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Application Of Relative Strength Index Oscillator For Equity Portfolio Construction In Malaysia

Table 3: Overall comparison of conventional and shariah portfolio

Comparison KLCI FBMHS
Market Portfolio Market Portfolio
Mean -8.3214% 12.3818% -9.7384% 1.3741%
Std Dev 15.7810% 16.8886% 15.9745% 16.5432%
Skewness -35.364% -6.7403% -0.2622 -0.2600
Kurtosis 1.8439 1.4027 3.0369 1.5473
Beta 1.00 0.42 1.00 0.95
Sharpe -0.7288 0.5448 -0.8091 -0.1095
Treynor -11.502% 21.9714% -12.92456% -1.9024%
Jensen 0.0000% 0.0208% 0.0000% 0.0229%
T-test 0.189 0.307
Risk Free 3.18% 3.19%
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