International Portfolio Diversification : Reality or Myth

• Main Author: Fazli, Zainal Abidin
• Format: Thesis
• Language: English
• Published: 2009
• Subjects: HG Finance
• Online Access: https://etd.uum.edu.my/3669/1/s93915.pdf; https://etd.uum.edu.my/3669/; http://lintas.uum.edu.my:8080/elmu/index.jsp?module=webopac-l&action=fullDisplayRetriever.jsp&szMaterialNo=0000336920

This study is focused on performance comparison between Malaysian local, regional and global funds in its attempt to investigate whether international portfolio diversification by Malaysian unit trust companies provides better risk return trade-off relative to local portfolio diversification. A sample of 83 funds managed by local fund management companies in Malaysia were selected in this research covering a period time span from 6 April 2007 to 10 April 2009. Analysis of independent sample t-test is used to test whether the risk adjusted returns of global or international funds, as measured by Treynor Index, Sharpe Index and Jensen Alpha, are higher relative to local and regional funds during the period of financial crisis and pre-crisis period. The results of the study show that during recession, global funds and regional funds outperformed domestic funds, meanwhile during normal or pre crisis period, domestic funds outperformed international funds.