Performance Evaluation of Religious Funds

Praveen Das, S. P. Uma Rao and Denis Boudreaux

International Journal of Financial Research, 2017, vol. 8, issue 4, 240-247

Abstract: This exploratory study uses monthly net return data from August 2008 to June 2015 on 5 actively managed religious funds to distinguish between luck and skill of fund managers. The main benchmark of this study is the Fama-French-five-factor-model (2013). First, the abnormal performance, alpha, ¦Ái, of the equally weighted mutual fund with the above five factor model is examined. Second, we use the bootstrapping simulation approach of Fama and French (2010), to separate manager¡¯s skill from luck. Equally weighted fund exhibits skill.

Keywords: religious funds; faith-based; Fama and French; Boot-strapping; luck; skill; fund performance; active; passive; fund management; five-factor model (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:8:y:2017:i:4:p:240-247

DOI: 10.5430/ijfr.v8n4p240

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