The Performance of Islamic Unit Trust Funds in Malaysia: Does Persistence Exit?

Mohd Azlan Shah Zaidi, Zulkefly Abdul Karim (Universiti Kebangsaan Malaysia)

Zurina Kefeli @ Zulkefli (Kolej Universiti Islam Malaysia)

Abstract :

The paper examines Islamic unit trust fund's performance and evaluates whether the performance persists over several time periods. On average, overall funds' performance as well as each fund performance is evaluated. Besides using raw return, this paper also uses Sharpe index, Treynor index as well as Jensen Alpha index to evaluate the funds' performance. Evaluating persistence in performance is done by comparing &e performance measures on year to year basis starting 1999 to 2003 and also on several time intervals of one (1999),two (1999-2000),three (1999-2001), four (1999-2002) and five (1999-2003) years. In addition, this study also ranks each trust fund according to the performance indicator. Top 25% and bottom 25% of the funds in the ranking are then analyzed to look at persistence in being in the place through the differing time intervals. The results show that persistence in performance of the overall funds, on average, cannot be proved in the differing time periods. However, the result differ when each fund is being evaluated . Some funds persist in performance while the others do not. Similar results are also shown in the ranking performance. Thus, the evidence of the persistence in performance could give some hints to the potential investors to carefully choose which funds to commit.

Keywords: Unit trust performance, capital asset pricing model, persistence in performance, sharpe index, treynor index, jensen alpha index


JMIFR - Vol 1, No.1 2004 - Part 3

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