Peillex, Jonathan, Erragragui, Elias, Bitar, Mohammad and Benlemlih, Mohammed (2018) The contribution of market movements, asset allocation and active management to Islamic equity funds’ performance. The Quarterly Review of Economics and Finance . ISSN 10629769 (In Press)
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Official URL: http://dx.doi.org/10.1016/j.qref.2018.03.013
Abstract
Where the performance of Islamic equity funds (IEFs) comes from? Is it from market movements, asset allocation policy or from active portfolio management? Our study is the first to tackle this question in the Islamic funds context. We use a database covering 281 IEFs for the period 2007-2016, and we test the role of each factor in explaining their returns. We find that market movements dominate the others components explaining nearly 50% of the monthly return variability and that, taking together, asset allocation policy and active management explain approximately the second half of IEFs returns. We argue that the IEFs underperformance observed by the existing literature could come from an inefficient and too important active portfolio management.
| Divisions: | Concordia University > John Molson School of Business > Finance |
|---|---|
| Item Type: | Article |
| Refereed: | Yes |
| Authors: | Peillex, Jonathan and Erragragui, Elias and Bitar, Mohammad and Benlemlih, Mohammed |
| Journal or Publication: | The Quarterly Review of Economics and Finance |
| Date: | 22 March 2018 |
| Digital Object Identifier (DOI): | 10.1016/j.qref.2018.03.013 |
| Keywords: | Islamic equity funds; performance attribution; asset allocation; active management |
| ID Code: | 983615 |
| Deposited By: | Monique Lane |
| Deposited On: | 26 Mar 2018 19:56 |
| Last Modified: | 22 Mar 2020 00:00 |
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