This research reports on the findings of a study that examined the performance of Islamic unit trust funds in comparison with the conventional trust funds in Malaysia. The objectives of the study were to compare the nature and characteristics of both funds, assess their risks and returns profiles, measure the degree of diversification and compare the consistency of performance ranking. The perf...

In this paper, we analyze the persistence of several performance measures. Our work is radically different from others in the sense that we are not interested in evaluating if there is persistence in the performance of managed portfolios such as Mutual Funds but rather if performance measures have themselves some degree of persistence, that is, we focus on the inherent persistence biases of the...

The purpose of this study is two-fold. First, it is to invert an insurance industry index(s) from a linearly independent factor structure derived from the application of the Ross (1976) arbitrage-pricing model (APT) on a sample of insurance industry returns. The second objective is to identify the effect this index has on the performance of the Sharpe multi-index model in the formation of the m...

Investment decisions usually involve the assessment of more than one financial asset or investment project (real asset). The most appropriate way to analyze viability a real is not study it in isolation but as part portfolio with correlations between input variables projects. This proposes an optimization methodology for projects options based on maximizing Omega performance measure. classic us...

Stocks market performance measurement has long been regarded as the most interesting part in investment. Many new methods emerge every year but most of these are rooted from Modern Portfolio theory by Harry Markowitz. In this research paper, we have used the efficient frontier from modern portfolio theory to determine the best stocks performance in KLCI index from 2006-2010. The data is compare...