A comparative performance of conventional and Islamic unit trusts: Market timing and persistence evidence

Journal of Financial Services Marketing

Volumn 18, Issue 4, 2013, Pages 316-326

  Alam, Nafis ^a   Tang, Kin Boon ^b   Rajjaque, Mohammad Shadique ^c  

^a Jalan Broga University of Nottingham Malaysia Campus   (Malaysia)

^b UNIVERSITY OF NOTTINGHAM MALAYSIA CAMPUS   (Malaysia)

^c UNIVERSITY OF SHEFFIELD   (United Kingdom)

Author keywords

Fund management; Performance management; Persistence; Unit trusts

Indexed keywords

EID: 84888335273     PISSN: 13630539     EISSN: 14791846     Source Type: Journal    
DOI: 10.1057/fsm.2013.24     Document Type: Article

References (44)

1. Bodie, Z., Kane, A. and Marcus, A.J. (2009) Investments. New York: McGraw Hill International Edition.
2. Bollen, N. and Busse, J. (2001) On timing ability of mutual fund managers. Journal of Business Review 44(4): 131-136.
3. Brown, S.J. and Goetzmann, W.N. (1995) Performance persistence. Journal of Finance 50(2): 679-698.
4. Chance, D. and Helmer, M. (2001) The performance of professional market timers: Daily evidence from executed strategies. Journal of Financial Economics 62(2): 377-411. (Pubitemid 33376374)
5. Chang, E. and Lewellen, W. (1984) Impact of size and flows on performance for funds of hedge funds. Journal of Business 57(1): 57-72.
6. Chen, C.R., Cheng, F.L., Rahman, S. and Chan, A. (1992) A cross-sectional analysis of mutual funds' market timing and security selection skill. Journal of Business Finance and Accounting 19(5): 659-674.
7. Cheng, L.T.W., Pi, L.K. and Wort, D. (1999) Are there hot hands among mutual fund houses in Hong Kong? Journal of Business Finance and Accounting 26(1-2): 103-135.
8. Coggin, T.D., Fabozzi, F.J. and Rahman, S. (1993) The investment performance of US equity pension fund managers: An empirical investigation. The Journal of Finance 48(3): 1039-1055.
9. Connor, G. and Korajczyk, R.A. (1991) The attributes behavior and performance of U.S. Mutual funds. Re-view of Quantitative Finance Accounting 1: 5-26.
10. Cumby, R.E. and Glen, J.D. (1990) Evaluating the performance of international mutual funds. Journal of Finance 45: 497-521.
11. Elfakhani, S., Hassan, M.K. and Sidani, Y. (2005) Comparative performance of Islamic versus secular mutual funds, http://www.middle-east-studies.net/wp- content/uploads/2010/09/sidani-IslamicMutualFunds.pdf, accessed 6 November 2012.
12. Elton, E.J., Gruber, M.J. and Blake, C.A. (1996) The persistence of risk-adjusted mutual fund performance. The Journal of Business 69(2): 133-157. (Pubitemid 126314601)
13. Fauziah, M.T., Suhaimi, S. and Lee, H.L. (2002) Malaysian Unit Trust Fund Performance. Proceedings for the Fourth Annual Malaysian Finance Association Symposium, Penang.
14. Ferson, W. and Schadt, R. (1996) Measuring fund strategy and performance in changing economic conditions. Journal of Finance 51(2): 425-461. (Pubitemid 126313376)
15. Fikriyah, A., Taufiq, H. and Shamsher, M. (2007) Investigation of performance of Malaysian Islamic unit trust funds: Comparison with conventional unit trust funds. Journal of Managerial Finance 33(2): 142-153.
16. Firer, C., Beale, J.P., Edwards, M.D., Hendrie, J.N. and Scheppening, D.C. (2001) The persistence of performance of South African unit trusts. The South African Journal of Business Management 32(2): 1-8.
17. Firth, M.A. (1977) The investment performance of unit trusts in the period 1965-76. Journal of Money, Credit and Banking 9(1): 597-604.
18. Goetzmann, W. and Ibbotson, R. (1994) Do winners repeat? Patterns in mutual fund performance. Journal of Portfolio Management 20(2): 9-17.
19. Goetzmann, W., Ingersoll, J. and Ivkovi?, Z. (2000) Monthly measurement of daily timers. Journal of Financial and Quantitative Analysis 35(3): 257-290.
