Investment performance analysis of managerial expertise: evidence from Malaysian-based international equity unit trust funds

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....

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Main Author:	Low, Soo-Wah
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2013
Online Access:	http://journalarticle.ukm.my/6969/ http://journalarticle.ukm.my/6969/ http://journalarticle.ukm.my/6969/1/4610-10782-1-SM.pdf

id	ukm-6969
recordtype	eprints
spelling	ukm-69692016-12-14T06:42:44Z http://journalarticle.ukm.my/6969/ Investment performance analysis of managerial expertise: evidence from Malaysian-based international equity unit trust funds Low, Soo-Wah 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. Penerbit Universiti Kebangsaan Malaysia 2013 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/6969/1/4610-10782-1-SM.pdf Low, Soo-Wah (2013) Investment performance analysis of managerial expertise: evidence from Malaysian-based international equity unit trust funds. Jurnal Pengurusan, 38 . pp. 41-51. ISSN 0127-2713 http://ejournal.ukm.my/pengurusan/index
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	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.
format	Article
author	Low, Soo-Wah
spellingShingle	Low, Soo-Wah Investment performance analysis of managerial expertise: evidence from Malaysian-based international equity unit trust funds
author_facet	Low, Soo-Wah
author_sort	Low, Soo-Wah
title	Investment performance analysis of managerial expertise: evidence from Malaysian-based international equity unit trust funds
title_short	Investment performance analysis of managerial expertise: evidence from Malaysian-based international equity unit trust funds
title_full	Investment performance analysis of managerial expertise: evidence from Malaysian-based international equity unit trust funds
title_fullStr	Investment performance analysis of managerial expertise: evidence from Malaysian-based international equity unit trust funds
title_full_unstemmed	Investment performance analysis of managerial expertise: evidence from Malaysian-based international equity unit trust funds
title_sort	investment performance analysis of managerial expertise: evidence from malaysian-based international equity unit trust funds
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2013
url	http://journalarticle.ukm.my/6969/ http://journalarticle.ukm.my/6969/ http://journalarticle.ukm.my/6969/1/4610-10782-1-SM.pdf
first_indexed	2023-09-18T19:48:24Z
last_indexed	2023-09-18T19:48:24Z
_version_	1777406055293124608

Investment performance analysis of managerial expertise: evidence from Malaysian-based international equity unit trust funds

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