
 
/lp/emerald-publishing/malaysian-unit-trust-aggregate-performance-e5Envu0VzL

References (33)

Publisher
Emerald Publishing
Copyright
Copyright © 2007 Emerald Group Publishing Limited. All rights reserved.
ISSN
0307-4358
DOI
10.1108/03074350710715836
Publisher site
See Article on Publisher Site

Abstract

Purpose – This paper seeks to focus on examining unit trust performance in Malaysia over the period 1991‐2001. Design/methodology/approach – The broad based study covers full economic cycles using 7 different performance measures: raw return, market adjusted return, Jensen's alpha, adjusted Jensen's alpha, Sharpe Index, adjusted Sharpe Index, and Treynor Index. Findings – The results show that on average the performance of Malaysian unit trust falls below market portfolio and risk free returns. However, the variance of unit trust monthly returns is less than the market. Performance by type of funds indicates that bond funds show relatively superior performance, over and above the market and equity unit trusts. This is due to the high interest rate kept during the crisis period. Findings also suggest that there is no persistency in performance as there is no significant inter‐temporal correlation between past and current performance. Research limitations/implications – The issue of inferior performance needs further investigations to adjust for great importance placed on maintaining consistent dividend distribution. In addition, ill‐managed funds must be separately analysed to see if limited budget, less qualified managers, use of limited information and less sophisticated software could explain the poor performance. Practical implications – A very useful source of information for potential investors and portfolio management companies looking for opportunities to invest. Originality/value – The paper contributes to the present body of knowledge by offering broad based performance evidence from an emerging market with strong government back up for unit trusts investment.

Journal

Managerial FinanceEmerald Publishing

Published: Jan 23, 2007

Keywords: Unit trusts; Performance monitoring; Fund management; Malaysia

There are no references for this article.