IDEAS home Printed from https://ideas.repec.org/a/ids/injmfa/v3y2011i1p22-31.html
   My bibliography  Save this article

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

Author

Listed:
  • Huson Joher Ali Ahmed
  • Ten Lee Lee
  • Junaid M. Shaikh

Abstract

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.

Suggested Citation

  • Huson Joher Ali Ahmed & Ten Lee Lee & Junaid M. Shaikh, 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, Inderscience Enterprises Ltd, vol. 3(1), pages 22-31.
    • Handle: RePEc:ids:injmfa:v:3:y:2011:i:1:p:22-31
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=38362
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. abbas, asad, 2024. "Robotic Process Automation (RPA) and AI in Business Process Optimization," OSF Preprints hwtye, Center for Open Science.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:injmfa:v:3:y:2011:i:1:p:22-31. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=252 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.