Make the Best from Comparing Conventional and Islamic Asset Classes: A Design of an All-Seasons Combined Portfolio

Andrea Delle Foglie and Gianni Pola
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Andrea Delle Foglie: Department of Management, Faculty of Economy, Sapienza University of Rome, 00161 Rome, Italy
Gianni Pola: Anima SGR S.p.A., Anima Holding, 0121 Milan, Italy

JRFM, 2021, vol. 14, issue 10, 1-17

Abstract: This paper aims to contribute to the existing literature in portfolio management and strategy by investigating the performance, diversification, and hedging benefits arising from integrating Sharia-compliant stocks into a conventional portfolio. Thus, this paper tests the performance of a Combined Portfolio, resulting from the combination of conventional Islamic instruments, covering different macroeconomic scenarios in the last decade (2010–2020). The strategic asset allocation was designed following the Global Macro Anima (GMA) strategy, solving a risk-parity optimisation problem using a specifically developed MATLAB™ algorithm. The findings will contribute to answering the question related to the possibility of including alternative instruments to increase diversification with hedging benefits by building asset allocations that perform well across different macroeconomic scenarios.

Keywords: asset allocation; portfolio management; risk parity; Islamic equities; macroeconomic conditions (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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