Table 4.
Risk Adjusted Performance Islamic vs. Conventional Funds.
| Complete Period (Jan 1, 2020 - May 31, 2021) |
Adjusted Share Ratio |
Sortino Ratio |
Jensen's Alpha |
|||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Islamic | Conv. | Islamic | Conv. | Islamic | Conv. | |||||||
| Malaysia | 0.7326 | ** | −0.1200 | ** | 0.5799 | ** | −0.0170 | ** | 0.0283 | ** | −0.0273 | *** |
| Pakistan | 0.5576 | *** | −0.3566 | ** | 0.3641 | *** | −0.1589 | *** | 0.0568 | ** | −0.0122 | ** |
| Saudi Arabia | 0.6453 | ** | −0.0191 | ** | 0.6274 | ** | −0.0163 | ** | 0.0246 | ** | −0.0514 | ** |
| Qatar | 0.4811 | ** | 0.0155 | *** | 0.3539 | ** | 0.0035 | *** | 0.0374 | ** | −0.0289 | ** |
| Kuwait | 0.5684 | ** | 0.1496 | *** | 0.2819 | ** | 0.0465 | *** | 0.0515 | ** | −0.0105 | ** |
| UAE |
0.3811 |
** |
0.1391 |
*** |
0.2601 |
** |
0.0073 |
** |
0.0509 |
** |
0.0128 |
** |
| Adjusted Share Ratio | Sortino Ratio | Jensen's Alpha | ||||||||||
| Islamic | Conv. | Islamic | Conv. | Islamic | Conv. | |||||||
| Malaysia | 0.9783 | ** | 0.0266 | ** | 0.7975 | ** | 0.0164 | ** | 0.0592 | ** | 0.0381 | ** |
| Pakistan | 0.7432 | ** | 0.0817 | ** | 0.4682 | ** | 0.0574 | ** | 0.0740 | *** | 0.0021 | ** |
| Saudi Arabia | 0.8342 | ** | 0.0321 | ** | 0.6717 | ** | 0.0293 | * | 0.0648 | ** | 0.0492 | *** |
| Qatar | 0.6050 | ** | 0.0136 | ** | 0.4257 | ** | 0.0103 | ** | 0.0472 | ** | 0.0215 | *** |
| Kuwait | 0.7319 | ** | 0.1018 | ** | 0.4503 | ** | 0.0626 | ** | 0.0729 | ** | 0.0330 | ** |
| UAE |
0.6668 |
*** |
0.1446 |
** |
0.4354 |
** |
0.1001 |
*** |
0.0569 |
*** |
0.0231 |
** |
| Adjusted Share Ratio | Sortino Ratio | Jensen's Alpha | ||||||||||
| Islamic | Conv. | Islamic | Conv. | Islamic | Conv. | |||||||
| Malaysia | 0.0174 | ** | −0.3053 | ** | 0.0159 | ** | −0.2297 | *** | 0.0477 | ** | −0.0295 | *** |
| Pakistan | 0.0422 | ** | −0.3633 | ** | 0.0300 | *** | −0.2293 | ** | 0.0507 | ** | −0.0130 | ** |
| Saudi Arabia | 0.0919 | ** | −0.8749 | ** | 0.0759 | ** | −0.5381 | ** | 0.0434 | ** | −0.0548 | ** |
| Qatar | 0.0764 | *** | −0.0717 | *** | 0.0629 | *** | −0.0497 | ** | 0.0353 | * | −0.0310 | ** |
| Kuwait | 0.0816 | ** | −0.0741 | ** | 0.0654 | * | −0.0368 | ** | 0.0401 | *** | −0.0111 | ** |
| UAE |
0.0991 |
** |
−0.0424 |
** |
0.0610 |
** |
−0.0298 |
* |
0.0432 |
*** |
0.0053 |
** |
| Adjusted Share Ratio | Sortino Ratio | Jensen's Alpha | ||||||||||
| Islamic | Conv. | Islamic | Conv. | Islamic | Conv. | |||||||
| Malaysia | 0.0218 | ** | −0.0197 | ** | 0.0141 | ** | −0.0159 | ** | 0.0507 | *** | −0.0104 | ** |
| Pakistan | 0.0507 | ** | −0.0540 | ** | 0.0375 | ** | −0.0370 | ** | 0.0543 | ** | −0.0034 | ** |
