Performance evaluation of Islamic mutual funds in Malaysia based on asset portfolio

Aida Yuzi*, Shamshimah Samsuddin, Syazreen Niza Shair, Mohamad Hafiz Hazny

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contributionpeer-review

Abstract

The purpose of this study is to evaluate the returns performance of Islamic mutual funds in Malaysia according to four types of asset portfolios which are Equity, Debt, Money Market and Asset Allocation. Using Sharpe and Adjusted Sharpe Ratio, Treynor and Jensen Indices as well as Modigliani Measure, the average daily returns for each type of asset fund are being compared relatively to two market benchmarks namely Kuala Lumpur Composite Index (KLCI) and Bursa Malaysia EMAS Shariah Index (FBMS). The period of comparison is divided into three; between 2001 to 2006 which is before Global Financial Crisis, during the period of crisis from 2007-2008 and post crisis of 2009 to 2010. Findings show that generally, all types of asset portfolios performed throughout 2001 until 2010. However, during Global Financial Crisis, Money Market Islamic mutual funds show better performance as compared to other types of asset portfolios. In addition, all types of Islamic mutual funds outperform in relative to market benchmarks and the outperformance is continued until 2010. The under performance results were only shown through Debt and Money Market Islamic Mutual funds from 2001 to 2006. The results provide information that would benefit the investors and market players in asset funds selection and weighing their investment during bullish or bearish periods.

Original languageEnglish
Title of host publicationICSSBE 2012 - Proceedings, 2012 International Conference on Statistics in Science, Business and Engineering: "Empowering Decision Making with Statistical Sciences"
Place of PublicationPiscataway, NJ
Pages281-286
Number of pages6
DOIs
Publication statusPublished - 2012
Externally publishedYes
Event2012 International Conference on Statistics in Science, Business and Engineering, ICSSBE 2012 - Langkawi, Kedah, Malaysia
Duration: 10 Sep 201212 Sep 2012

Other

Other2012 International Conference on Statistics in Science, Business and Engineering, ICSSBE 2012
CountryMalaysia
CityLangkawi, Kedah
Period10/09/1212/09/12

Keywords

  • debts funds
  • equity funds
  • Islamic Mutual Funds
  • performance evaluation

Fingerprint Dive into the research topics of 'Performance evaluation of Islamic mutual funds in Malaysia based on asset portfolio'. Together they form a unique fingerprint.

Cite this