Persistent Doubt: An Examination of Hedge Fund Performance

Gonzalez, Maria; Papageorgiou, Nicolas; Skinner, Frank S.

doi:10.1111/eufm.12070

Cited by 5 publications

(2 citation statements)

References 28 publications

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“…Therefore, our paper will contribute to previous literature comparing conventional and Islamic sector portfolios using standard ratios (the Jensen, Treynor, Sharpe, Sortino and Conditional Sharpe ratios) as well as current performance measures like the Omega ratio and the MPPM [29,30]. Moreover, this paper confirms that the stage of the economy may be a crucial factor to analyze the performance of sector portfolios.…”

Section: Introduction and Literature Reviewsupporting

confidence: 63%

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Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets

González¹,

Jareño²,

Haddouti³

2019

Sustainability

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This study compares the performance of sector portfolios from Islamic and conventional stock markets, using standard as well as current performance measures for a recent sample period between January 1996 and December 2015. Furthermore, to test the robustness of our analysis and to determine which type of portfolios offer better performance depending on the economic cycle, the full sample period is divided into three sub-sample periods: Before, during and after the recent global financial crisis. The three main outcomes of this research confirm that, first, the sector with the best performance results is Health Care, while the sector with the worst performance results is Financials for the Islamic as well as the conventional stock market. Second, the post-crisis sub-period exhibits the best performance not only in conventional but also in Islamic markets, confirming that portfolio performance depends on the economic stage and highlighting emerging signs of economic recovery. Third, Islamic sector portfolios, as a whole, show better performance than conventional sector portfolios for all performance measures—not just for the full period but also for the three sub-sample periods. The superior risk-adjusted returns of the Islamic sector portfolios, even during the recent global financial crisis, can be justified, among other reasons, by the moderated uncertainty and speculation, as well as the fact that Islamic finance prevents interest rates that have a negative impact on the economy. Thus, Sharia-compliant assets can contribute to improving the sustainability of unattractive performance portfolios during financial crises.

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Section: Introduction and Literature Reviewsupporting

confidence: 63%

“…The main strength of the MPPM is based on the fact that it is a dynamic performance measure that prevents the manipulation of performance scores by adjusting the return distribution through dynamic trading [29,30]. So, it will also show time variation according to the business cycle like the conditional Sharpe ratio does.…”

Section: Performancementioning

confidence: 99%