Abstract
This study focuses on equity fund performance in the Malaysian market with three different time frames (daily, monthly, and yearly) and examines the relationship between its expected return and liquidity timing. Traditional financial ratios such as Sharpe, Jensen Alpha, Treynor index, and Capital Asset Pricing Model (CAPM) help in analyzing the performance of the equity fund whereas Trading Volume and Turnover methods were utilized to measure the fund liquidity. Deduced from the analysis, the equity fund performs differently within the group itself, depending on the time frames stated. This study also found that the liquidity timing affects the expected return where the fund manager can use the beta values from the fund analysis to increase their market exposure, prior to market timing liquidity.
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The authors gratefully acknowledge financial support from the Faculty of Computer and Mathematical Science, Universiti Teknologi MARA, Shah Alam for this study.
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Saad, S.F., Zahari, S.M., Mohd, M.A. (2021). Financial Analytics on Malaysia’s Equity Fund Performance and Its Timing Liquidity. In: Mohamed, A., Yap, B.W., Zain, J.M., Berry, M.W. (eds) Soft Computing in Data Science. SCDS 2021. Communications in Computer and Information Science, vol 1489. Springer, Singapore. https://doi.org/10.1007/978-981-16-7334-4_15
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