Performance of Unit Trust Funds between Conventional and Islamic Funds in Malaysia using Data Envelopment Analysis

Performance of Unit Trust Funds between Conventional and Islamic Funds in Malaysia using Data Envelopment Analysis

Authors

  • Nahamizun Maamor Faculty of Computer and Mathematical Sciences, Universiti Teknologi MARA, Perlis Branch, Arau Campus
  • Anas Fathul Ariffin Faculty of Computer and Mathematical Sciences, Universiti Teknologi MARA, Perlis Branch, Arau Campus
  • Teoh Yeong Kin Faculty of Computer and Mathematical Sciences, Universiti Teknologi MARA, Perlis Branch, Arau Campus
  • Suzanawati Abu Hasan Faculty of Computer and Mathematical Sciences, Universiti Teknologi MARA, Perlis Branch, Arau Campus

DOI:

https://doi.org/10.24191/jcrinn.v6i3.232

Keywords:

Unit Trust Fund, Data Envelopment Analysis (DEA), Islamic Fund, Conventional Fund, Ranking, Efficiency

Abstract

This study aims to analyse the current performance of unit trust funds between conventional and Islamic funds using data envelopment analysis because most Malaysians are incapable to distinguish between conventional and Islamic unit trust funds performances since they tend to assume both funds perform similarly. This paper uses 20 authorised funds by the Securities Commission Malaysia (SC) for three years by using trailing data that consists of volatility element as input and total return as output. Indeed, the funds selected do not mix asset classes of funds, instead relying solely on equity funds to create a fair and reasonable ranking. The study employs Data Envelopment Analysis by testing two different models, namely Charnes, Cooper, and Rhodes input oriented (CCR-I) model and Banker, Charnes, and Cooper input oriented (BCC-I) model. The use of two models in this study is to ensure that the results of the ranking analysis are more accurate and precise. Both models employ the input-oriented model function as a means of maximising efficiency in order to increase the number of fairies. The efficiency of Islamic funds is more consistent than that of conventional funds for both models, as several Islamic funds maintain their position at the top of the efficient rank. However, there is a significant increase in conventional funds because 80% of the selected conventional funds that are not efficient in the CCR-I model achieve the efficiency level in the BCC-I model. As a result, there are four unit trust funds that are consistent in occupying efficiency level when tested for both CCR-I model and BCC-I model whereby three out of four are Islamic funds while the other is conventional fund. The Islamic funds consist of Apex Dana Aslah, BIMB i Growth Fund, and Maybank Malaysia Growth-I Fund while KAF Tactical Fund is conventional fund. Ultimately, it is concluded that Islamic funds perform better than conventional funds in Malaysia for the 3 years period ending 31 March 2021.

Downloads

Download data is not yet available.

References

Bashir & Nawang, W. (2011). Islamic and conventional unit trusts in Malaysia : a performance comparison. Journal of Islamic Economics, Banking and Finance, 7(4), 9–24.

Hassan, A., Chachi, A., & Munshi, M. R. (2020). Performance measurement of Islamic mutual funds using DEA method. Journal of Islamic Accounting and Business Research, 11(8), 1481–1496. https://doi.org/10.1108/JIABR-04-2018-0053.

Ji, A., Liu, H., Qiu, H. J., & Lin, H. (2015). Data envelopment analysis with interactive variables. Management Decision, 53(10), 2390–2406. https://doi.org/10.1108/MD-11-2014-0631.

Majid, A. & Maulana, (2012). A comparative analysis of the productivity of Islamic and conventional mutual funds in Indonesia: Data envelopment analysis (DEA) and general least square (GLS) approaches. Gadjah Mada International Journal of Business, 14(2), 183–208. https://doi.org/10.22146/gamaijb.5439.

Mansor, F., Bhatti, M. I., Rahman, S., & Do, H. Q. (2020). The Investment Performance of Ethical Equity Funds in Malaysia. Journal of Risk and Financial Management, 13(9), 219. https://doi.org/10.3390/jrfm13090219.

Morningstar. (2020). Unit Trust Funds Data Risk and Return. Morningstar Malaysia. https://my.morningstar.com/my/.

Rubio, J. F., Hassan, M. K., & Merdad, H. J. (2012). Non-parametric performance measurement of international and Islamic mutual funds. Accounting Research Journal, 25(3), 208–226. https://doi.org/10.1108/10309611211290176.

Saad, N. M., Majid, M. S. A., Kassim, S., Hamid, Z., & Yusof, R. M. (2010). A comparative analysis of the performance of conventional and Islamic unit trust companies in Malaysia. International Journal of Managerial Finance, 6(1), 24–47. https://doi.org/10.1108/17439131011015779.

Taufiq, M., Natasah, N. A., Qomariah, N., Sari, M. I., Budiarti, D. A., Rumintang, A. G., Azhari, M., Arif, M., Samim, M., Khurshid, M., Ali, A., Alsharif, S., Ahmad, Shabbir and Alsharif, D., Lestari, W. R., & Fajar, N. (2019). Islamic Versus Conventional Mutual Funds Performance in Pakistan; Comparative Analysis Through Performance Measures and DEA Approach. Jurnal Ekonomi Dan Keuangan, 2(1), 1428.

Downloads

Published

2021-07-01

How to Cite

Maamor, N. ., Fathul Ariffin, A. ., Teoh Yeong Kin, & Abu Hasan, S. (2021). Performance of Unit Trust Funds between Conventional and Islamic Funds in Malaysia using Data Envelopment Analysis. Journal of Computing Research and Innovation, 6(3), 53–64. https://doi.org/10.24191/jcrinn.v6i3.232

Issue

Section

General Computing

Most read articles by the same author(s)

Loading...