WSEAS Transactions on Business and Economics
Print ISSN: 1109-9526, E-ISSN: 2224-2899
Volume 20, 2023
Fund Family Performance: Evidence from Emerging Countries
Authors: , , , ,
Abstract: This study examines fund family performance, in terms of selectivity and market timing skills of fund family managers, in Saudi Arabia, Malaysia, Indonesia, and Pakistan from 2007–2021. Selectivity skills are measured using excess returns, Sharpe ratio, Treynor ratio, Jensen’s alpha, and Carhart’s four-factor model, whereas market timing ability is measured using the Treynor-Mazuy and Henriksson-Merton models. The analysis is carried out on three levels of sample: by entire sample, by country, and by Islamic vs conventional families. The findings evince the good selectivity but poor timing skills of family managers. A novel contribution of this study is that family managers of Islamic and conventional families have different selectivity and timing skills, which can be attributed to the different goals of each type of family.
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Keywords: Islamic Finance, Family Performance, Jensen’s Alpha, Four-Factor Model, Selectivity Skills, Market Timing Ability
Pages: 951-964
DOI: 10.37394/23207.2023.20.88