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

Ezzedine Ghlamallah (1) , Sami Ben Larbi (2) , Laurence Gialdini (1)

1 CERGAM - Centre d'Études et de Recherche en Gestion d'Aix-Marseille
2 CERGAM de Toulon - Centre d'Études et de Recherche en Gestion d'Aix-Marseille/Equipe de recherche de Toulon

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

Mots clés: risk-adjusted performance; systematic risk; Islamic investment; mutual funds; SRI

Domaines: Economies et finances

Ezzedine Ghlamallah, Sami Ben Larbi, Laurence Gialdini. The Risk-Adjusted Performance of Conventional, Socially Responsible, and Islamic Investment Funds. 2024. ⟨hal-04527834⟩