Proceedings of 13th Asian Business Research Conference
26 - 27 December, 2015, BIAM Foundation, Dhaka, Bangladesh, ISBN: 978-1-922069-93-1
Measuring Performance of Ethical Unit TrustsEmploying Managed Fund Performance Models
Abul Hassan
This study presents a comprehensive assessment of managed fund
performance models. Using ethical unit trusts data, we explore the added
value of introducing extra variables such as size, book to market, momentum
and a bond index and evaluate the performance using conditional information.
After controlling for style tilts and allowing for time variation in betas and
expected return, the results show that there is no significant difference in
performance between ethical unit trust and their conventional peers. Within an
unconditional setting SMB, HML and momentum are best able to explain
ethical unit trust returns. The unconditional models perform much better than
their conditional peers.
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Dr. Abul Hassan, Visiting Faculty in Finance, King Fahd University of Petroleum and Minerals.
Dhahran, Saudi Arabia