Evaluation on international unit trust funds: A case for Malaysia

摘要

As an investor, the most important thing when invest in unit trust funds is to achieve higher return with low risk. To do so, such method has been created by fund managers such as Sharpe measure [18], Treynor measure [20] and Jensen Alpha measure [11]. Using such methods create problem in understanding and misleading rankings. Modigliani and Modigliani [13] suggest a ranking procedure by providing best portfolio after return has been adjusted for risk. This study uses Modigliani and Modigliani model to provide the ranking procedure in determining “best” portfolio for Malaysian international unit trust funds. The leverage factor provides guidelines for strategic investment decisions. Further, it is found MSCI EAFE index is the best benchmark for international investment as compared to FBM KLCI and S&P 500 index.