The Performance of Islamic and Conventional Egyptian Mutual Funds: A Comparative Study

مطاوع, سعد; نعيم, عبد الحکيم; بدر, محمد

doi:10.21608/alat.2016.218273

The Performance of Islamic and Conventional Egyptian Mutual Funds: A Comparative Study

نوع المستند : المقالة الأصلية

المؤلفون

کلية التجارة - جامعة المنصورة

10.21608/alat.2016.218273

المستخلص

This study evaluates overall monthly performances of 8 Islamic mutual funds (IMFs) in comparison with 24 conventional mutual funds (CMFs) for the period of January 2006 to December 2011 (96 months) divided into pre-financial crisis phase (27 months) and during financial crisis phase (45 months). The study aims at investigating the performance differences, if any, as well as determining factors affecting the performance of mutual funds. It employs Sharpe, Treynor and Jensen ratios as risk-adjusted performance measures. The paper concludes that the performance of IMFs is not significantly different from the CMFs counterparts in the pre-financial crisis phase or during the financial crisis phase. The study concluded that the performance of IMFs is not significantly different from the CMFs counterparts in the pre-financial crisis phase or during the financial crisis phase. Moreover, total risk and systematic risk significantly affect the performance of mutual funds. Income & Growth objective is an important variable that is accompanied with an increase in the performance of the fund. Growth objective and Age also play significant roles in interpreting the performance of mutual funds.

الكلمات الرئيسية

الموضوعات الرئيسية

مجالات العلوم التجارية وهى فروع الإدارة والمحاسبة والاقتصاد والعلوم السياسية والإحصاء التطبيقي والتأمين

