Do Unit Trusts Provide A Better Return Than The Stock Market: Some Evidence
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Date
2000-05
Authors
Lee, Heng Lai
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Abstract
This thesis is concerned with investigating the investment performance and
ranking of a sample of seventy-eight unit trust funds in Malaysia for the period January
1990 to December 1999. Using methods developed by Jensen (I968) and Sharpe (1966),
we investigate the forecasting ability of fund managers in predicting securities prices,
study the risk of unit trust funds, analyze the degree of risk diversification and investigate
the consistency of performance and risk of funds over time. The impact of fund
characteristics such as age and size on investment performance and systematic risk was
also investigated.
The findings show that the unit trust funds as a whole do not perform better than
the market portfolio. Fund managers in general are unable to predict securities prices well
enough to outperform a na'ive buy and hold policy. On average, the risks of unit trusts
funds in Malaysia are lower than those of market portfolios. The fund managers generally
hold a well-diversified portfolio. There is no consistency in performance over time but
the risks of fund were quite stable over time. The research also reveals that older and
larger funds tend to be less risky and perform better than others.
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Keywords
Do Unit Trusts Provide A Better Return Than The Stock Market , Some Evidence