Comparative Analysis of Fixed Income Unit Trust Funds Versus Equity Unit Trust Funds in Malaysia
This study examines the relationship between fixed income unit trust funds and equity unit trust funds for the period of January 2006 to October 2012. The performance of both types of funds are then compared to the market benchmark to determine whether they outperformed the market benchmark. The per...
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Abdullah, Nur Adiana Hiau |
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HG Finance Aminah, Shari Comparative Analysis of Fixed Income Unit Trust Funds Versus Equity Unit Trust Funds in Malaysia |
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This study examines the relationship between fixed income unit trust funds and equity unit trust funds for the period of January 2006 to October 2012. The performance of both types of funds are then compared to the market benchmark to determine whether they outperformed the market benchmark. The performance comparisons are made over several categories of equity sample namely overall equity, growth equity and value equity. The Kuala Lumpur Composite Index (KLCI) is used as the market benchmark for equity funds and fixed income funds with additional market benchmark of Maybank 12-month fixed deposit. A total of 31 fixed income funds and 57 overall equity funds which are made up of 37 growth equity and 20 value equity are evaluated by using three performance measures namely Treynor index, Sharpe index and Jensen index. The results indicate that the mean returns of equity funds are higher than the fixed income funds and market benchmark of KLCI. Nevertheless, when equity funds are compared against fixed income funds using Wilcoxon Signed Rank Test, Sharpe and Treynor ratios produce significant results. This means that the performance of fixed income funds varies from the performance of equity funds. However the Jensen index produces insignificant result. When the sample categorised into different equity types of funds, the finding shows a conflicting result. The Sharpe and Jensen ratios indicate insignificant results for growth equity funds sample. This means that the performance of fixed income funds is not different from that of equity funds in comparison to Treynor that shows a significant result. As for the value equity, Sharpe, Treynor and Jensen produce results that are significant. This means that the performance of fixed income funds varies from that of equity funds. |
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Thesis |
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masters |
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Master's degree |
| author |
Aminah, Shari |
| author_facet |
Aminah, Shari |
| author_sort |
Aminah, Shari |
| title |
Comparative Analysis of Fixed Income Unit Trust Funds Versus Equity Unit Trust Funds in Malaysia |
| title_short |
Comparative Analysis of Fixed Income Unit Trust Funds Versus Equity Unit Trust Funds in Malaysia |
| title_full |
Comparative Analysis of Fixed Income Unit Trust Funds Versus Equity Unit Trust Funds in Malaysia |
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Comparative Analysis of Fixed Income Unit Trust Funds Versus Equity Unit Trust Funds in Malaysia |
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Comparative Analysis of Fixed Income Unit Trust Funds Versus Equity Unit Trust Funds in Malaysia |
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comparative analysis of fixed income unit trust funds versus equity unit trust funds in malaysia |
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Universiti Utara Malaysia |
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Othman Yeop Abdullah Graduate School of Business |
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2012 |
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https://etd.uum.edu.my/3548/1/s808812.pdf https://etd.uum.edu.my/3548/9/s808812.pdf |
