A comparative study of the performance of Saudi mutual funds

Ahmed El-Masry, Dalia A. El-Mosallamy

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

This study examines the performance of 21 Saudi mutual funds using the CAPM and downside CAPM D-CAPM models over the period 2005-2011. Initially equity fund performance is examined against two benchmarks TASI and the GCCI Islamic index utilizing the traditional beta and CAPM performance evaluation measures. The evaluation is then replicated utilizing the downside beta and other tests of funds’ performance derived from the CAPM in the down side framework. The results indicate that the downside beta could be more relevant in terms of its higher explanatory power than the traditional beta and thus CAPM in the downside framework could be more relevant to report on funds’ performance in this emerging market. After exploring the aggregate performance by forming two fund portfolios; one representing the average Islamic mutual fund and the other is the average conventional fund, to examine the performance of the Islamic mutual funds portfolio compared to its conventional peers and to the overall market, the study finds, on average, Islamic mutual funds in outperform conventional mutual funds and the market portfolio. The study concludes that it is equally important for practitioners in emerging markets, to report performance using both CAPM measures and D-CAPM measures and if differences exist, then the D-CAPM could be the superior measure because of its suitability to the asymmetrical distribution of returns existing in emerging markets in general.
Original languageEnglish
Pages (from-to)89-102
Number of pages14
JournalCorporate Ownership and Control
Volume13
Issue number4
DOIs
Publication statusPublished - 2016
Externally publishedYes

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Mutual funds
Capital asset pricing model
Comparative study
Emerging markets
Fund performance
Equity
Evaluation
Peers
Performance evaluation
Market portfolio
Benchmark

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A comparative study of the performance of Saudi mutual funds. / El-Masry, Ahmed; El-Mosallamy, Dalia A.

In: Corporate Ownership and Control, Vol. 13, No. 4, 2016, p. 89-102.

Research output: Contribution to journalArticle

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