Historical Sector Exposures vs. Optimal Sector Exposures: Evidence from Bursa Malaysia
Hani Nuri Rohuma (Ph.D.)

Abstract
The main objective of this research is to estimate and compare the historical sector exposures (weights) and optimal sector exposures for the market proxy in Bursa Malaysia over the 1 December 2005-30 November 2017 examination period. The reason for this comparison is to analyse the potential inconsistencies between the two kinds of sector exposures. The results indicated that the key sectors that drove the performance of Bursa Malaysia were the industrial, trading, and services sectors, followed by the consumer sector until 2016. However, the plantation sector has become the key driver of performance in 2017. Yet, to achieve mean-variance efficiency in Bursa Malaysia, investors should allocate considerable investments in the plantation, finance, and consumer sectors. The plantation sector investment is the safest cushion during the global financial crisis of 2007/2008. Opposite to the historical sector exposures, no investment should be allocated in the industrial sector over the entire examination period.

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