Publication Type
Working Paper
Version
publishedVersion
Publication Date
2000
Abstract
The Singapore government’s recent strategic plan to develop the financial sector has placed much emphasis on the fund management industry. In this paper we examine the unit trust performance in Singapore in the 90s. Our results show that fund managers in general performed poorly in security analysis and market timing. However, they performed fairly well in risk-adjusted returns and generally maintained well-diversified portfolios. We find that there is little consistency in the performance ranking of the evaluated portfolios, although there is evidence of repeat performance of some top funds. Our analysis also shows that fund managers could indeed make excess returns above the risk-free rate in the medium- to long-term. Thus, unit trusts can be an ideal investment for small investors seeking sufficient diversification.
Keywords
Fund performance; Jensen measure; Sharpe measure; Treynor-Mazuy measure; Unit trust
Discipline
Asian Studies | Finance
Research Areas
Econometrics
First Page
1
Last Page
33
Citation
Chia, Joseph H. H. and TSE, Yiu Kuen.
An Empirical Analysis of Unit Trust Performance in Singapore. (2000). 1-33.
Available at: https://ink.library.smu.edu.sg/soe_research/703
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.