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Performance Evaluation of Religious Funds

Author

Listed:
  • Praveen Das
  • S. P. Uma Rao
  • Denis Boudreaux

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.

Suggested Citation

  • Praveen Das & S. P. Uma Rao & Denis Boudreaux, 2017. "Performance Evaluation of Religious Funds," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 8(4), pages 240-247, October.
    • Handle: RePEc:jfr:ijfr11:v:8:y:2017:i:4:p:240-247
    DOI: 10.5430/ijfr.v8n4p240
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    References listed on IDEAS

    as
    1. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    2. Christopherson, Jon A & Ferson, Wayne E & Glassman, Debra A, 1998. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," The Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 111-142.
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