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my-uum-etd.35482022-04-10T06:24:43Z Comparative Analysis of Fixed Income Unit Trust Funds Versus Equity Unit Trust Funds in Malaysia 2012-12 Aminah, Shari Abdullah, Nur Adiana Hiau Othman Yeop Abdullah Graduate School of Business Othman Yeop Abdullah Graduate School of Business HG Finance This study examines the relationship between fixed income unit trust funds and equity unit trust funds for the period of January 2006 to October 2012. The performance of both types of funds are then compared to the market benchmark to determine whether they outperformed the market benchmark. The performance comparisons are made over several categories of equity sample namely overall equity, growth equity and value equity. The Kuala Lumpur Composite Index (KLCI) is used as the market benchmark for equity funds and fixed income funds with additional market benchmark of Maybank 12-month fixed deposit. A total of 31 fixed income funds and 57 overall equity funds which are made up of 37 growth equity and 20 value equity are evaluated by using three performance measures namely Treynor index, Sharpe index and Jensen index. The results indicate that the mean returns of equity funds are higher than the fixed income funds and market benchmark of KLCI. Nevertheless, when equity funds are compared against fixed income funds using Wilcoxon Signed Rank Test, Sharpe and Treynor ratios produce significant results. This means that the performance of fixed income funds varies from the performance of equity funds. However the Jensen index produces insignificant result. When the sample categorised into different equity types of funds, the finding shows a conflicting result. The Sharpe and Jensen ratios indicate insignificant results for growth equity funds sample. This means that the performance of fixed income funds is not different from that of equity funds in comparison to Treynor that shows a significant result. As for the value equity, Sharpe, Treynor and Jensen produce results that are significant. This means that the performance of fixed income funds varies from that of equity funds. 2012-12 Thesis https://etd.uum.edu.my/3548/ https://etd.uum.edu.my/3548/1/s808812.pdf text eng public https://etd.uum.edu.my/3548/9/s808812.pdf text eng public masters masters Universiti Utara Malaysia Abdullah, F., S. Mohamed and T. Hassan, (2002) “A Comparative Performance of Malaysian Islamic and Conventional Mutual Funds, Pertanika, 8(2), 30-49. Annuar, M.N., Shamsher, M. and Ngu, M.H. (1997), “Selectivity and timing: evidence from the performance of Malaysian unit trusts”, Pertanika Journal of Social Science and Humanities, Vol. 5, pp. 45-57. Bailey, W. and Lim, J. (1992), “Evaluating the diversification benefits of the new country funds”, Journal of Portfolio Management, Vol. 18, pp. 74-80. Building the foundation in CMP1, Capital market master plan 2, Securities Commission Malaysia. Chua, C.P. (1985), “The Investment Performance of Unit Trusts In Malaysia”. Unpublished MBA Thesis, School of Management, University Malaya, Kuala Lumpur. Cornell, B. & Green, K, (1991), “The investment performance of low-grade bond funds”, Journal of Finance, vol.46, no.1. pp 29-48. Fama, E.F., & French, K.R. (2010), Luck versus skill in the cross section of mutual fund returns, Journal of Finance, 65(5), 1915-1947. Fauziah Md. Taib and Mansor Isa (2007). “Malaysian Unit Trust Aggregate Performance”. Journal of Managerial Finance Vol. 33 No. 2. Ibrahim, M.,& Wong,A. (2005). “The corporate bond market in Malaysia”. BIS paper no.26, February: 114-128. Ilhyock Shim (2011). “Development of Asia-Pacific corporate bond and securitization markets”. BIS Papers No. 63. 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Nur Atiqah and Nur Adiana Hiau Abdullah (2009), “The performance of Malaysian unit trusts investing in domestic versus international markets” Asian Academy Of Management Journal of Accounting and Finance, Vol. 5, No. 2, 77–100 Reilly, F.K. and Brown K.C. (2009). “Analysis of investment and management of portfolios (9th ed.). Australia. South Western Rozali, M.B. and Abdullah, F. (2006),” The performance of malaysian equity funds”, The Business Review, Cambridge, Summer 2006; ABI/INFORM Global, pg. 301. Ross Fowler, Robin Grieves and J. Clay Singleton (2010) “New Zealand unit trust disclosure: asset allocation, style analysis, and return attribution”, Pacific Accounting Review , Vol. 22, pp. 4-21. Sharpe, W.F., (1966), “Mutual Fund Performance”, Journal of Business, 23, 119–138. Soo-Wah Low (2007). “Malaysian unit trust funds performance during up and down market conditions”. Journal of Managerial Finance Vol. 33 No. 2. Stephen A. Ross, Randolph W. Westerfield and Jeffrey Jaffe (2010),Corporate Finance, McGrow Hill International Edition , Ninth Edition. Tan, H.C. (1995),"The investment performance of unit trust funds in Malaysia’", Capital Market Review, Vol. 3, pp.21-50 Treynor, J.L., (1965), How to Rate Management of Investment Funds, Harvard Review, 43(1), 63-75. |