Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model

Ginanjar Dewandaru, Rumi Masih, Obiyathulla Bacha and A. Mansur. M. Masih
Authors registered in the RePEc Author Service: Abul Mansur Mohammed Masih

Pacific-Basin Finance Journal, 2015, vol. 34, issue C, 205-232

Abstract: This study constructs active Islamic portfolios using a multi-style rotation strategy, derived from the three prominent styles, namely, momentum, value, and quality investing. We use the stocks that are consistently listed in the U.S. Dow Jones Islamic index for a sample period from 1996 to 2012. We also include two macroeconomic mimicking portfolios to capture the premiums of industrial production growth and inflation innovation, accommodating the economic regime shifts.

Keywords: Islamic equity; Portfolio strategy; Multi-style rotation; Black Litterman factor model; Forecast (search for similar items in EconPapers)
JEL-codes: C01 C49 C58 G11 G17 G24 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Related works:
Working Paper: Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:34:y:2015:i:c:p:205-232

DOI: 10.1016/j.pacfin.2014.12.006

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