Study Of Market Timing, Selectivity And Performance Of Equity Unit Trust Funds In Malaysia
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Date
2010-12
Authors
Jaafar, Norlida
Journal Title
Journal ISSN
Volume Title
Publisher
Universiti Sains Malaysia
Abstract
The main objective of this study is to re-look at the performance of the unit trust
industry given that this industry has grown tremendously over the past years. Data of
public and private funds from January 1991 to December 2004 was used, which were
further sub divided into pre-crisis period, crisis period and post crisis period. The main
focus of this study is on the contribution of market timing and selectivity strategies on
the performance of unit trust funds. This study is a wider study on the subject of unit
trust funds ad the evaluation focused at three aspects that is the effect of these practices
over different time horizon, different benchmarks and the assessment of the funds under
the same management. More specifically it looked at whether market timing and
selectivity are actively practiced by the unit trust funds and whether it can be practiced
simultaneously by the unit trust funds. In addition, this study evaluates the usage of the
strategies over different holding period as well as the over different benchmarks that
correspond with the objective of the funds. Lastly, it looks at the continuity of the
strategies used by management companies as a result of merger of the unit trust
industry. In order to achieve the objectives, the data were evaluated using the Jensen
method to evaluate the overall performance. It was followed by the use of Treynor and
Mazuy measurement to capture both timing and selectivity ability. Further analyses
were done using five different benchmarks that matched the funds objectives using the
extension of Treynor and Mazuy methodology. Finally, a sub-sample of unit trust funds
that had gone through the merger processes after year 2000 was analyzed to detect the
effect of merger on timing and selectivity performance of funds. The data was
evaluated at both aggregate levels as well as at individual fund level.
Description
Keywords
The performance of the unit trust industry , grown tremendously over the past years