Investor's Fortune and Unit Trust Ratings

Investor's Fortune and Unit Trust Ratings

This study examines the usefulness of rating information supplied by Lipper using a sample of 68 Malaysian unit trust funds from December 2000 to November 2010. Four performance measures were used namely the Sharpe ratio, Treynor ratio, Jensen's alpha, and Fama and French 3-factor model. Overal...

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Bibliographic Details
Main Author: Ahmad Ridhuwan, Abdullah
Format: Thesis
Language:eng
eng
Published: 2011
Subjects:
HG Finance
Online Access:https://etd.uum.edu.my/2710/1/Ahmad_Ridhuwan_Abdullah.pdf
https://etd.uum.edu.my/2710/2/1.Ahmad_Ridhuwan_Abdullah.pdf
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spelling my-uum-etd.27102022-04-11T01:08:03Z Investor's Fortune and Unit Trust Ratings 2011-02 Ahmad Ridhuwan, Abdullah Abdullah, Nur Adiana Hiau Othman Yeop Abdullah Graduate School of Business College of Business HG Finance This study examines the usefulness of rating information supplied by Lipper using a sample of 68 Malaysian unit trust funds from December 2000 to November 2010. Four performance measures were used namely the Sharpe ratio, Treynor ratio, Jensen's alpha, and Fama and French 3-factor model. Overall, the study provides evidence unit trusts underperformed the market index and risk free rate in 3-year, 5-year, and 10-year investment horizons except for the highest rated funds which were able to provide positive returns. The test on performance differential between funds in each rating categories shows that the highest rated funds, second to highest and third to highest significantly outperformed the lowest rated funds especially in a longer investment horizons. This result indicated that Lipper rating system is rather useful in identifying the lowest to highest performance funds. 2011-02 Thesis https://etd.uum.edu.my/2710/ https://etd.uum.edu.my/2710/1/Ahmad_Ridhuwan_Abdullah.pdf text eng public https://etd.uum.edu.my/2710/2/1.Ahmad_Ridhuwan_Abdullah.pdf text eng public masters masters Universiti Utara Malaysia
institution Universiti Utara Malaysia
collection UUM ETD
language eng
eng
advisor Abdullah, Nur Adiana Hiau
topic HG Finance
spellingShingle HG Finance
Ahmad Ridhuwan, Abdullah
Investor's Fortune and Unit Trust Ratings
description This study examines the usefulness of rating information supplied by Lipper using a sample of 68 Malaysian unit trust funds from December 2000 to November 2010. Four performance measures were used namely the Sharpe ratio, Treynor ratio, Jensen's alpha, and Fama and French 3-factor model. Overall, the study provides evidence unit trusts underperformed the market index and risk free rate in 3-year, 5-year, and 10-year investment horizons except for the highest rated funds which were able to provide positive returns. The test on performance differential between funds in each rating categories shows that the highest rated funds, second to highest and third to highest significantly outperformed the lowest rated funds especially in a longer investment horizons. This result indicated that Lipper rating system is rather useful in identifying the lowest to highest performance funds.
format Thesis
qualification_name masters
qualification_level Master's degree
author Ahmad Ridhuwan, Abdullah
author_facet Ahmad Ridhuwan, Abdullah
author_sort Ahmad Ridhuwan, Abdullah
title Investor's Fortune and Unit Trust Ratings
title_short Investor's Fortune and Unit Trust Ratings
title_full Investor's Fortune and Unit Trust Ratings
title_fullStr Investor's Fortune and Unit Trust Ratings
title_full_unstemmed Investor's Fortune and Unit Trust Ratings
title_sort investor's fortune and unit trust ratings
granting_institution Universiti Utara Malaysia
granting_department Othman Yeop Abdullah Graduate School of Business
publishDate 2011
url https://etd.uum.edu.my/2710/1/Ahmad_Ridhuwan_Abdullah.pdf
https://etd.uum.edu.my/2710/2/1.Ahmad_Ridhuwan_Abdullah.pdf
_version_ 1747827410680676352

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