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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Elsevier
2014
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| Online Access: | http://irep.iium.edu.my/41388/ http://irep.iium.edu.my/41388/1/PACFIN649_-_Published_Version.pdf |
| _version_ | 1848782112797229056 |
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| 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 |
| building | IIUM Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-14T16:00:17Z |
| format | Article |
| id | iium-41388 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T16:00:17Z |
| publishDate | 2014 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| 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 |
| 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? |
| title | 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_short | 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? |
| topic | HG4501 Stocks, investment, speculation |
| 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 |