The Performance of Malaysian Unit Trusts : Government Sponsored Funds Versus Private Funds (1993-2001)
This study examines and compares the risk-adjusted returns of government-sponsored and private unit trusts using the Sharpe Index, Adjusted Sharpe Index, Treynor Index and Adjusted Jensen’s Alpha. A total of 79 funds were analysed, with 21 goverment-sponsored unit trusts and 58 private unit trusts....
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| Format: | Thesis |
| Language: | eng eng |
| Published: |
2003
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| Subjects: | |
| Online Access: | https://etd.uum.edu.my/1118/1/ROZIHANIM_BT._SHEKH_ZAIN.pdf https://etd.uum.edu.my/1118/2/1.ROZIHANIM_BT._SHEKH_ZAIN.pdf |
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| Summary: | This study examines and compares the risk-adjusted returns of government-sponsored and private unit trusts using the Sharpe Index, Adjusted Sharpe Index, Treynor Index and
Adjusted Jensen’s Alpha. A total of 79 funds were analysed, with 21 goverment-sponsored unit trusts and 58 private unit trusts. Data were taken from every end of the
month for 9 years period, which is from 1993 until 2001.
Results from the analysis reveal that, no significant difference in returns exists between the two sectors and both of the sectors under-performed the market index (KLCI). However, there is some evidence that private unit trusts give better return and is less risky than
government-sponsored unit trusts.
The study found that aggressive-growth fund provides superior return than balanced, growth and income funds. The findings also demonstrate that government-sponsored and
private unit trusts are fairly diversified with the level of diversification measured by R2 is higher than 0.50. Private unit trusts however, show better diversification level than government-sponsored unit trusts. The results further shows that growth funds for both categories are more diversified than the balanced fund.
Further evidence suggests that the performance of the unit trusts for both categories is not consistent for each pair of years over time when the analysis was conducted by using the Spearman Rank Correlation Coefficient. Private unit trusts on the other hand shows greater inconsistent in performance than the government-sponsored unit trusts.
Overall, the study found that private unit trusts shows a slightly higher return than the government-sponsored unit trusts, however, the results are not significant at the 5% level and both sectors failed to outperformed the market index (KLCI). Results also show that private unit trusts are less risky and are more diversified than government-sponsored unit trusts, however, they are less consistent in performance, although both sectors shows inconsistent performance from year to year.
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