Performance analysis on Islamic unit trust

M., Suhana and Raja Mohd Rasi, Raja Zuraidah and O., Nooririnah and A.L., Ruziah and Z., Zaibedah Performance analysis on Islamic unit trust. In: International Conference on Technology Management, Business and Entrepreneurship 2012 (ICTMBE 2012), 18-19 December 2012, Renaissance Melaka Hotel, Melaka.

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Abstract

Muslim investors always seek Syariah Compliance investments to suite their investment objectives. Thus, the existence of Islamic Unit Trust in Malaysia give opportunity to them to invest in a well diversified portfolio of Islamic securities managed by professional managers. The objective of this paper is to study the performance of Islamic Unit Trust in Malaysia. This paper will also compare the performance of Islamic unit trust with Conventional unit trust towards FTSE Bursa Malaysia KLCI (KLCI) to know whether the funds outperform KLCI. This study measured the secondary data using monthly Net Asset Value. The standard performance measurement such as Sharpe Index, Treynor Index and Jensen Alpha were used to estimate the overall fund performance. Sharpe Index is used to characterize how well the return of unit trust fund remunerate the investor for risk they have taken, where the higher the number the better. The Treynor Index relates the excess return over the risk-free rate to the additional risk taken, where the higher the ratio indicates the better the performance of the portfolio under analysis. Jensen Alpha is used to determine the abnormal return of a security or portfolio of securities over the theoretical expected return. The higher number is better. The Islamic unit trusts funds studied were ranked based on average return, standard deviation, coefficient of variation and beta (systematic risk). Findings showed that Islamic unit trusts produce lower returns than the market portfolio. It can also be concluded Islamic unit trust slightly underperformed the KLCI. This study hope to help the investors in their decision making; whereby this study provides information and prior knowledge to the investors which Islamic unit trust funds is the best fund to invest. Moreover, revealing the specific volatility patterns in returns might also benefits investors in risk management and portfolio optimization.

Item Type:Conference or Workshop Item (Paper)
Uncontrolled Keywords:Islamic unit trust; Islamic investment; sharpe index, Treynor index;Jensen Alpha
Subjects:H Social Sciences > HG Finance
Divisions:Faculty of Technology Management, Business and Entrepreneurship > Department of Management and Technology
ID Code:3378
Deposited By:Ms Aryanti Ahmad
Deposited On:07 Jan 2013 09:12
Last Modified:07 Jan 2013 09:12

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