Risk-adjusted performance of Malaysian Real Estate Investment Trust Funds

This study evaluates performance and risk features of Malaysian REIT funds from 2007-2012. Performance evaluation methods employed are Sharpe, Treynor, Jensen, and M-squared measures. The results indicate that beta values are all less than one and that the total risk of REIT funds comes mostly from...

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Main Authors:	Low, Soo Wah, Anwar Johari
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2014
Online Access:	http://journalarticle.ukm.my/8365/ http://journalarticle.ukm.my/8365/ http://journalarticle.ukm.my/8365/1/7761-20188-1-SM.pdf

id	ukm-8365
recordtype	eprints
spelling	ukm-83652016-12-14T06:47:02Z http://journalarticle.ukm.my/8365/ Risk-adjusted performance of Malaysian Real Estate Investment Trust Funds Low, Soo Wah Anwar Johari, This study evaluates performance and risk features of Malaysian REIT funds from 2007-2012. Performance evaluation methods employed are Sharpe, Treynor, Jensen, and M-squared measures. The results indicate that beta values are all less than one and that the total risk of REIT funds comes mostly from the unsystematic risk component. While the results emphasize the importance of embedding risk into performance analyses, the findings also provide caution that differences in the risk measures employed give rise to contradictory performance rankings. The low R-squared values for REIT funds suggest low reliability of beta coefficients. The findings therefore imply that the Sharpe ratio and the M-squared measure which quantify risk using standard deviation of return provide more convincing and meaningful performance evaluation than the Treynor and Jensen measures. The results of M-squared measure also illustrate how leverage can be applied as a tool in achieving optimal REIT performance. The findings provide good insights to managers in assessing REIT performance and to investors who are considering REIT as a potential investment vehicle. Penerbit Universiti Kebangsaan Malaysia 2014 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/8365/1/7761-20188-1-SM.pdf Low, Soo Wah and Anwar Johari, (2014) Risk-adjusted performance of Malaysian Real Estate Investment Trust Funds. Jurnal Pengurusan, 41 . pp. 3-11. 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 study evaluates performance and risk features of Malaysian REIT funds from 2007-2012. Performance evaluation methods employed are Sharpe, Treynor, Jensen, and M-squared measures. The results indicate that beta values are all less than one and that the total risk of REIT funds comes mostly from the unsystematic risk component. While the results emphasize the importance of embedding risk into performance analyses, the findings also provide caution that differences in the risk measures employed give rise to contradictory performance rankings. The low R-squared values for REIT funds suggest low reliability of beta coefficients. The findings therefore imply that the Sharpe ratio and the M-squared measure which quantify risk using standard deviation of return provide more convincing and meaningful performance evaluation than the Treynor and Jensen measures. The results of M-squared measure also illustrate how leverage can be applied as a tool in achieving optimal REIT performance. The findings provide good insights to managers in assessing REIT performance and to investors who are considering REIT as a potential investment vehicle.
format	Article
author	Low, Soo Wah Anwar Johari,
spellingShingle	Low, Soo Wah Anwar Johari, Risk-adjusted performance of Malaysian Real Estate Investment Trust Funds
author_facet	Low, Soo Wah Anwar Johari,
author_sort	Low, Soo Wah
title	Risk-adjusted performance of Malaysian Real Estate Investment Trust Funds
title_short	Risk-adjusted performance of Malaysian Real Estate Investment Trust Funds
title_full	Risk-adjusted performance of Malaysian Real Estate Investment Trust Funds
title_fullStr	Risk-adjusted performance of Malaysian Real Estate Investment Trust Funds
title_full_unstemmed	Risk-adjusted performance of Malaysian Real Estate Investment Trust Funds
title_sort	risk-adjusted performance of malaysian real estate investment trust funds
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2014
url	http://journalarticle.ukm.my/8365/ http://journalarticle.ukm.my/8365/ http://journalarticle.ukm.my/8365/1/7761-20188-1-SM.pdf
first_indexed	2023-09-18T19:52:13Z
last_indexed	2023-09-18T19:52:13Z
_version_	1777406295137058816

Risk-adjusted performance of Malaysian Real Estate Investment Trust Funds

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