An empirical analysis of unit trust performance in equity-based Public Series of Funds

Hew, Li Huang (2007) An empirical analysis of unit trust performance in equity-based Public Series of Funds. Universiti Malaysia Sabah. (Unpublished)

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Abstract

This paper seeks to focus on examining the unit trust funds in Malaysia which are equity-based Public Series of Funds. The study covers a period of five years from 2001 till 2005. Several performance measurements have been adopted in this study, including Treynor Ratio, Sharpe Ratio, Adjusted Sharpe Ratio and Jensen's Alpha. All performance measurements indicated that performances in the studied funds are neutral when being risk-adjusted. These few funds have similar ranking when different measurements are used. Beta values shows that all funds are less than one and it indicates systematic risks are low. R-squared is being used to find out how close the results compared to the benchmark. From the results, EMAS Index is a slightly better benchmark to be used. Jensen's Alpha shows that funds are unable to beat the market during the studied period. Since this paper only takes aggregate performance into account such as stock selectivity ability, where timing ability is not being tested, suggestion for further investigation is being encouraged so that manager's ability in both areas can be obtained. This study concentrates only on the unconditional performance. It is recommended that conditional measurements model is suggested for further research.

Item Type: Academic Exercise
Uncontrolled Keywords: unit trust fund, equity-based Public Series, Jensen's Alpha, R-squared
Subjects: Q Science > QA Mathematics
Divisions: SCHOOL > School of Science and Technology
Depositing User: MDM SITI AZIZAH IDRIS
Date Deposited: 29 Apr 2014 05:00
Last Modified: 13 Oct 2017 03:39
URI: http://eprints.ums.edu.my/id/eprint/8890

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