Islamic vs Conventional Funds Within the Family: Selectivity Skills and Market Timing Ability

Atta, Anas Ahmad Bani; Marzuki, Ainulashikin

doi:10.21098/jimf.v6i2.1091

Cited by 8 publications

(5 citation statements)

References 42 publications

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“…However, the results of this study support the findings of Božović (2021), who identified a significant role for mutual fund managers but also acknowledged the presence of luck as a contributing factor in mutual fund performance. Additionally, this study's findings align with those of Atta and Marzuki (2020) Net-Selectivity -0.0789 -0.0613 -0.059 -0.0719 -0.0996 -0.0933 -0.1104 -0.1320 -0.1261 -0.1253 -0.1150…”

Section: Treynor-mazuy and Fama Net-selectivity Modelsupporting

confidence: 84%

“…They are responsible for setting the fund's investment strategy, selecting the securities within the portfolio, and managing the fund's assets continuingly. The manager's skill is particularly relevant for actively managed funds where investment decisions are made based on the manager's discretion rather than passively tracking an index (Atta & Marzuki, 2020). The performance of a mutual fund is often evaluated by comparing its returns to a benchmark index or similar funds in the same category.…”

Section: Mutual Fund Performance and Managers' Skillsmentioning

confidence: 99%

“…However, they also found that luck plays an important role in mutual fund performance, and the relative importance of skill and luck can vary over time. Atta and Marzuki (2020), on the other hand, argued that Islamic funds outperform conventional funds in terms of selectivity skills, suggesting that Islamic fund managers are better at selecting individual stocks that outperform their benchmarks. However, the study found no significant difference in market timing ability between Islamic and conventional funds.…”

Section: Mutual Fund Performance and Managers' Skillsmentioning

confidence: 99%

See 2 more Smart Citations

Analyzing the Performance of Pakistan Equity Mutual Funds Using Multifactor Models: Pre-COVID Analysis

Danial,

Iftikhar,

Shah

2023

BMS

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Previous literature has primarily focused on examining the determinants that impact mutual fund returns in developed and emerging economies. However, there is a dearth of empirical research on how multifactor models are associated with mutual fund returns in underdeveloped economies. The inconsistent literature regarding the efficiency of the literature posed a question of whether the fund managers can generate extra returns for the investors. To address this research gap, this study aims to analyze mutual fund returns using multifactor models, specifically the Capital Asset Pricing Model (CAPM), Fama-French three-factor model, Carhart four-factor model, Treynor-Mazuy and Fama Net-Selectivity. The first three models analyze the funds with four factors: market factor, growth factor, value factor and momentum factor. The results of the study indicate that the risk premium factor plays a crucial role in understanding mutual fund returns, as it exhibits significant value across all three models. However, the value and size factors were found to be insignificant in both the Fama-French and Carhart models. Additionally, the momentum factor was not significant in the Carhart model. Notably, the significant alpha observed in all multifactor models suggests the skill of mutual fund managers, which was further confirmed using the Treynor-Mazuy and Fama Net-Selectivity models to assess their timing and selectivity abilities in actively managed funds. Furthermore, the finding of the study suggests the inefficiency of the market. The investors could earn extra return from their investments. However, the managers play important role in generating the abnormal returns as suggested by Treynor-Mazuy and Fama Net-selectivity model significance. In addition to that, investors should consider the market risk premium in their investment returns.

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Section: Treynor-mazuy and Fama Net-selectivity Modelsupporting

confidence: 84%

Section: Mutual Fund Performance and Managers' Skillsmentioning

confidence: 99%

Section: Mutual Fund Performance and Managers' Skillsmentioning

confidence: 99%

See 1 more Smart Citation

Analyzing the Performance of Pakistan Equity Mutual Funds Using Multifactor Models: Pre-COVID Analysis

Danial,

Iftikhar,

Shah

2023

BMS

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“…A number of researchers have argued that the performance of companies is not determined only by one factor or two factors; there is a multiple set of variables that affect the level of financial performance, and these variables may be non-financial or financial, such as the size of the company, the ratio of debt, liquidity, and operating profit. Some of the studies that have been referred to previously discussed the impact of additional v ariables that control the level of financial performance in addition to intangible assets (Atta & Marzuki, 2020). The study by Gamayuni (2015) tested the impact of debt size on the association between the intangibility of assets and financial adequacy.…”

Section: Literature Reviewmentioning

confidence: 99%

The influence of intangible assets disclosures on businesses’ performance

Samara,

Aladwan,

Hamdan

et al. 2023

5008

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The purpose of this research is to determine how intangible asset declarations affected manufacturing companies listed on the Palestine Exchange in terms of performance throughout the years [2017-2021]. The study sample consisted of 13 industrial companies listed on the Palestinian Stock Exchange, and in order to verify the study hypotheses, a descriptive analytical approach was followed. Several statistical methods were used, such as random effect analysis. After conducting the required tests, the results of the tests showed that the intangible assets do not have an effective impact on the performance of the companies that were studied, as the relationship was negative and it was not proven that the intangibility of assets had any positive results. However, it was found that leverage has a positive effect on the performance of these companies. The study recommended that the approaches for service and industrial companies should be improved and developed to enhance the level of performance in accordance with developments that occurred in the financial market.

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“…In addition, their analysis confirmed both Islamic and conventional funds' asymmetric and convex flow-performance relationships, as well as investors' best-performance-chasing behaviour. SRI funds have shown an asymmetric relationship between flow and performance; that is, investors' reaction to negative outcomes is not as aggressive as it is to positive returns (Azmi et al, 2018 Marzuki (2020) found that the characteristics of fund families affected both Islamic and conventional funds within the family.…”

Section: Previous Studiesmentioning

confidence: 99%

Star and Poor Fund Phenomena in Islamic- And Conventional-Focused Families: Emerging Country Evidence

Atta

Marzuki

2021

JIMF

Self Cite

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The aim of this study is to investigate star and poor phenomena and their impact on the flows of Islamic-focused family (IFF) and conventional-focused family (CFF). The sample includes the four emerging countries with the largest number of Islamic mutual funds from 2007 to 2018 (Saudi Arabia, Malaysia, Indonesia, and Pakistan). Panel regression analysis was used to examine the impact of dummy star and poor as independent variables, and family age, size, number of funds, past returns, and total risk as control variables for fund family flows. The results show that the dummy star has a significantly positive relationship with family flows. Family managers have succeeded in attracting more investors by using the strategy of advertising the best performing funds. However, in both, all families and IFF, the dummy poor has a negative relationship, but is insignificant. On the other hand, for CFFs, the dummy poor is significantly negative. This is because investors in IFFs, unlike those in CFFs, have more loyalty due to their moral and religious goals in addition to traditional goals. The novel finding of the study is the difference in the star phenomenon between the IFF and CFF. The findings are important for managers, as they will help them to create appropriate strategies to attract more flows and increase the assets under their management. In addition, the findings will help investors to direct their money to appropriate families.

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Islamic vs Conventional Funds Within the Family: Selectivity Skills and Market Timing Ability

Cited by 8 publications

References 42 publications

Analyzing the Performance of Pakistan Equity Mutual Funds Using Multifactor Models: Pre-COVID Analysis

Analyzing the Performance of Pakistan Equity Mutual Funds Using Multifactor Models: Pre-COVID Analysis

The influence of intangible assets disclosures on businesses’ performance

Star and Poor Fund Phenomena in Islamic- And Conventional-Focused Families: Emerging Country Evidence

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