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.
DOI
10.22495/cocv13i4p9
Publication Date
2016-07-01
Publication Title
Corporate Ownership and Control Journal
Volume
13
Issue
4
Publisher
Virtus Interpress
Embargo Period
2024-11-19
First Page
89
Last Page
101
Recommended Citation
El-Masry, A., & El-Mousallamy, D. (2016) 'A comparative study of the performance of Saudi mutual funds', Corporate Ownership and Control Journal, 13(4), pp. 89-101. Virtus Interpress: Available at: https://doi.org/10.22495/cocv13i4p9
