Table 1

CAPM results

Jensen's (1968) single factor model
Islamic fundsUCITS funds
αpβpAdj R2αpβpAdj R2
All funds10Y0.001 (0.512)0.646*** (17.835)0.7270.000 (0.313)0.862*** (37.679)0.923
SP10.004 (0.980)0.846*** (4.869)0.5320.003 (0.947)0.922*** (8.362)0.775
SP20.003 (0.472)0.631*** (6.626)0.7280.008 (1.501)0.929*** (12.713)0.909
SP3−0.001 (−0.611)0.658*** (14.396)0.718−0.002 (−1.467)0.872*** (33.955)0.934
Equity10Y0.001 (0.830)0.742*** (21.876)0.8010.001 (0.750)1.065*** (39.538)0.929
SP10.004 (0.908)0.922*** (5.508)0.5950.003 (1.038)1.212*** (8.904)0.796
SP20.003 (0.459)0.758*** (8.122)0.8020.007 (1.216)1.129*** (14.936)0.933
SP30.000 (0.077)0.731*** (17.295)0.786−0.001 (−0.376)1.048*** (32.533)0.929
Mixed allocation10Y0.001 (0.281)0.630*** (13.043)0.587−0.001 (−0.554)0.722*** (25.084)0.841
SP10.007 (1.119)0.881*** (3.510)0.3610.002 (0.653)0.697*** (6.759)0.691
SP20.003 (0.459)0.758*** (8.122)0.8020.009 (1.199)0.749*** (7.982)0.797
SP3−0.003 (−1.114)0.665*** (11.083)0.601−0.003** (−2.275)0.760*** (22.664)0.864
Fixed income10Y0.000 (−0.263)0.290*** (8.666)0.3840.000 (0.247)0.365*** (9.305)0.418
SP1−0.001 (−0.230)0.446*** (4.199)0.4540.001 (0.316)0.276* (2.044)0.137
SP20.004 (0.664)0.237** (2.895)0.3160.012 (1.124)0.392** (2.788)0.297
SP3−0.003 (−1.362)0.344*** (7.597)0.412−0.002 (−1.128)0.420*** (9.673)0.533

Note(s): *, **,*** indicate that the result is statistically significant at the 10%, 5% and 1% level respectively

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