A Study of Fund Characteristics and Fund Performance in Malaysia
Keywords:mutual funds, fund characteristics, fund performance
This study examines the relationship between fund characteristics and fund performance in Malaysia mutual fund from January 2001 to December 2014. A total of 543 sample funds are employed. Systematic risk (beta), turnover ratio, expense ratio, fund size, fund objective, fund age and fund type served as the fund characteristics. Jensenâ€™s alpha on capital assets pricing model (CAPM) was the indicator of the fund performance. The results indicated that conventional funds tend to have higher trading activities than Islamic funds. The ordinary least squares regression results indicated that turnover ratio, fund age, lagged expense, lagged fund size has significant relationship with fund performance. However, risk, expense ratio, size, fund objective, fund types showed no relationship with Jensenâ€™s alpha performance. Overall, the results suggested that there are several specific fund characteristics lead to differences in fund performance. The results provided significant implications for the fund investors and fund management companies on their investment decisions.
 Investment Company Fact Book (2016). [Online], Available: from:https://www.ici.org/pdf/2016_factbook.pdf. [2017, March 10th].
 FIMM (2013). [Online]. Available: https://issuu.com/fimmtoday/docs/fimmtoday-dec201. [2017, March 10th].
 Gottesman, A.A. & Morey, M. R. (2006). Manager Education and Mutual Fund Performance. Journal of Empirical Finance, 13, 145-182
 The Edge Malaysia (2013). [Online] Available: www.theedgemarkets.com/en/node/84089. [2017, May,10]
 Brown, W.G.P. (2008). Fund and manager characteristics: determinants of investment performance. Doctoral Thesis.Stellenbosch University
 Lichtenstein, D.R., Kaufmann, P.J. and Bhagat, S. (1999). Why consumers choose managed funds over index funds: Hypothesis from consumer behavior. The Journal of Consumer Affairs, 33, 187-205.
 Low, S. W. (2010). Relationship between fund performance and characteristics of the malaysian unit trust fund. Singapore Management Review, 32(1), 29-43.
 Christopherson, J., Ding, Z. and Greenwood, P. (2002). The perils of success. Journal of Portfolio Management, 28, 41-54.
 Otten, R., and Bams, D. (2001).European mutual fund performance. European Financial Management, 8, 75-101.
 Peterson, J.D., Pietranico, P.A., Riepe, M. W. and Xu, F. (2001), Explaining the performance of domestic equity mutual funds. Journal of Investing,10, 81-92
 Jin, X.J. & Yang, X.L. (2004). Empirical study on mutual fund objective classification. Journal of Zhejiang University Science, 5(5), 533-538
 Brown, K.C., Harlow, W.V., Zhang, H.J.(2009). Staying the Course: The role of investment style consistency in the performance of mutual funds. Working Paper
 Jensen, M. C. (1968). The performance of mutual funds in the period 1945-1964.Journalof Finance, 23, 389-416.
 Haslem, J. A.; Baker, H.K and Smith, D.M (2008) Performance and characteristics of actively managed retail equity mutual funds with diverse expense ratios, Financial Services Review, 17, 49-68.
 Philpot, J. & Peterson, C.A. (2006). Manager Characteristics and Real Estate Mutual Fund Returns, Risk and Fees.Managerial Finance, 32(12), 988-996.