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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Main Author:	Rozihanim, Shekh Zain
Format:	Thesis
Language:	eng eng
Published:	2003
Subjects:	HG Finance
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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id	my-uum-etd.1118
record_format	uketd_dc
spelling	my-uum-etd.11182013-07-24T12:10:29Z The Performance of Malaysian Unit Trusts : Government Sponsored Funds Versus Private Funds (1993-2001) 2003-06-14 Rozihanim, Shekh Zain Sekolah Siswazah Graduate School HG Finance 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. 2003-06 Thesis https://etd.uum.edu.my/1118/ https://etd.uum.edu.my/1118/1/ROZIHANIM_BT._SHEKH_ZAIN.pdf application/pdf eng validuser https://etd.uum.edu.my/1118/2/1.ROZIHANIM_BT._SHEKH_ZAIN.pdf application/pdf eng public masters masters Universiti Utara Malaysia
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng eng
topic	HG Finance
spellingShingle	HG Finance Rozihanim, Shekh Zain The Performance of Malaysian Unit Trusts : Government Sponsored Funds Versus Private Funds (1993-2001)
description	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.
format	Thesis
qualification_name	masters
qualification_level	Master's degree
author	Rozihanim, Shekh Zain
author_facet	Rozihanim, Shekh Zain
author_sort	Rozihanim, Shekh Zain
title	The Performance of Malaysian Unit Trusts : Government Sponsored Funds Versus Private Funds (1993-2001)
title_short	The Performance of Malaysian Unit Trusts : Government Sponsored Funds Versus Private Funds (1993-2001)
title_full	The Performance of Malaysian Unit Trusts : Government Sponsored Funds Versus Private Funds (1993-2001)
title_fullStr	The Performance of Malaysian Unit Trusts : Government Sponsored Funds Versus Private Funds (1993-2001)
title_full_unstemmed	The Performance of Malaysian Unit Trusts : Government Sponsored Funds Versus Private Funds (1993-2001)
title_sort	performance of malaysian unit trusts : government sponsored funds versus private funds (1993-2001)
granting_institution	Universiti Utara Malaysia
granting_department	Sekolah Siswazah
publishDate	2003
url	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
_version_	1747827075118530560

The Performance of Malaysian Unit Trusts : Government Sponsored Funds Versus Private Funds (1993-2001)

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