Malaysian Evidence on the Performance of Islamic Mutual Funds

Abstract

Using robust performance models, this chapter evaluates the performance of Islamic mutual funds (IMFs) in Malaysia during the period February 1996 to December 2009. We respond to the following two questions. First, how does the performance of IMFs compare with conventional mutual funds (CMFs) in Malaysia? Second, do IMFs perform better during bear markets? We find that IMFs generally outperform CMFs during the sample period. However, even though our results suggest that IMFs generally outperform CMFs during downward market trends, they do not appear to exhibit any significant investment hedging function during all crisis periods.