H. Kassim, Salina and Kamil, Saqinah
(2012)
Performance Of Islamic Unit Trusts
During The 2007 Global Financial Crisis:
Evidence From Malaysia.
Asian Academy of Management Journal (AAMJ), 17 (2).
pp. 1-20.
ISSN 1394-2603
Abstract
By focusing on the Malaysian Islamic unit trusts over the period of January 2000 to
December 2009, this study attempts to analyse the performance of the Islamic unit trusts
in various economic conditions; during a crisis period and non-crisis period. The
adjusted Sharpe index, adjusted Jensen Alpha index, and Treynor index are adopted to
compare the performance of the Islamic unit trusts against the market benchmark and
risk-free return. In measuring risk and diversification, the study relies on the standard
deviation and R2 coefficient of determination, respectively. The findings reveal that
during the non-crisis period, the performance of the Islamic unit trusts is comparable to
that of the market benchmark, while during the crisis period, the Islamic unit trusts
perform better compared to the non-crisis period. These findings suggests that the
Islamic unit trust funds can be an ideal hedging instrument during a down market and
provide potential portfolio diversification benefits for the investors. Based on these
findings, the investors could strategize and diversify their portfolio accordingly during
different market conditions
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