This master thesis by Raphie Hayat, supervised by Dr. Roman Kraussl at Free University, Amsterdam, evaluates the performance of Islamic Equity Funds (IEFs) over the past five years. It applies statistical procedures and performance measures to assess IEFs, finding that they are relatively safe investment vehicles that do not significantly under or outperform their benchmarks under normal market conditions. However, during the bear market of 2002, IEFs significantly outperformed both Islamic and conventional markets. The thesis also notes differences in the abilities of IEF managers, with Malaysian IEFs having better market timing abilities and globally invested IEFs having better stock picking abilities. The results support the validity of the CAPM and efficient markets.
documents/EFTA00617310.pdf
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