On the comparative performance of socially responsible and Islamic mutual funds

Omneya H. Abdelsalam, Meryem D. Fethi, Juan C. Matallín, Emili Tortosa-Ausina*

*Corresponding author for this work

Research output: Contribution to journalArticle

Abstract

This is the first study to provide comprehensive analyses of the relative performance of both socially responsible investment (SRI) and Islamic mutual funds. The analysis proceeds in two stages. In the first, the performance of the two categories of funds is measured using partial frontier methods. In the second stage, we use quantile regression techniques. By combining two variants of the Free Disposal Hull (FDH) methods (order- m and order- α) in the first stage of analysis and quantile regression in the second stage, we provide detailed analyses of the impact of different covariates across methods and across different quantiles. In spite of the differences in the screening criteria and portfolio management of both types of funds, variation in the performance is only found for some of the quantiles of the conditional distribution of mutual fund performance. We established that for the most inefficient funds the superior performance of SRI funds is significant. In contrast, for the best mutual funds this evidence vanished and even Islamic funds perform better than SRI. These results show the benefits of performing the analysis using quantile regression.

Original languageEnglish
JournalJournal of Economic Behavior and Organization
Volume103
Early online date10 Jul 2013
DOIs
Publication statusPublished - Jul 2014

Fingerprint

Mutual funds
Quantile regression
Socially responsible investment
Quantile
Investment funds
Covariates
Mutual fund performance
Relative performance
Conditional distribution
Screening
Portfolio management
Free disposal hull

Bibliographical note

© 2014, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/

Keywords

  • Islamic funds
  • performance
  • quantile regression
  • socially responsible funds

Cite this

Abdelsalam, Omneya H. ; Fethi, Meryem D. ; Matallín, Juan C. ; Tortosa-Ausina, Emili. / On the comparative performance of socially responsible and Islamic mutual funds. In: Journal of Economic Behavior and Organization. 2014 ; Vol. 103.
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On the comparative performance of socially responsible and Islamic mutual funds. / Abdelsalam, Omneya H.; Fethi, Meryem D.; Matallín, Juan C.; Tortosa-Ausina, Emili.

In: Journal of Economic Behavior and Organization, Vol. 103, 07.2014.

Research output: Contribution to journalArticle

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