Citation for published item:edelslmD yF nd huygun pethiD wF nd wtll¡ %nD tFgF nd ortosEeusinD iF @PHIRA 9yn the omprtive performne of soilly responsile nd sslmi mutul fundsF9D tournl of eonomi ehvior nd orgniztionFD IHQ F IHVEIPVF Further information on publisher's website: Use policyThe full-text may be used and/or reproduced, and given to third parties in any format or medium, without prior permission or charge, for personal research or study, educational, or not-for-prot purposes provided that:• a full bibliographic reference is made to the original source • a link is made to the metadata record in DRO • the full-text is not changed in any way The full-text must not be sold in any format or medium without the formal permission of the copyright holders.Please consult the full DRO policy for further details. Meryem Duygun Fethi University of Leicester Juan Carlos MatallínUniversitat Jaume I Emili Tortosa-AusinaUniversitat Jaume I and Ivie May 20, 2013Abstract 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.

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The great growth of mutual funds (FIM) in Spain over recent years raises the question whether an investor adopting a passive management strategy can consider those funds as a serious alternative to direct investment in the stock exchange. Thus, this paper presents a new approach to research on the Spanish investment fund market. It studies the Spanish stock funds versus the alternative of direct investing in the stock exchange using the stock index Ibex 35 as the benchmark. One can say that a fund replicates the benchmark index when both variables share common trends in the long run. Therefore, cointegration methodology is used to determine the longrun relationship between the funds value and Ibex 35. It is found that 11 out of 63 funds are cointegrated with the stock index, hence those funds could be used for investors seeking a passive management strategy.

The primary objective of the present study is to analyse the extent of the passive timing effect in portfolio management. This effect is produced when a portfolio which is not managed actively shows signs of instability in its level of systematic risk. By contrast, market timing involves active management of the portfolio and therefore changes to the level of systematic risk in order to anticipate market movements in an appropriate manner. This study proposes a dynamic beta model which incorporates the effect of passive timing attributable to the accumulated evolution of weightings for the assets that make up the portfolio. The results demonstrate the importance of this effect when applying performance and market timing measures in order to evaluate portfolio results, such as those of mutual funds.

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