/jurnalpengurusan Tue, 11 Oct 2022 04:54:30 +0000 en-US hourly 1 https://wordpress.org/?v=6.9.1 /jurnalpengurusan/article/investment-performance-analysis-of-managerial-expertise-evidence-from-malaysian-based-international-equity-unit-trust-funds/?utm_source=rss&utm_medium=rss&utm_campaign=investment-performance-analysis-of-managerial-expertise-evidence-from-malaysian-based-international-equity-unit-trust-funds Tue, 11 Oct 2022 04:54:30 +0000 /jurnalpengurusan/?post_type=article&p=5323 This paper evaluates the investment performance of Malaysian-based international equity funds. The results on the overall fund performance using Jensen’s (1968) model indicate that, on average, international funds have significant negative risk-adjusted returns over the study period from 2008-2010. Since the model ignores market timing activity, it implicitly attributes the overall negative return to manager’s poor stock selection ability. However, the performance breakdown results on managerial expertise using the models of Treynor and Mazuy (1966) and Henriksson and Merton (1981) show evidence of positive selectivity and negative market timing returns. Taken together, the highly significant negative timing returns suggest that, on average, international fund managers have perverse market timing ability. The paper finds little evidence that Malaysian investors achieve diversification benefits from investing in overseas equity markets.

]]> /jurnalpengurusan/article/carhart-and-q-factor-views-of-mutual-fund-performance/?utm_source=rss&utm_medium=rss&utm_campaign=carhart-and-q-factor-views-of-mutual-fund-performance Sat, 08 Oct 2022 19:13:10 +0000 /jurnalpengurusan/?post_type=article&p=3556 This study evaluates the performances of 321 Malaysian equity mutual funds for the period of June 1998 to May 2015. These mutual funds appear to generate an average monthly rate of 0.6878 percent (8.25% per annum), a performance close enough to that of the market (8.42% per annum). The Jensen’s alphas show that only around 22 percent of these funds significantly outperform the market. While multifactor models are expected to produce better explanatory power, Carhart rather than q-factor model seems to fit the Malaysian funds data better. The results reveal that (i) funds’ returns are closely linked to market performance, (ii) effect of fund managers’ stock selection and market timing skills are both weak and insignificant on fund performance, (iii) of the five investment styles exhibited in these multifactor models, only value (HML) and profitability (RMW) have gained attention from fund managers, (iv) adoption of RMW tend to give an equal chance of deteriorating and improving funds’ returns. The results of this study in general imply that investors might be better off investing in the equity market directly and passively through index-tracking and buy-and-hold strategies that are less costly.

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