IDEAS home Printed from
   My bibliography  Save this article

Non-parametric performance measurement of international and Islamic mutual funds


  • Jose Francisco Rubio
  • M. Kabir Hassan
  • Hesham Jamil Merdad


Purpose - The purpose of this paper is to study whether Islamic investors lose portfolio efficiency due to a limited asset universe. Design/methodology/approach - The paper contributes to prior literature by using non-parametrical measurements of efficiency instead of regular (parametrical) methods. Data envelopment analysis (DEA) was used in order to better characterize the risk and return relationship, as well as estimating a single performance index to rank different funds and compare them to one another. Findings - Overall, the results are congruent with prior findings. That is, there is strong evidence suggesting that Islamic funds are highly efficient and that they outperform their international counterparts. Also, results are robust to different estimation of DEA, the specification of the asset universe, and the inclusion of financial crisis period in analysis. Research limitations/implications - Though the paper's findings are robust to different specifications of the DEA model and time periods, the authors caution readers due to the limited sample. Practical implications - Having defined a performance index, one can therefore isolate the funds which are the most efficient and thus drive trading activities towards said funds. Social implications - Since the paper's findings suggest that Islamic investors do not lose efficiency, investing into a limited asset universe which follows social and ethical constraints (given by Shariah law) is recommended. Originality/value - The paper is able to confirm prior literature, even by using a non-parametrical measurement of efficiency. In this way, the authors have accounted for an extra penalty on the risk-return relationship: skewness.

Suggested Citation

  • Jose Francisco Rubio & M. Kabir Hassan & Hesham Jamil Merdad, 2012. "Non-parametric performance measurement of international and Islamic mutual funds," Accounting Research Journal, Emerald Group Publishing, vol. 25(3), pages 208-226, November.
  • Handle: RePEc:eme:arjpps:v:25:y:2012:i:3:p:208-226

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers

    As the access to this document is restricted, you may want to search for a different version of it.


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Ashraf, Dawood & Mohammad, Nazeeruddin, 2014. "Matching perception with the reality—Performance of Islamic equity investments," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 175-189.
    2. Alexakis, Christos & Pappas, Vasileios & Tsikouras, Alexandros, 2017. "Hidden cointegration reveals hidden values in Islamic investments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 70-83.
    3. Ho, Catherine Soke Fun & Abd Rahman, Nurul Afiqah & Yusuf, Noor Hafizha Muhamad & Zamzamin, Zaminor, 2014. "Performance of global Islamic versus conventional share indices: International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 110-121.
    4. Merdad, Hesham Jamil & Kabir Hassan, M. & Hippler, William J., 2015. "The Islamic risk factor in expected stock returns: an empirical study in Saudi Arabia," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 293-314.
    5. repec:eee:intfin:v:49:y:2017:i:c:p:15-31 is not listed on IDEAS
    6. repec:eee:intfin:v:57:y:2018:i:c:p:1-16 is not listed on IDEAS
    7. repec:eee:ecosys:v:42:y:2018:i:3:p:450-469 is not listed on IDEAS
    8. Makni, Rania & Benouda, Olfa & Delhoumi, Ezzedine, 2015. "Large scale analysis of Islamic equity funds using a meta-frontier approach with data envelopment analysis," Research in International Business and Finance, Elsevier, vol. 34(C), pages 324-337.
    9. repec:eee:corfin:v:55:y:2019:i:c:p:1-5 is not listed on IDEAS


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:arjpps:v:25:y:2012:i:3:p:208-226. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Virginia Chapman). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.