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Lipper's rating and unit trust performance in Malaysia


Abdullah, Ahmad Ridhuwan and Abdullah, Nur Adiana Hiau (2013) Lipper's rating and unit trust performance in Malaysia. In: 15th Malaysian Finance Association Conference 2013, 2nd - 4th June 2013, Sime Darby Convention Centre Kuala Lumpur.

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Abstract

This study examines the usefulness of rating information supplied by Lipper using a sample of 68 Malaysian unit trusts from December 2000 to November 2010.Four performance measures were used namely the Sharpe ratio, Treynor ratio, Jensen's alpha, and Fama and French 3-factor model.Overall, unit trusts underperformed the market index and risk free rate in 3-year, 5-year, and 10-year investment horizons except for the highest rated funds which were able to provide positive returns.Furthermore, the highest, second to highest and third to highest rated funds significantly outperformed the lowest rated funds especially in a longer investment horizon.This result indicated that Lipper rating system is useful in identifying the lowest to highest performance funds.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: Unit trusts; Ratings; Performance
Subjects: H Social Sciences > HG Finance
Divisions: School of Economics, Finance & Banking
Depositing User: Prof. Dr. Nur Adiana Hiau Abdullah
Date Deposited: 23 Jul 2013 07:33
Last Modified: 14 Apr 2016 04:21
URI: http://repo.uum.edu.my/id/eprint/8549

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