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A comparative analysis of fixed income unit trust funds versus equity unit trust funds in Malaysia

This study examines the performance of fixed income and equity unit trust funds from 2006 to 2012. A total of 31 fixed income and 57 equity funds are evaluated by using the Treynor ratio, Sharpe ratio and Jensen alpha. Results indicate that fixed income funds outperform the market and the Maybank 12...

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Main Authors: Nur Adiana Hiau Abdullah, Aminah Shari
Format: Article
Language:English
English
Published: Penerbit USM 2019
Subjects:
HG1-9999 Finance
Online Access:https://eprints.ums.edu.my/id/eprint/32497/1/A%20comparative%20analysis%20of%20fixed%20income%20unit%20trust%20funds%20versus%20equity%20unit%20trust%20funds%20in%20Malaysia.pdf
https://eprints.ums.edu.my/id/eprint/32497/2/A%20comparative%20analysis%20of%20fixed%20income%20unit%20trust%20funds%20versus%20equity%20unit%20trust%20funds%20in%20Malaysia.pdf
https://eprints.ums.edu.my/id/eprint/32497/
http://web.usm.my/journal/aamjaf/aamjaf15022019/aamjaf15022019_5.pdf
https://doi.org/10.21315/aamjaf2019.15.2.5
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spelling my.ums.eprints.324972022-05-03T14:31:37Z https://eprints.ums.edu.my/id/eprint/32497/ A comparative analysis of fixed income unit trust funds versus equity unit trust funds in Malaysia Nur Adiana Hiau Abdullah Aminah Shari HG1-9999 Finance This study examines the performance of fixed income and equity unit trust funds from 2006 to 2012. A total of 31 fixed income and 57 equity funds are evaluated by using the Treynor ratio, Sharpe ratio and Jensen alpha. Results indicate that fixed income funds outperform the market and the Maybank 12-month fixed deposit rate. Their total risk is higher than the fixed deposit rate but lower than the market whereas the systematic risk is lower than both benchmarks. All equity funds outperform the market although their total risk and systematic risk are lower than the latter. Growth funds have a higher total risk than the market and they have outperformed the market. However, only a few value funds could outperform the market. Jensen alpha shows only a few fixed income and equity funds have a significant positive alpha implying that some of the fund managers are either good in market timing or in selecting unit trust funds. There is a significant difference in the performance of equity and fixed income funds and between growth and value funds versus f ixed income funds. Results of this study could help investors and fund managers to make informed decisions to improve portfolio performance. Penerbit USM 2019 Article PeerReviewed text en https://eprints.ums.edu.my/id/eprint/32497/1/A%20comparative%20analysis%20of%20fixed%20income%20unit%20trust%20funds%20versus%20equity%20unit%20trust%20funds%20in%20Malaysia.pdf text en https://eprints.ums.edu.my/id/eprint/32497/2/A%20comparative%20analysis%20of%20fixed%20income%20unit%20trust%20funds%20versus%20equity%20unit%20trust%20funds%20in%20Malaysia.pdf Nur Adiana Hiau Abdullah and Aminah Shari (2019) A comparative analysis of fixed income unit trust funds versus equity unit trust funds in Malaysia. Asian Academy of Management Journal of Accounting and Finance, 15. pp. 95-117. ISSN 1985-8299 http://web.usm.my/journal/aamjaf/aamjaf15022019/aamjaf15022019_5.pdf https://doi.org/10.21315/aamjaf2019.15.2.5
institution Universiti Malaysia Sabah
building UMS Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sabah
content_source UMS Institutional Repository
url_provider http://eprints.ums.edu.my/
language English
English
topic HG1-9999 Finance
spellingShingle HG1-9999 Finance
Nur Adiana Hiau Abdullah
Aminah Shari
A comparative analysis of fixed income unit trust funds versus equity unit trust funds in Malaysia
description This study examines the performance of fixed income and equity unit trust funds from 2006 to 2012. A total of 31 fixed income and 57 equity funds are evaluated by using the Treynor ratio, Sharpe ratio and Jensen alpha. Results indicate that fixed income funds outperform the market and the Maybank 12-month fixed deposit rate. Their total risk is higher than the fixed deposit rate but lower than the market whereas the systematic risk is lower than both benchmarks. All equity funds outperform the market although their total risk and systematic risk are lower than the latter. Growth funds have a higher total risk than the market and they have outperformed the market. However, only a few value funds could outperform the market. Jensen alpha shows only a few fixed income and equity funds have a significant positive alpha implying that some of the fund managers are either good in market timing or in selecting unit trust funds. There is a significant difference in the performance of equity and fixed income funds and between growth and value funds versus f ixed income funds. Results of this study could help investors and fund managers to make informed decisions to improve portfolio performance.
format Article
author Nur Adiana Hiau Abdullah
Aminah Shari
author_facet Nur Adiana Hiau Abdullah
Aminah Shari
author_sort Nur Adiana Hiau Abdullah
title A comparative analysis of fixed income unit trust funds versus equity unit trust funds in Malaysia
title_short A comparative analysis of fixed income unit trust funds versus equity unit trust funds in Malaysia
title_full A comparative analysis of fixed income unit trust funds versus equity unit trust funds in Malaysia
title_fullStr A comparative analysis of fixed income unit trust funds versus equity unit trust funds in Malaysia
title_full_unstemmed A comparative analysis of fixed income unit trust funds versus equity unit trust funds in Malaysia
title_sort comparative analysis of fixed income unit trust funds versus equity unit trust funds in malaysia
publisher Penerbit USM
publishDate 2019
url https://eprints.ums.edu.my/id/eprint/32497/1/A%20comparative%20analysis%20of%20fixed%20income%20unit%20trust%20funds%20versus%20equity%20unit%20trust%20funds%20in%20Malaysia.pdf
https://eprints.ums.edu.my/id/eprint/32497/2/A%20comparative%20analysis%20of%20fixed%20income%20unit%20trust%20funds%20versus%20equity%20unit%20trust%20funds%20in%20Malaysia.pdf
https://eprints.ums.edu.my/id/eprint/32497/
http://web.usm.my/journal/aamjaf/aamjaf15022019/aamjaf15022019_5.pdf
https://doi.org/10.21315/aamjaf2019.15.2.5
_version_ 1760231034427801600
score 13.211869

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