Style Analysis of Malaysian Islamic Bond Unit Trust Funds

This study examines whether or not asset allocation styles of unit trusts different from their original objectives over the study period and sub-periods, which are during and after the financial crisis. The period of study is six (6) years starting from January 2007 to December 2012 and has been div...

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Main Author:	Ahmad Harith Ashrofie, Hanafi
Format:	Thesis
Language:	eng eng
Published:	2014
Subjects:	HG Finance
Online Access:	https://etd.uum.edu.my/4028/1/s813770.pdf https://etd.uum.edu.my/4028/2/s813770_abstract.pdf
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id	my-uum-etd.4028
record_format	uketd_dc
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng eng
advisor	Abdullah, Nur Adiana Hiau
topic	HG Finance
spellingShingle	HG Finance Ahmad Harith Ashrofie, Hanafi Style Analysis of Malaysian Islamic Bond Unit Trust Funds
description	This study examines whether or not asset allocation styles of unit trusts different from their original objectives over the study period and sub-periods, which are during and after the financial crisis. The period of study is six (6) years starting from January 2007 to December 2012 and has been divided into overall period from January 2007 to December 2012 and two sub-periods: financial crisis from January 2007 to December 2009 and post financial crisis from January 2010 to December 2012. This study uses MSCI Malaysia Growth Index, MSCI Malaysia Value Index, 1-month Kuala Lumpur Inter-bank Offer Rate (KLIBOR), TRBPAM Islamic Government Index, TRBPAM Islamic Corporate Index, MSCI World Index as benchmarks for asset classes. The total of 14 Islamic bond funds used as sample and analysed using Return Based Style Analysis (RBSA). The results show there are some unit trusts that have significant different styles when compared to their original objectives for overall period and two sub-periods, either during financial crisis or post financial crisis period. The variation in monthly returns for most of the funds for overall period and sub- periods mainly could be explained by the variation in their styles. The average style of overall period and two sub- periods shows that fund managers have focused their investment mainly in bonds, either the government or corporate bonds. However, there is a small proportion of investment is placed in asset classes such as equity and money market instruments. The average fund returns could be explained mainly by the variation in the funds’ styles.
format	Thesis
qualification_name	masters
qualification_level	Master's degree
author	Ahmad Harith Ashrofie, Hanafi
author_facet	Ahmad Harith Ashrofie, Hanafi
author_sort	Ahmad Harith Ashrofie, Hanafi
title	Style Analysis of Malaysian Islamic Bond Unit Trust Funds
title_short	Style Analysis of Malaysian Islamic Bond Unit Trust Funds
title_full	Style Analysis of Malaysian Islamic Bond Unit Trust Funds
title_fullStr	Style Analysis of Malaysian Islamic Bond Unit Trust Funds
title_full_unstemmed	Style Analysis of Malaysian Islamic Bond Unit Trust Funds
title_sort	style analysis of malaysian islamic bond unit trust funds
granting_institution	Universiti Utara Malaysia
granting_department	Othman Yeop Abdullah Graduate School of Business
publishDate	2014
url	https://etd.uum.edu.my/4028/1/s813770.pdf https://etd.uum.edu.my/4028/2/s813770_abstract.pdf
_version_	1747827666851987456
spelling	my-uum-etd.40282022-04-09T23:16:46Z Style Analysis of Malaysian Islamic Bond Unit Trust Funds 2014-05 Ahmad Harith Ashrofie, Hanafi Abdullah, Nur Adiana Hiau Othman Yeop Abdullah Graduate School of Business Othman Yeop Abdullah Graduate School of Business HG Finance This study examines whether or not asset allocation styles of unit trusts different from their original objectives over the study period and sub-periods, which are during and after the financial crisis. The period of study is six (6) years starting from January 2007 to December 2012 and has been divided into overall period from January 2007 to December 2012 and two sub-periods: financial crisis from January 2007 to December 2009 and post financial crisis from January 2010 to December 2012. This study uses MSCI Malaysia Growth Index, MSCI Malaysia Value Index, 1-month Kuala Lumpur Inter-bank Offer Rate (KLIBOR), TRBPAM Islamic Government Index, TRBPAM Islamic Corporate Index, MSCI World Index as benchmarks for asset classes. The total of 14 Islamic bond funds used as sample and analysed using Return Based Style Analysis (RBSA). The results show there are some unit trusts that have significant different styles when compared to their original objectives for overall period and two sub-periods, either during financial crisis or post financial crisis period. The variation in monthly returns for most of the funds for overall period and sub- periods mainly could be explained by the variation in their styles. The average style of overall period and two sub- periods shows that fund managers have focused their investment mainly in bonds, either the government or corporate bonds. However, there is a small proportion of investment is placed in asset classes such as equity and money market instruments. The average fund returns could be explained mainly by the variation in the funds’ styles. 2014-05 Thesis https://etd.uum.edu.my/4028/ https://etd.uum.edu.my/4028/1/s813770.pdf text eng public https://etd.uum.edu.my/4028/2/s813770_abstract.pdf text eng public masters masters Universiti Utara Malaysia Abdullah, F., Hassan, T., & Mohamad, S. (2007). Investigation of Performance of Malaysian Islamic Unit Trust Funds:Comparison With Conventional Unit Trust Funds. Managerial Finance, Vol. 33, No. 2, pp 142-153. Abdullah, N. A., & Abdullah, N. A. (2009). The Performance of Malaysian Unit Trusts Investing in Domestic Versus International Markets. Asian Academy of Management Journal of Accounting and Finance, Vol. 5, No. 2, pp 77-100. Bodson, L., Coen, A., & Hubner, G. (2008). Dynamic Hedge Fund Style Analysis with Errors-in-Variables. Social Science Research Network. 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Style Analysis of Malaysian Islamic Bond Unit Trust Funds

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