An investigation on asset allocation and performance measurement for unit trust funds in Malaysia using multifactor model : a post crisis period analysis

Ali Ahmed, Huson Joher, Lee, Ten Lee and Shaikh, Junaid M. 2011, An investigation on asset allocation and performance measurement for unit trust funds in Malaysia using multifactor model : a post crisis period analysis, International journal of managerial and financial accounting, vol. 3, no. 1, pp. 22-31.

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Title An investigation on asset allocation and performance measurement for unit trust funds in Malaysia using multifactor model : a post crisis period analysis
Author(s) Ali Ahmed, Huson Joher
Lee, Ten Lee
Shaikh, Junaid M.
Journal name International journal of managerial and financial accounting
Volume number 3
Issue number 1
Start page 22
End page 31
Publisher Inderscience Publishers
Place of publication Olney, England
Publication date 2011
ISSN 1753-6715
1753-6723
Keyword(s) asset allocation
multi-factor models
asset selection
diversification
Malaysia
performance measurement
unit trusts
Summary This study examines the pattern of asset allocation and the performance of unit trust in Malaysia over the post crisis period by using risk-adjusted performance measures and multi-factor model from the year 2000 to 2004. Evidence from the statistics suggests that an active asset allocation strategy had been observed among Malaysian fund managers during the post Asian financial crisis. It is also suggested that investment allocation in equity remained a dominant vehicle for investment and asset allocation. Findings from multifactor model suggest that all funds of different objectives registered positive alphas except for income funds, with growth funds being among the top. While balanced funds registered highest diversification effectively, diversifying away about 70%-80% of unsystematic risk, the momentum factor is not among the important elements to explain unit trust performance in Malaysia.
Language eng
Field of Research 150205 Investment and Risk Management
Socio Economic Objective 910206 Market-Based Mechanisms
HERDC Research category C1 Refereed article in a scholarly journal
HERDC collection year 2011
Copyright notice ©2011, Inderscience Publishers
Persistent URL http://hdl.handle.net/10536/DRO/DU:30034683

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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