Performance of islamic exchange traded funds in Malaysia: comparison with conventional exchange traded funds / Aspa Zarina You Huddin

As one of the most innovative products of financial engineering, Exchange Traded Funds (ETFs) have attracted many investors in Malaysia. By virtue of the nascent nature of MyETF Dow Jones Islamic Market Malaysia Titans 25 (MyETF-DJIM25) and FBM KLCI 30ETF (FBM 30ETF) in Malaysia, comparative performance studies during the year 2008 until 2011. The objective of this research is to look the differences in terms of performance between Islamic and conventional exchange traded funds in Malaysia. The methods were used for evaluating the ETFs performance are risk-adjusted performance for example return using different measures like Sharpe, Treynor and Jensen measures. The study was used detailed monthly prices for the year 2008 to 2011 to compute these measures. MyETF would be informative to conduct further research on the performance of Islamic ETFs, particularly when more Islamic ETFs introduced in the near future. Diaw, Hassan & Ka (2010) found that both ETFs had comparable negative performance with decline in prices and NAV, not withstanding their success to outperform their respective benchmarks during a financial crisis. The negative returns have caused abnormality in their measurements.