4.

0 Main Findings
4.1 Covariance of 30-unit trust/mutual fund

Covariance of 30 Unit Trust/Mutual Fund

12

10

0
0 2 4 6 8 10 12

Table 3: Covariance of 30 Unit Trust/Mutual Fund Graph

Based on table 3, this study collected 30-unit trust/mutual funds to investigate the value of

covariance. Therefore, we used to excel to calculate the statistical formula by comparing each

unit trust, and the benchmark we used is S&P 500 index. The overall covariance of the unit

trust/mutual fund is positive. In other words, the two assets' return moves together either will

be higher or lower at the same time (Adam Hayes, 2022). For instance, the highest positive

covariance is WWNPX unit trust, which indicates that the covariance value is 0.0037, and

unit trust/mutual fund that the lowest value of negative covariance is SQQQ ETF, which

represents a value is -0.0078. The negative covariance indicates that the two variables have

an inversed relationship.
4.2 Data for 30 Unit Trust/mutual fund

Table 3: Average Return, Standard Deviation and Beta for 30 Unit Trust, market and risk-free
rate table

Table 3 shows the average return, standard deviation and beta for a 30-unit trust/mutual fund.

For instance, the overall average return is between -1 and 1, which indicates the overall

performance of unit trust is good from Nov 2017-2022. The standard deviation and beta

represent the volatility and risk of the unit trust, the overall standard deviation is relatively

stable, and the beta of a unit trust is between -2 to 3, which means that the overall

performance of the unit trust is good, the highest beta is TQQQ ETF Bullish, which has a

3.393, and the lowest unit trust is SQQQ Bearish which has a negative 2.8 beta. Other than

that, the market average return is 0.008, the standard deviation is 0.053, and based on the

study, the market beta is 1. The average risk-free rate is 0.2046.

4.3 Sharpe Index

Sharpe Index
0.5

0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30

-0.5

-1

-1.5

-2

Figure 4: Sharpe Index Graph

According to Investopedia, risk-adjusted relative returns can be measured using the Sharpe

ratio. An investment benchmark is compared to a fund's historical or projected returns as well

as the volatility of those returns (Jason Fernando, 2022). Therefore, Sharpe ratios above the

benchmark that are considered as “good”. Based on figure 4, the overall sharp index of unit

trust/mutual fund is below the benchmark, which benchmark is negative 0.31. The overall

negative Sharpe ratio means the risk-free or benchmark rate is greater than the portfolio’s

historical or projected return. the highest Sharpe index of ETF is TQQQ ETF Bullish, which has a

0.023, and the lowest unit trust is VBTLX which has a negative 1.79. In conclusion, the overall

result of a 30-unit trust/mutual fund is benchmark is higher than Sharpe Index (Inferior).
4.4 Risk Adjusted Performance/M2

Risk Adjusted Performance

0.04

0.02

0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30

-0.02

-0.04

-0.06

-0.08

Figure 5: Risk Adjusted Performance Graph

Similar to the Sharpe Index, M2 measure uses the Sharpe ratio multiplied by the standard

deviation of any benchmark market index to give us the risk-adjusted return of the portfolio.

It is a more useful version of the Sharpe ratio (Ashish Kumar Srivastav, 2022). Based on

figure 5, the overall M2 ratio of unit trust/mutual fund is below the benchmark, which

benchmark is 0.008. The overall negative M2 ratio means the overall performance of Sharpe

Index is lower. The highest M2 index of unit trust/mutual fund is TQQQ ETF Bullish, which

has a 0.136, and the lowest unit trust is VBTLX which has a negative 0.071. In conclusion,

the overall result of a 30-unit trust/mutual fund is market return higher than M2(inferior).
4.5 Treynor Index

Treynor Index
0.05

0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30
-0.05

-0.1

-0.15

-0.2

-0.25

-0.3

-0.35

Figure 5: Treynor Index Graph

A higher Treynor Index may signify a good investment, it's crucial for investors to remember

that one ratio shouldn't be the only one considered when making an investment decision (Will

