The study tests the Fama and French three-factor model by using the newly created Islamic equity style indices. Based on a dataset from May 2006 to April 2011, the three-factor model is tested based on returns of Islamic unit trust funds using the Generalized Method of Moments (GMM) methodology. The sample period is also divided between periods before and after the Global Financial Crisis in August 2008 to test for robustness, and the Bai and Perron (2003) multiple structural break test was used to determine the structural break in the series. The analysis shows that the Fama and French model is valid for Islamic unit trust funds before and after the collapse of Lehman Brothers. The result further indicates the reversal of size effect. As for trading strategies, value funds outperform growth funds by annualized 3.13 percent for the full period. During pre-crisis period, value funds perform better than growth funds while in post-crisis, size factor yields better return than other strategies. As policy suggestion, fund managers need to be aware of the reversal of size effect, and they need to ensure a more transparent stock selection process so that investors can make an informed decision in their asset allocation.

Abstract
 1. Introduction
 2. The Growth of Islamic Unit Trust FundIndustry in Malaysia
 3. Fama and French Three-Factor Model
 4. Empirical Framework
  4.1. Data and Variables
  4.2. Creation of Malaysian Islamic Equity Style Indices
  4.3. Descriptive Statistics
  4.4. Structural Break Test
  4.5. Trading Strategies
 5. Conclusion
 References

• Shahrin Saaid Shaharuddin(Department of Finance and Banking, Faculty of Business and Accountancy, University of Malaya)
• Wee-Yeap Lau(Department of Applied Statistics, Faculty of Economics and Administration, University of Malaya, Malaysia) Corresponding Author
• Rubi Ahmad(Department of Finance and Banking, Faculty of Business and Accountancy, University of Malaya)