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Does fund management level of risk affect the fund performance?


Mahat, Fauziah and Ali, Noor Azman and Md Nassir, Annuar (2011) Does fund management level of risk affect the fund performance? International Review of Business Research Papers, 7 (5). pp. 114-140. ISSN 1837-5685; ESSN: 1832-9543


Fund management risk tolerance is a topic which is of enormous interest not only to many researchers but also to investors. Motivated by limited empirical studies on the effects of risk tolerance on fund performance in Malaysia and in response to reasonable gaps in the literature, the objective of this paper is to examine the moderating effects of fund risk tolerance on the fund characteristics and fund performance relationship. The fund characteristics consist of the type of fund, fund categories, investment objectives, and popularity of fund. Meanwhile, the time horizon and risk profile are the proxies to measure the level of risk for the fund. The fund performance measures in this study use Sharpe ratio as the fund performance measurement. The findings revealed that time horizon acts as a moderator variable on the relationship between type of fund, popularity fo fund and fund performance measured by Sharpe ratio, but does not moderate on the relationship between categories of fund, investment objective and fund performance. In addition, when risk profile was included in the test, the results indicate that the relationship of type of fund and popularity of fund with fund performance measured by Sharpe ratio is significantly moderated by the firm risk profile).

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Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
Publisher: World Business Institute
Keywords: Fund performance; Risk tolerance; Sharpe ratio; Firm risk profile; Time horizon
Depositing User: Nabilah Mustapa
Date Deposited: 27 Jul 2015 04:45
Last Modified: 16 Oct 2015 06:42
URI: http://psasir.upm.edu.my/id/eprint/22827
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