ANALYSIS OF STYLE DRIFT: EVIDENCE FROM MALAYSIAN SUKUK FUND

Abstract

Investors make their decisions on what is known about a fund through all information regarding the strategies and fundamentals of investment fund. Reliable information is essential in order to make effective investment decisions and to construct an optimal portfolio return. However, funds can be incorrectly classified when evaluating them and making allocation decisions. The misclassification or style drift can also have impacts on fund performance. This study tries to identify the class asset on sukuk fund return, and to examine the style drift of sukuk fund from the return-based style analysis. The findings indicate that majority of sukuk funds invest mainly in short term money market and sukuk to generate fixed income for investors. The result also shows that only a few sukuk funds indicate significant drift in its style from the original objectives.