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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2014
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Universiti Utara Malaysia |
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UUM ETD |
| language |
eng eng |
| advisor |
Abdullah, Nur Adiana Hiau |
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HG Finance |
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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 |
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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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Monetary and Financial Developments, Economic Reports 2012/2013. Ministry of Finance Malaysia. Otten, R., & Bams, D. (2000). Statistical Tests for Return-Based Style Analysis. Social Science Research Network. Rekenthaler, J., Gambera, M., & Charlson, J. (2004). Estimating Portfolio Style in U.S.Equity Funds:A Comparative Study of Portfolio-Based Fundamental Style Analysis and Returns-Based Style Analysis. Morningstar Research Report, pp 1-21. Sawicki, J. (2009). An Application of Returns-Based Style Analysis to Investigating the Disappearance of the Size Premium. Journal of Modelling in Management, Vol. 4 No. 3, 2009, pp. 216-234. Sharpe, W. F. (1992). Asset Allocation: Management Style and Performance Measurement. Journal of Portfolio Management, pp. 7-19. Swinkels, L., & Van Der Sluis, P. J. (2002) Return-Based Style Analysis with Time-Varying Exposures. Social Science Research Network. Taib, F. M., & Isa, M. (2007). Malaysian Unit Trust Aggregate Performance. Managerial Finance, Vol. 33, No. 2, pp 102-121. ter Horst, J. R., Nijman, T. E., & de Roon, F. A. (1998). Style Analysis and Performance Evaluation of Dutch Mutual Funds. Center Discussion Paper No. 9850. |