| Saudi Arabia | 0.1016 | *** | 0.0212 | ** | 0.0975 | ** | 0.0142 | * | 0.0473 | *** | −0.0022 | *** |
| Qatar | 0.0994 | *** | 0.0085 | ** | 0.0791 | * | 0.0063 | ** | 0.0380 | ** | 0.0063 | ** |
| Kuwait | 0.0932 | ** | 0.0694 | ** | 0.0603 | ** | 0.0382 | ** | 0.0426 | ** | 0.0039 | ** |
| UAE |
0.1493 |
** |
0.0428 |
*** |
0.1088 |
*** |
0.0325 |
* |
0.0461 |
** |
0.0014 |
*** |
| Adjusted Share Ratio | Sortino Ratio | Jensen's Alpha | ||||||||||
| Islamic | Conv. | Islamic | Conv. | Islamic | Conv. | |||||||
| Malaysia | 0.0223 | ** | −0.0177 | ** | 0.0154 | ** | −0.0176 | ** | 0.0548 | *** | −0.0094 | ** |
| Pakistan | 0.0519 | ** | −0.0486 | ** | 0.0410 | ** | −0.0481 | ** | 0.0587 | ** | −0.0030 | ** |
| Saudi Arabia | 0.1040 | *** | 0.0191 | ** | 0.1064 | ** | 0.0189 | * | 0.0512 | *** | −0.0020 | *** |
| Qatar | 0.1018 | *** | 0.0076 | ** | 0.0864 | * | 0.0076 | ** | 0.0410 | ** | 0.0057 | ** |
| Kuwait | 0.0954 | ** | −0.0624 | ** | 0.0658 | ** | −0.0618 | ** | 0.0461 | ** | 0.0035 | ** |
| UAE |
0.1528 |
** |
0.0385 |
*** |
0.1187 |
*** |
0.0381 |
* |
0.0499 |
** |
0.0013 |
*** |
| Adjusted Share Ratio | Sortino Ratio | Jensen's Alpha | ||||||||||
| Islamic | Conv. | Islamic | Conv. | Islamic | Conv. | |||||||
| Malaysia | 0.0279 | ** | 0.0146 | ** | 0.0258 | ** | 0.0015 | ** | 0.0558 | *** | −0.0084 | ** |
| Pakistan | 0.0625 | ** | 0.0357 | ** | 0.0577 | ** | 0.0036 | ** | 0.0598 | ** | −0.0027 | ** |
| Saudi Arabia | 0.1149 | *** | 0.0140 | ** | 0.1062 | ** | 0.0014 | * | 0.0521 | *** | −0.0018 | *** |
| Qatar | 0.1324 | *** | 0.0053 | ** | 0.1223 | * | 0.0005 | ** | 0.0418 | ** | −0.0051 | ** |
| Kuwait | 0.1090 | ** | 0.0473 | ** | 0.1007 | ** | 0.0047 | ** | 0.0469 | ** | 0.0032 | ** |
| UAE |
0.2303 |
** |
0.0428 |
*** |
0.2127 |
*** |
0.0043 |
* |
0.0508 |
** |
0.0012 |
*** |
| Adjusted Share Ratio | Sortino Ratio | Jensen's Alpha | ||||||||||
| Islamic | Conv. | Islamic | Conv. | Islamic | Conv. | |||||||
| Malaysia | 0.0350 | ** | 0.0131 | ** | 0.0332 | ** | 0.0105 | ** | 0.0569 | *** | −0.0069 | ** |
| Pakistan | 0.0752 | ** | 0.0321 | ** | 0.0715 | ** | 0.0257 | ** | 0.0610 | ** | −0.0022 | ** |
| Saudi Arabia | 0.1271 | *** | 0.0126 | ** | 0.1207 | ** | 0.0101 | * | 0.0531 | *** | −0.0015 | *** |
| Qatar | 0.1723 | *** | 0.0048 | ** | 0.1637 | * | 0.0038 | ** | 0.0426 | ** | −0.0042 | ** |
| Kuwait | 0.1245 | ** | −0.0425 | ** | 0.1183 | ** | −0.0340 | ** | 0.0478 | ** | 0.0026 | ** |
| UAE | 0.3471 | ** | 0.0428 | *** | 0.3297 | *** | 0.0342 | * | 0.0518 | ** | 0.0010 | *** |
*** represents significance at 1%, ** at 5% and * at 10%.