The Risk-Adjusted Performance of Conventional, Socially Responsible, and Islamic Investment Funds

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31 mars 2024

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HAL-SHS : économie et finance

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Archives ouvertes

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Centre pour la communication scientifique directe

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risk-adjusted performance systematic risk Islamic investment mutual funds SRI

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Ezzedine Ghlamallah et al., « The Risk-Adjusted Performance of Conventional, Socially Responsible, and Islamic Investment Funds », HAL-SHS : économie et finance, ID : 10670/1.3wdr9i

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This study compares the risk-adjusted performance and sensitivity of 5,689conventional, responsible, and Islamic funds domiciled in 71 different countries for the periodfrom 2007 to 2021. It provides new empirical evidence that the risk-adjusted performance ofresponsible funds does not differ significantly from that of conventional funds, and that theyoutperform Islamic funds. The results also show that the systematic risk of Islamic funds iscomparable to that of conventional funds but lower than that of sustainable funds.

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