DocumentCode :
2746553
Title :
Performance evaluation of Islamic mutual funds in Malaysia based on asset portfolio
Author :
Yuzi, A. ; Samsuddin, S. ; Shair, S.N. ; Hazny, M.H.
Author_Institution :
Centre for Actuarial Sci., Univ. Teknol. Mara (UiTM), Shah Alam, Malaysia
fYear :
2012
fDate :
10-12 Sept. 2012
Firstpage :
1
Lastpage :
6
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.
Keywords :
investment; statistical analysis; Bursa Malaysia EMAS Shariah index; FBMS; Jensen indices; KLCI; Kuala Lumpur composite index; Treynor indices; adjusted sharpe ratio; asset allocation; asset portfolio; global financial crisis; investment; islamic mutual funds; market players; modigliani measure; money market; performance evaluation; Benchmark testing; Indexes; Investments; Measurement; Mutual funds; Portfolios; Resource management; Islamic Mutual Funds; debts funds; equity funds; performance evaluation;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Statistics in Science, Business, and Engineering (ICSSBE), 2012 International Conference on
Conference_Location :
Langkawi
Print_ISBN :
978-1-4673-1581-4
Type :
conf
DOI :
10.1109/ICSSBE.2012.6396573
Filename :
6396573
Link To Document :
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