RT Journal Article
SR Electronic
T1 Islamic Equity Investing: <em>Alternative</em>
               <br/>
               <em>Performance Measures and Style Analysis</em>
JF The Journal of Investing
FD Institutional Investor Journals
SP 182
OP 189
DO 10.3905/joi.2012.21.4.182
VO 21
IS 4
A1 Christian Walkshäusl
A1 Sebastian Lobe
YR 2012
UL https://pm-research.com/content/21/4/182.abstract
AB We examine the performance of Islamic equity indices in comparison to their conventional market benchmarks around the world. First, using a variety of alternative performance measures based on, e.g., lower partial moments, drawdown, and value at risk, we document that Islamic indices outperform in developed markets, while they tend to underperform in emerging markets. Second, the style analysis reveals that Islamic indices in developed markets exhibit a strong growth-orientation in their investment behavior, while they show a substantial large cap bias in emerging markets. Finally, the significant overweighting of stocks from the energy and materials sectors relative to the market is identified as one of the main performance drivers of Islamic indices.TOPICS: ESG investing, other real assets, global