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Comparison of the performance and risk diversification benefits of government linked companies (GLCS) Malaysia and Singapore

This study examines and compares the investment performance and risk diversification benefits of Government Linked Companies (GLCs) in Malaysia (MGLCs) and Singapore (S-GLCs) by using the tried and tested performance measures, namely the Sharpe Ratio, Treynor Ratio and Jensen’s Alpha to assess their...

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Bibliographic Details
Main Author: Lim, Brian Zee Yi
Format: Final Year Project / Dissertation / Thesis
Published: 2019
Subjects:
HD Industries. Land use. Labor
HF Commerce
Online Access:http://eprints.utar.edu.my/5052/1/FYP_FINAL_COMPLETE_(AMENDED).pdf
http://eprints.utar.edu.my/5052/
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spelling my-utar-eprints.50522023-02-28T16:37:09Z Comparison of the performance and risk diversification benefits of government linked companies (GLCS) Malaysia and Singapore Lim, Brian Zee Yi HD Industries. Land use. Labor HF Commerce This study examines and compares the investment performance and risk diversification benefits of Government Linked Companies (GLCs) in Malaysia (MGLCs) and Singapore (S-GLCs) by using the tried and tested performance measures, namely the Sharpe Ratio, Treynor Ratio and Jensen’s Alpha to assess their investment performance and the Diversifiability Measure (proportion of unsystematic risk to total risk OR one-minus R-squared) to assess risk diversification benefits. The study period for both M-GLCs and S-GLCs extends from 2009 to 2018 to provide a direct and straightforward 10-year comparison. The results show that M-GLCs perform better than S-GLCs in terms of Sharpe ratio and Treynor ratio, but slightly worse in terms of Jensen’s Alpha. The total risk of SGLCs is higher than M-GLCs, while the Beta values for both M-GLCs and S-GLCs are less than one, implying that GLCs in both countries are less risky when compared against their respective national market indexes. M-GLCs have lower RSquared values than J-GLCs, which suggests that M-GLCs are not as diversified than S-GLCs and therefore, M-GLCs have more opportunities for diversification. The Diversifiability Measure calculated for M-GLCs are higher than S-GLCs and suggests that M-GLCs have better risk diversification benefits. This study aims to expand on research into GLCs as well as help investors to make more informed investment decisions when considering the addition of M-GLCs and S-GLCs into their portfolios. Best and worst performers among the M-GLCs and S-GLCs are also determined in this study. This study will provide investors with greater knowledge and insight into the actual real-world investment performance and risk diversification benefits of including M-GLCs and/or S-GLCs into their portfolios. 2019 Final Year Project / Dissertation / Thesis NonPeerReviewed application/pdf http://eprints.utar.edu.my/5052/1/FYP_FINAL_COMPLETE_(AMENDED).pdf Lim, Brian Zee Yi (2019) Comparison of the performance and risk diversification benefits of government linked companies (GLCS) Malaysia and Singapore. Final Year Project, UTAR. http://eprints.utar.edu.my/5052/
institution Universiti Tunku Abdul Rahman
building UTAR Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Tunku Abdul Rahman
content_source UTAR Institutional Repository
url_provider http://eprints.utar.edu.my
topic HD Industries. Land use. Labor
HF Commerce
spellingShingle HD Industries. Land use. Labor
HF Commerce
Lim, Brian Zee Yi
Comparison of the performance and risk diversification benefits of government linked companies (GLCS) Malaysia and Singapore
description This study examines and compares the investment performance and risk diversification benefits of Government Linked Companies (GLCs) in Malaysia (MGLCs) and Singapore (S-GLCs) by using the tried and tested performance measures, namely the Sharpe Ratio, Treynor Ratio and Jensen’s Alpha to assess their investment performance and the Diversifiability Measure (proportion of unsystematic risk to total risk OR one-minus R-squared) to assess risk diversification benefits. The study period for both M-GLCs and S-GLCs extends from 2009 to 2018 to provide a direct and straightforward 10-year comparison. The results show that M-GLCs perform better than S-GLCs in terms of Sharpe ratio and Treynor ratio, but slightly worse in terms of Jensen’s Alpha. The total risk of SGLCs is higher than M-GLCs, while the Beta values for both M-GLCs and S-GLCs are less than one, implying that GLCs in both countries are less risky when compared against their respective national market indexes. M-GLCs have lower RSquared values than J-GLCs, which suggests that M-GLCs are not as diversified than S-GLCs and therefore, M-GLCs have more opportunities for diversification. The Diversifiability Measure calculated for M-GLCs are higher than S-GLCs and suggests that M-GLCs have better risk diversification benefits. This study aims to expand on research into GLCs as well as help investors to make more informed investment decisions when considering the addition of M-GLCs and S-GLCs into their portfolios. Best and worst performers among the M-GLCs and S-GLCs are also determined in this study. This study will provide investors with greater knowledge and insight into the actual real-world investment performance and risk diversification benefits of including M-GLCs and/or S-GLCs into their portfolios.
format Final Year Project / Dissertation / Thesis
author Lim, Brian Zee Yi
author_facet Lim, Brian Zee Yi
author_sort Lim, Brian Zee Yi
title Comparison of the performance and risk diversification benefits of government linked companies (GLCS) Malaysia and Singapore
title_short Comparison of the performance and risk diversification benefits of government linked companies (GLCS) Malaysia and Singapore
title_full Comparison of the performance and risk diversification benefits of government linked companies (GLCS) Malaysia and Singapore
title_fullStr Comparison of the performance and risk diversification benefits of government linked companies (GLCS) Malaysia and Singapore
title_full_unstemmed Comparison of the performance and risk diversification benefits of government linked companies (GLCS) Malaysia and Singapore
title_sort comparison of the performance and risk diversification benefits of government linked companies (glcs) malaysia and singapore
publishDate 2019
url http://eprints.utar.edu.my/5052/1/FYP_FINAL_COMPLETE_(AMENDED).pdf
http://eprints.utar.edu.my/5052/
_version_ 1759693664149307392
score 13.211869

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