المراجع

Al-Ghazali M. (1853). Ihya Ulum Al-din. 1st Edition, Bulaq, Egypt (b.1058-d.1111).
Ali, M. G. H. (2012). A Comparative Analysis of the Performance of the Invesment Funds on the National Commercial Banks of Egypt. M.Sc. thesis Faculty of Commerce, Mansoura University.
Al-taiby, E. (March 1997). Introduction in The Investment in Egypt Seminar: Present and Future. Cairo, Egypt.
Asran A. G. (2004). The Effect of Capital Market Variables on the Performance of Mutual Funds: A Comparative Study between Open-ended and Close-Ended Funds. M.Sc. Thesis, Sadat Academy for Managerial Sciences.
Attia E. (1995). Assessment of Investment Funds Performance from Accounting and Tax Perspectives. Scientific Journal of Economics and Commerce Vol. 1. Ain Shams University.
Ayub, M. (2007). Understanding Islamic Finance. England: John Wiley & Sons Ltd.
Blake, C. R. & Morey, M. R. (2000). Morningstar ratings and Mutual Fund Performance. Journal of financial and Quantitative Analysis; 35 (3), 451- 480.
Blume, M. E. and Friend, I. (1973). “A New Look at the Capital Asset Pricing Model”. The Journal of Finance, 28(1), 19-33.
Carhart, M. M. (1997). “On Persistence in Mutual Fund Performance”. The Journal of Finance, 52(1), 57-82.
Chapra, M. U. (2000). The Future of Economics: An Islamic Perspective. Leicester: The Islamic Foundation.
Dewi, M.K., and Ferdian I.R. (2009) Evaluating performance of Islamic mutual funds in Indonesia and Malaysia. Retrieved April 15, 2012, from Social Science Research Network (SSRN).
Elfakhani, Hassan, M. K., & Sidani, Y. (2005a). Comparative Performance of Islamic Versus Secular Mutual Funds. Paper presented at the 12th Economic Research Forum Conference, University of New
37
Orleans, USA, November 2005. Retrieved April 5, 2012, from Social Science Research Network (SSRN).
El-Gamal, M.A. (2000), A Basic Guide to Contemporary Islamic Banking and Finance, http://www.maktabaonline.com/elief.html [accessed on April 2012]
Elgari, M. A. (2002). “Islamic Equity Investment”. Pp. 151-160 in Islamic Finance: Innovation and Growth, edited by Simon Archer and Rifaat Ahmed Abdel Karim. London: Euromoney Books.
Elshamly A. (1999). Assessment of Mutual Funds in Egypt from 1997 to 1999. Arab Academy for Science, Technology, and Maritime Transport, Advanced Management Institute.
Elton E. J., Gruber M. J. and Padberg M. W. (1976). “Simple Criteria for Optimal Portfolio Selection”. The Journal of Finance, 31(5), 1341-1357.
Fama, E. F. and French, K. R. (1992). ”The Cross-Section of Expected Stock Returns”. The Journal of Finance, 47(2), 427-465.
Fathy H. (2000). The Role of Mutual Funds in some Aspects of Economic Reformation. M.Sc. Thesis, Faculty of Commerce, Ain shams University.
Gallagher, D. R. (2002). Investment Manager Characteristics, Strategy and Fund Performance. (Doctor of Philosophy Thesis), Faculty of Economics & Business, University of Sydney, Australia.
Grinblatt, M. and Titman, S. (1992). “The Persistence of Mutual Fund Performance”. The Journal of Finance, 47(5), 1977-1984.
Grinblatt, M. and Titman, S. (1994). “A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques”. The Journal of Financial and Quantitative Analysis, 29(3), 419-444.
Hassan Y. I. (1999). Revitalization of the Capital Market by Developing Financial Instruments: Applied Study. Ph.D. Dissertation. Faculty of Commerce, Alexandria University.
Hourani, H. (2004). “The Three Principles of Islamic Finance Explained”. International Financial Law Review, 23(5), 46-47.
38
Hussein, K. and Omran, M. (2005). “Ethical Investment Revisited: Evidence from Dow Jones Islamic Indexes”. The Journal of Investing, Fall, 105-124.
Jensen, M. C. (1968). “The Performance of Mutual Funds in the Period 1945-1964”. The Journal of Finance, Vol 23(2), pp 50, 389-416, 549-571.
Kendall, M. G. and Hill, A. B. (1953). “The Analysis of Economic Time Series – Part I: Prices”. Journal of the Royal Statistical Society: Series A (General), 116(1), 11-34.
Khalifa, E (March 1997). Introduction in The Investment in Egypt Seminar: Present and Future. Cairo, Egypt.
Khorana, A., Servaes, H., & Tufano, P. (2009). Mutual Fund Fees around the World. Review of Financial Studies, 22(3), 1279-1310.
Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 47(1), 13-37.
Lydenberg, S. (2007). “Universal Investors and Socially Responsible Investors: A Tale of Emerging Affinities”. Corporate Governance, 15(3), 467-477.
Mahmoud J. H. (1999). MBA Thesis: Assessment of Mutual Funds Performance in Egyptian Money Market. Arab Academy for Science, Technology, and Maritime Transport, Advanced Management Institute.
Mansor, F., & Bhatti, M. I. (2011a). Risk and Return Analysis on Performance of the Islamic mutual funds: Evidence from Malaysia. Global Economy and Finance Journal, 4(1), 19-31.
Mansor, F., and Bhatti, M.I. (2011b) The Islamic mutual fund performance: New evidence on market timing and stock selectivity. Paper presented in the 2011 International Conference on Economics and Finance Research IPEDR vol.4 (2011) © (2011) IACSIT Press, Singapore.
Markowitz, H. M. (1952). “Portfolio Selection”. The Journal of Finance, 7(1), 71-91.
39
Maurer, B. (2001). “Engineering an Islamic Future: Speculations on Islamic Financial Alternatives”. Anthropology Today, 17(1), 8-11.
Metawa, Saad A. (2001). Contemporary Financial Markets. Mansoura, Um Elkora Library.
Mian, K. M. A. (2008). “Shariah Screening and Islamic Equity Indexes”. Pp. 25-54 in Islamic Finance: A Practical Guide, edited by Ali, R. United Kingdom: Globe Business Publishing Ltd.
Miller E. M. (2001). Why the Low Returns to Beta and Other Forms of Risk. Journal of Portfolio Management, Vol. 27, Issue 2, 40-56.
Mohamad, S. and Md. Nasir, A. (1995). “The Performance of Unit Trusts in Malaysia: Some Evidence”. Capital Markets Review, 3(2), 51-69.
Mossin, J. (1966). “Equilibrium in a Capital Asset Market”. Econometrica. 34, 768-783.
Moustafa, N. F. (1998). Assessment of Mutual Funds’ Performance in Emerging Markets (The Case of Egypt). Faculty of Commerce Journal for Scientific research, Vol. 3. Ain Shams University.
Nour Eldin G. I. (2007). The Role of Mutual Funds in Directing Investments in The Egyptian Capital Market under Market Mechanisms: A Comparative Study. Ph.D., Faculty of Commerce, Ain Shams University.
O’Neal E. S. & Page D. E. (2000). Real Estate Mutul Funds: Abnormal Performance and Fund Characteristics. Journal of Real Estate Portfolio Management; 6(3), 239.
Presley, J. R. and Sessions, J. G. (1994). “Islamic Economics: The Emergence of a New Paradigm”. The Economic Journal, 104(424), 584-596.
Samak N. A. (2000). Assessment of Local Mutual Funds Performance in Arab Republic of Egypt. Journal of Faculty of Economics and Political Sciences, Cairo University Vol.7.
Shah, I. (2008). “Overview of Islamic Asset Management”. Pp. 15-24 in Islamic Finance: A Practical Guide, edited by Ali, R. United Kingdom: Globe Business Publishing Ltd.
40
Sharpe, W. F. (1964). “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk”. The Journal of Finance, 19(3), 425-442.
Sharpe, W. F. (1966). Mutual Fund Performance. The Journal of Business, 39(1), 119-138.
Tobin, J. (1958). “Liquidity Preference as Behaviour Towards Risk”. The Review of Economic Studies, 25(2), 65-86.
Treynor, J. (1965). “How to Rate Management of Investment Funds”. Harvard Business Review, 44(1), 63-75.
Usmani, M. T. (2005). An Introduction to Islamic Finance. Karachi: Maktaba Ma‟ariful Qur‟an.
Usmani, Mufti T. (2002), ‘An introduction to Islamic finance’, The Netherlands: Kluwer Law International.
Usmani, T. (2007). An Introduction to Islamic Finance (August, 2007 ed.). Karachi: Maktaba Ma'riful Qur'an.
Volkman D. A. & Woher M. E. (1995). Determinants of Persistence in Relative Performance of Mutual Funds. The Journal of Financial Research; 18(4), 30-52.
Zaher, T. S. and Hassan, M. K. (2001). “A Comparative Literature Survey of Islamic Finance and Banking”. Financial Markets, Institutions & Instruments, 10(4), 155-199.