Performance analysis on Islamic unit trust
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...
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| Main Authors: | , , , , |
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| Format: | Conference or Workshop Item |
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| Online Access: | http://eprints.uthm.edu.my/3378/ http://eprints.uthm.edu.my/3378/1/ECO076.pdf |
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| Summary: | 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. |
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