Malaysian unit trust aggregate performance

Abstract

PurposeThis paper seeks to focus on examining unit trust performance in Malaysia over the period 1991‐2001.Design/methodology/approachThe 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.FindingsThe 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/implicationsThe 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 implicationsA very useful source of information for potential investors and portfolio management companies looking for opportunities to invest.Originality/valueThe 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.

Comparative Analysis on EPF Investors’ Knowledge, Experience and Behaviour Towards Investing in Islamic and Conventional Unit Trusts : The Case of Malaysia

“…When there is a performance by type of funds, the bond funds display comparatively greater performance than the market and equity unit trusts because the high interest rate makes the situation during the crisis period. The findings of the study also propose that no persistency in performance exists and no significant inter-temporal correlation exists between past and current performance (Fauziah, Taib and Isa, 2007).…”

“…There are a lot of researches conducted on the unit trust funds, including from the perspective of "investors" or "mutual fund purchasers" (Kuah, 2008), the performance of unit trusts (Galagedera, Don & Silvapulle, 2002;Bauer, Koedijk & Otten, 2002;Low, 2007), investment style of fund manager, contract cost and asset size (Ramasamy & Yeung, 2003), Islamic unit trusts performance , aggregate performance of mutual funds (Fauziah, Taib & Isa, 2007), and last but not least on price association with index in evolving market (Low & Ghazali, 2007), However, based on observation of the past literatures, there are limited studies conducted to compare the investors' behavior of using Employee Provident Fund (EPF) to invest into conventional and Islamic unit trusts especially in the Malaysian context. The significant role of the unit trust as a medium of future income generating is seen very obvious recently.…”

The Fund Characteristics, Fees, and Expenses Structure Between Conventional and Islamic Mutual Fund

“…Low and Noor Azlan (2005) together with her later work series Low (2007) and Low (2012) have consistently concluded a significant negative overall performance for the period of 1996 to 2004 due to poor investment selection and market timing employing Jensen model. This finding is strengthened further by Fauziah and Mansor (2007) after the performance of most funds fall below the market and risk-free return. When local funds are compared to global funds based in Malaysia, Abdullah and Abdullah (2009) find their performance is not significantly different.…”

A Comparative Analysis of Fixed Income Unit Trust Funds versus Equity Unit Trust Funds in Malaysia

“…Empirical evidence in Malaysia shows mixed results. This might have been caused by small sample size except for Md Taib and Isa (2007). As a result, the findings are less accurate and could only represent the period of analysis.…”

“…As such, this study will focus on two objectives which are (i) to examine the performance of the fixed income unit trust funds and equity unit trust funds by using the Treynor, Sharpe and Jensen Index performance measures, and (ii) to examine the difference in the performance of the two categories of funds. To the best of the researcher's knowledge other than Md. Taib and Isa (2007), there is lack of documented evidence from previous Malaysian studies that focus on comparative analysis between both types of unit trust funds in terms of risk and return analysis.…”