Comparative Performances of Sharia-Compliant versus Conventional Funds

28 Pages Posted: 19 Sep 2012

Date Written: January 24, 2012

Abstract

After having presented the religious rules which govern the Sharia-Compliant (SC) funds four samples of pairs (SC funds vs conventional) are constituted: 32 Malaysian funds over 2005-2009 (of which 11 over 2000-2010) and 13 international funds over 5 years (of which six over 10 years). The size and duration of these samples are larger and longer than the ones used in previous studies.

The statistical parameters of the returns distributions are unexpected. The average returns and the standard-deviation of three pairs ( over four) are equal and the Jarque-Bera concludes that seven (over eight) distributions are “normal”.

The core of the study is the performances comparison. Since the period under scrutiny contains the financial crisis, one expects a superior performance of the SC-funds thanks to the prohibition of financial stocks. Three ratios are used: Sharpe, Sortino and Information. The answer is clear: only 25% of measured ratios show an over-performance of the SC-funds. Moreover the Sharpe ratios are ascertained by the Jobson-Korkie test.

The conclusion is straightforward: the SC-funds have had over the two periods studied similar performances than their conventional counterparts

Suggested Citation

Gallais-Hamonno, Georges, Comparative Performances of Sharia-Compliant versus Conventional Funds (January 24, 2012). 29th International Conference of the French Finance Association (AFFI) 2012, Available at SSRN: https://ssrn.com/abstract=2080077 or http://dx.doi.org/10.2139/ssrn.2080077

Georges Gallais-Hamonno (Contact Author)

University of Orleans ( email )

Université d'Orléans,
Rue de Blois, B.P. 6739, 45
France

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