Kenton. 2022). Based on figure 5, the overall Treynor Index of unit trust/mutual fund is

below the benchmark, which benchmark is 0.0166. The overall Treynor Index is closed to 0

and most of them are negative value. The highest Treynor index of unit trust/mutual fund is

SQQQ ETF Bearish, which has a 0.0261, and the lowest unit trust is VBTLX which has a

negative 0.30. In conclusion, the overall result of a 30-unit trust/mutual fund is counted as

Inferior because the benchmark is higher than Treynor Index.

4.6 Jensen Alpha Index

Jensen Index
12

10

0
0 2 4 6 8 10 12

Figure: Jensen Alpha Index Graph

Jensen's Alpha Index measures the average return on an investment or portfolio that is higher

or lower than what the capital asset pricing model predicts (CAPM). If a mutual fund

manager's alpha is positive, it means they made more than enough return to cover risk (James

Chen, 2020). Based on figure 5, the overall Jensen's Alpha Index of unit trust/mutual fund is

negative value. It is indicated that the portfolio cannot cover risk. The highest Jensen Alpha

index of unit trust/mutual fund is TQQQ ETF Bullish, which has a 0.06, and the lowest unit

trust is SQQQ ETF Bearish which has a negative 0.12. In conclusion, the overall result of a

30-unit trust/mutual fund is counted as Inferior because the overall value is negative.
4.7 Information Ratio

Information Ratio
4

3.5

2.5

1.5

0.5

0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30
-0.5

Figure: Information Ratio Graph

A higher Information ratio result indicates a superior portfolio manager who, given the

assumed risk, is generating a higher return than the benchmark (Chris B. Murphy, 2020).

Based on figure 5, the overall Information ratio of unit trust/mutual fund is below average. It

is indicated that there is a lower return in excess of benchmark and given the risk taken. The

highest Information ratio of unit trust/mutual fund is SPY, which has a 3.34, and the lowest

unit trust is SQQQ ETF Bearish which has a negative 0.215. In conclusion, the overall result

of a 30-unit trust/mutual fund is below the benchmark which is under 0.4, but also has a few

unit trust are good and great, therefore the overall performance is average.
4.8 Sortino Index

Sortino Index
1

0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30

-1

-2

-3

-4

-5

-6

Figure: Sortino Index Graph

A higher outcome for the Sortino Index is preferable, just like the Sharpe ratio. There is

another difference with Sharpe Index is Sortino Index’s standard deviation only calculate

with negative deviation (Will Kenton, 2020). Therefore, based on figure 5, the overall Sortino

Index of unit trust/mutual fund is below average. In this case, a lower Sortino Index indicates

a lower return per unit of bad risk that the investment is taking on. The highest Sortino Index

of unit trust/mutual fund is TQQQ ETF Bullish, which has a 0.32, and the lowest unit trust is

SQQQ ETF Bearish which has a negative 5.21. In conclusion, the overall result of a 30-unit

trust/mutual fund is between the benchmark is using the negative deviation to calculate, so

the value is negative 0.154, the overall performance is counted as inferior more than superior.

4.9 Fama’s Attribution Analysis

 Table 1: Fama’s Attribution Analysis Table

Based on Fama’s performance attribution, there is no particular risk in a completely

diversified portfolio, and the overall risk is equal to the systematic risk. Portfolio managers

will abandon diversification to increase returns (Fama, 1972). The overall performance of the

net selectivity value is negative, which means that the particular segment is lower than the

benchmark returns from the same feature. The highest net selectivity value is 0.01312 and the

unit trust name is TQQQ ETF Bullish. In contrast, the lowest value of unit trust is SQQQ

ETF Bearish, which has a negative net selectivity value of 0.0623. In conclusion, the overall

performance of 30-unit trust/mutual fund is below the benchmark for the net selectivity

because of the negative return.