Previously, a set of standard measures such as Sharpe, Treynor and Jensen’s Alpha are widely used to evaluate the overall fund performance. However, the performance measures that consider beta or standard deviation as their risk variable might not be very useful for investors. In the present study, a performance measurement technique that considers only downside risk, known as VaR-adjusted Sharpe is proposed. Hence, the objective of this study is to evaluate and rank the CIMB Islamic equity funds from 2016 to 2019 based on four performance measures relative to the Kuala Lumpur Composite Index (KLCI) as the benchmark. The results of the study proved that by adapting VaR in Sharpe has successfully evaluated the performance of selected Islamic funds because the ranking obtained is consistent with the ranking based on the standard Sharpe.
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In-Text Citation: (Amin et al., 2021)
To Cite this Article: Amin, F. A. M., Saim, N. A., Putera, S. I. F. S., & Alwi, S. N. A. (2021). Performance Evaluation of Islamic Unit Trust by Adapting Value at Risk: Some Evidence. International Journal of Academic Research in Business and Social Sciences, 11(1), 91-98.
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