Risks and the Co-Movement of the Malaysian Unit Trust Funds with Shariah Index

Abstract

Purpose – This study aims to empirically analyze Unit Trust Funds in Malaysia, specifically focusing on Equity Funds and Fixed-Income Funds. The objective is to examine the co-movement of these funds with the Shariah market index and understand its implications for fund performance. Design/Methodology/Approach – The study employs a quantitative research design, using time-series data of Unit Trust Funds and market indices. Statistical methods, including correlation analysis, are used to examine the co-movement and its impact on fund performance. The study conducted a detailed analysis of the mutual funds market, evaluating various types, factors, risks, and features that contribute to strategies and innovation. Findings – The findings of this study are expected to reveal the nature and extent of co-movement between Unit Trust Funds and the market index. The results will provide insights into how this co-movement influences the performance of Equity Funds and Fixed-Income Funds. The study also aims to identify any significant differences in the co-movement and performance implications between these funds and the respective market indexes.  Originality – This study is one of the first to provide an empirical analysis of the co-movement between Unit Trust Funds and the market index in the Malaysian context, considering both Equity Funds and Fixed-Income Funds. The findings will contribute to the existing literature on Unit Trust Funds and provide valuable insights for investors, fund managers, and policymakers. Practical Implication - The research findings have various real-world applications for different stakeholders. By adjusting the allocation of Equity Funds and Fixed-Income Funds based on their co-movement with the Shariah market index, investors can develop diversified investment strategies. During periods of strong co-movement, risk-averse investors may shift towards more stable Fixed-Income Funds.