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

Author

Listed:
  • Ezzedine Ghlamallah

    (CERGAM - Centre d'Études et de Recherche en Gestion d'Aix-Marseille - AMU - Aix Marseille Université - UTLN - Université de Toulon)

  • Sami Ben Larbi

    (CERGAM de Toulon - Centre d'Études et de Recherche en Gestion d'Aix-Marseille/Equipe de recherche de Toulon - CERGAM - Centre d'Études et de Recherche en Gestion d'Aix-Marseille - AMU - Aix Marseille Université - UTLN - Université de Toulon - IAE Toulon - Institut d'Administration des Entreprises (IAE) - Toulon - UTLN - Université de Toulon)

  • Laurence Gialdini

    (CERGAM - Centre d'Études et de Recherche en Gestion d'Aix-Marseille - AMU - Aix Marseille Université - UTLN - Université de Toulon)

Abstract

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.

Suggested Citation

  • Ezzedine Ghlamallah & Sami Ben Larbi & Laurence Gialdini, 2024. "The Risk-Adjusted Performance of Conventional, Socially Responsible, and Islamic Investment Funds," Working Papers hal-04527834, HAL.
    • Handle: RePEc:hal:wpaper:hal-04527834
    as

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