20. Grant, D. (1978) Market timing and portfolio management. The Journal of Finance 33(4): 1119-1131.
21. Grinblatt, M. and Titman, S. (1989) Portfolio performance evaluation: Old issues and new insights. Review of Financial Studies 5(2): 393-421.
22. Grinblatt, M. and Titman, S. (1992) The persistence of mutual fund performance. Journal of Finance 47: 1977-1984.
23. Hendricks, D., Patel, J. and Zeckhauser, R. (1993) Hot hands in mutual funds: Short run persistence of relative performance, 1974-88. Journal of Finance 48: 93-130.
24. Henriksson, R.D. (1984) Market timing and mutual fund performance: An empirical investigation. Journal of Business 57(1): 73-97.
25. Hunter, J.E., Coggin, T.D. and Rahman, S. (1992) The correlation between sampling errors in estimating security selection and market timing ability. East Lansing, MI: Michigan State University. Working paper.
26. Investment Company Institute (ICI) (2009) How mutual funds and investment companies operate, Investment Company Fact Book, http://www.icifactbook.org/fb- appa.html, accessed 6 November 2012.
27. Jagannathan, R. and Korajczyk, R. (1986) Assessing the market timing performance of managed portfolios. Journal of Business 59(2): 217-235.
28. Jensen, M.C. (1968) The performance of the mutual funds in the period 1945-1964. Journal of Finance 23(2): 389-416.
29. Jensen, M.C. (1969) Risk, the pricing of capital assets, and the evaluation of investment performance. Journal of Business 42(2): 167-247.
30. Kon, S.J. and Jen, F.C. (1979) The investment performance of mutual funds: An empirical investigation of timing, selectivity and market efficiency. Journal of Business 52(2): 263-289.
31. Kon, S.J. (1983) The market timing performance of mutual fund managers. Journal of Business 56(3): 321-347.
32. Lai, M.M. and Lau, S.H. (2009) The performance persistence and stimulated returns of Malaysia mutual funds, http://www .eurojournals.com/irjfe-44-15.pdf, accessed 6 November 2012.
33. Lau, W.Y. (2007) An integrated framework for style analysis: How is it useful to Malaysian equity trust investors? Managerial Finance 33(2): 122-141.
34. Lehmann, B.N. and Modest, D.M. (1987) Mutual fund performance evaluation: A comparison of benchmarks and benchmark comparisons. Journal of Finance 42(2): 233-265.
35. Low, S.W. and Ghazali, N.A. (2007) The price linkages between Malaysian unit trust funds and the stock market. Managerial Finance 33(2): 89-101.
36. Malkiel, B.G. (1995) Returns from investing in equity mutual funds 1971-1991. Journal of Finance 50(2): 549-572.
37. Nassir, A.M., Mohamed, S. and Ngu, M.H. (1997) Selectivity and timing: Evidence from the performance of Malaysian unit trusts. Pertanika Journal of Social Science & Humanities 5(1): 45-57.
38. Oldham, G. and Kroeger, J.A. (2005) Performance, persistence and benchmarks of selected South African unit trusts for the period 1998-2002. South African Journal of Business Management 36(4): 81-90.
39. Porter, G.E. and Trifts, J.W. (1998) The performance persistence of experienced mutual fund managers. Financial Services Review 7(1): 57-68.
40. Securities Commission of Malaysia (2012) Data and statistics/Unit trust fund in Malaysia, http://www.sc.com.my/main.asp? pageid=302&menuid= 252&newsid=&linkid=&type=, accessed 6 November 2012.
41. Sehgal, S. and Jhanwar, M. (2008) On stock selection skills and market timing abilities of mutual fund managers in India. International Research Journal of Finance and Economics 15(1): 307-317.
42. Shamsher, M., Annuar, M.N. and Taufiq, H. (2000) Investment in unit trusts: Performance of active and passive funds. Proceedings of FEP Seminar, Issues in Accounting and Finance 2: 129-41.
43. UPM Press, Malaysia. Sharpe, W.F. (1966) Mutual fund performance. Journal of Business 39(1): 119-138.
44. Treynor, J.L. and Mazuy, K. (1966) Can mutual funds outguess the market? Harvard Business Review 44(4): 131-136.