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

    Access Status
    Fulltext not available
    Authors
    Ali Ahmed, H.
    Lee, T.
    Shaikh, Junaid
    Date
    2011
    Type
    Journal Article
    
    Metadata
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    Citation
    Ali Ahmed, H. and Lee, T. and Shaikh, J. 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. 3 (1): pp. 22-31.
    Source Title
    International Journal of Managerial and Financial Accounting
    DOI
    10.1504/IJMFA.2011.038362
    ISSN
    1753-6715
    School
    CBS International
    URI
    http://hdl.handle.net/20.500.11937/51776
    Collection
    • Curtin Research Publications
    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. © 2011 Inderscience Enterprises Ltd.

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