UUM Electronic Theses and Dissertation
UUM ETD | Universiti Utara Malaysian Electronic Theses and Dissertation
FAQs | Feedback | Search Tips | Sitemap

Investor's Fortune and Unit Trust Ratings

Ahmad Ridhuwan, Abdullah (2011) Investor's Fortune and Unit Trust Ratings. Masters thesis, Universiti Utara Malaysia.

[thumbnail of Ahmad_Ridhuwan_Abdullah.pdf]

Download (1MB) | Preview
[thumbnail of 1.Ahmad_Ridhuwan_Abdullah.pdf]

Download (189kB) | Preview


This study examines the usefulness of rating information supplied by Lipper using a sample of 68 Malaysian unit trust funds 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, the study provides evidence 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. The test on performance differential between funds
in each rating categories shows that the highest rated funds, second to highest and third to highest significantly outperformed the lowest rated funds especially in a longer investment horizons. This result indicated that Lipper rating system is rather useful in identifying the lowest to highest performance funds.

Item Type: Thesis (Masters)
Supervisor : Abdullah, Nur Adiana Hiau
Item ID: 2710
Uncontrolled Keywords: Unit trusts; Rating; Performance
Subjects: H Social Sciences > HG Finance
Divisions: Othman Yeop Abdullah Graduate School of Business
Date Deposited: 07 Feb 2012 08:46
Last Modified: 11 Apr 2022 01:08
Department: College of Business
Name: Abdullah, Nur Adiana Hiau
URI: https://etd.uum.edu.my/id/eprint/2710

Actions (login required)

View Item
View Item