Heads we win, tails you lose: Is there equity in Islamic equity funds?

Heads we win, tails you lose: Is there equity in Islamic equity funds?

We made the first estimate of the proportion of fund alpha statistically attributable to luck rather than skill for a sample of Malaysian Islamic equity funds. Broadly, the funds do not outperform market benchmarks. In the limited instances where performance is superior, based on a contemporary met...

Full description

Bibliographic Details
Main Authors: Mustaffa Kamil, Nazrol Kamil, Alhabshi, Syed O., Bacha, Obiyathulla I., Masih, Mansur
Format: Article
Language:English
Published: Elsevier 2014
Subjects:
HG4501 Stocks, investment, speculation
Online Access:http://irep.iium.edu.my/41388/
http://irep.iium.edu.my/41388/
http://irep.iium.edu.my/41388/
http://irep.iium.edu.my/41388/1/PACFIN649_-_Published_Version.pdf
id iium-41388
recordtype eprints
spelling iium-413882016-03-05T13:58:48Z http://irep.iium.edu.my/41388/ Heads we win, tails you lose: Is there equity in Islamic equity funds? Mustaffa Kamil, Nazrol Kamil Alhabshi, Syed O. Bacha, Obiyathulla I. Masih, Mansur HG4501 Stocks, investment, speculation We made the first estimate of the proportion of fund alpha statistically attributable to luck rather than skill for a sample of Malaysian Islamic equity funds. Broadly, the funds do not outperform market benchmarks. In the limited instances where performance is superior, based on a contemporary methodology, as much as 47% of the observed positive fund alpha is statistically attributable to luck. Thus, at 5% significance level, we find only 1.95% of our funds to be genuinely skilled. Our findings raise questions regarding the equitability of these funds levying fixed fees, making a case for potential innovation in fund remuneration structure. Elsevier 2014 Article PeerReviewed application/pdf en http://irep.iium.edu.my/41388/1/PACFIN649_-_Published_Version.pdf Mustaffa Kamil, Nazrol Kamil and Alhabshi, Syed O. and Bacha, Obiyathulla I. and Masih, Mansur (2014) Heads we win, tails you lose: Is there equity in Islamic equity funds? Pacific-Basin Finance Journal , 28. pp. 7-28. ISSN 0927-538X http://www.elsevier.com/locate/pacfin dx.doi.org/10.1016/j.pacfin.2013.09.004
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
topic HG4501 Stocks, investment, speculation
spellingShingle HG4501 Stocks, investment, speculation
Mustaffa Kamil, Nazrol Kamil
Alhabshi, Syed O.
Bacha, Obiyathulla I.
Masih, Mansur
Heads we win, tails you lose: Is there equity in Islamic equity funds?
description We made the first estimate of the proportion of fund alpha statistically attributable to luck rather than skill for a sample of Malaysian Islamic equity funds. Broadly, the funds do not outperform market benchmarks. In the limited instances where performance is superior, based on a contemporary methodology, as much as 47% of the observed positive fund alpha is statistically attributable to luck. Thus, at 5% significance level, we find only 1.95% of our funds to be genuinely skilled. Our findings raise questions regarding the equitability of these funds levying fixed fees, making a case for potential innovation in fund remuneration structure.
format Article
author Mustaffa Kamil, Nazrol Kamil
Alhabshi, Syed O.
Bacha, Obiyathulla I.
Masih, Mansur
author_facet Mustaffa Kamil, Nazrol Kamil
Alhabshi, Syed O.
Bacha, Obiyathulla I.
Masih, Mansur
author_sort Mustaffa Kamil, Nazrol Kamil
title Heads we win, tails you lose: Is there equity in Islamic equity funds?
title_short Heads we win, tails you lose: Is there equity in Islamic equity funds?
title_full Heads we win, tails you lose: Is there equity in Islamic equity funds?
title_fullStr Heads we win, tails you lose: Is there equity in Islamic equity funds?
title_full_unstemmed Heads we win, tails you lose: Is there equity in Islamic equity funds?
title_sort heads we win, tails you lose: is there equity in islamic equity funds?
publisher Elsevier
publishDate 2014
url http://irep.iium.edu.my/41388/
http://irep.iium.edu.my/41388/
http://irep.iium.edu.my/41388/
http://irep.iium.edu.my/41388/1/PACFIN649_-_Published_Version.pdf
first_indexed 2023-09-18T20:59:17Z
last_indexed 2023-09-18T20:59:17Z
_version_ 1777410514275532800

Similar Items