The Performance Of Malaysian Unit Trusts Investing In The Domestic Versus International Markets

This thesis investigates the relationship between unit trusts invested domestically and overseas. The performances of unit trusts investing overseas are compared to unit trusts which are invested locally to determine whether it outperforms the local funds. Twenty-six local funds are studied for the period of June 2004 to May 2008 while twenty-three international funds are evaluated for the period of June 2005 to May 2008. The KLCI (Kuala Lumpur Composite Index) is used as the local funds' benchmark. The MSCI AC Asia Pacific and MSCI World Free are utilized as the international funds' benchmarks. The results of this study is hoped to be able to aid investors, funds managers and regulators of this industry to make sound decisions about their unit trust investments. The Sharpe, Treynor and Jensen Indexes are used as the performance measures for the unit trusts. The local funds mean returns are found to exceed the international funds' mean returns. However, when the funds are tested using the Wilcoxon Signed Rank Test, the Sharpe and Jensen Indexes produced results which are not significant. This means that the performances of local funds do not differ from the performances of international funds. However, the Treynor Index result gave conflicting results. The Sharpe Index result is taken as the final result as it is found to be the most useful measure based on previous studies