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

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

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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.

Item Type: Article (Journal)
Additional Information: 4979/41388
Uncontrolled Keywords: Islamic equity funds Luck versus skill Performance measurement
Subjects: H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button): Kulliyyah of Economics and Management Sciences > Department of Finance
Depositing User: Dr. Nazrol Kamil Mustaffa Kamil
Date Deposited: 13 Feb 2015 11:41
Last Modified: 05 Mar 2016 21:58
URI: http://irep.iium.edu.my/id/eprint/41388

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