Bond Fund Versus Islam Bond Fund: A Comparison of the Performance of Fixed Income Funds in Malaysia

Aminah Shari and Mohd Zulkarnain Bahrun (2023) Bond Fund Versus Islam Bond Fund: A Comparison of the Performance of Fixed Income Funds in Malaysia. International Journal of Academic Research in Accounting, Finance and Management Sciences, 13. pp. 243-256. ISSN 2225-8329

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This study examines 43 bond funds and 24 Islamic bond funds in Malaysia from 1 August 2016 to 30 July 2021. This study analyses the performance of fixed income fund portfolios using risk-adjusted models: Treynor ratio, Sharpe ratio, and Jensen alpha. The Wilcoxon signed rank test was done on the top 20 bond funds and Islamic bond funds portfolios to compare risk adjusted performance using Sharpe, Treynor, and Jensen. Sharpe and Treynor's top 20 bond fund portfolios underperformed the market, while Islamic bond funds outperformed. Both funds outperform the market, according Jensen alpha. The performance of bond funds and Islamic bond funds differs significantly when three risk-adjusted models are utilised. This analysis reveals that Islamic bond funds are more stable over this time span.

Item Type: Article
Keyword: Bond fund, Islamic bond fund, Sharpe ratio, Treynor ratio, Jensen alpha, Wilcoxon Signed ranked test, Investment
Subjects: B Philosophy. Psychology. Religion > BP Islam. Bahaism. Theosophy, etc > BP1-610 Islam. Bahai Faith. Theosophy, etc. > BP1-253 Islam > BP1-68 General
H Social Sciences > HG Finance > HG1-9999 Finance > HG3810-4000 Foreign exchange. International finance. International monetary system
Department: FACULTY > Labuan Faculty of International Finance
Date Deposited: 01 Mar 2024 15:29
Last Modified: 01 Mar 2024 15:29

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