Fama and French 3-factor model results
| Fama and French (1993) 3-factor model | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Islamic funds | UCITS funds | ||||||||||
| αp | Rm-Rf | SMB | HML | Adj R2 | αp | Rm-Rf | SMB | HML | Adj R2 | ||
| All funds | 10Y | −0.002 (−0.762) | 0.686*** (12.617) | −0.218** (−2.147) | −0.104 (−1.185) | 0.588 | −0.003 (−1.513) | 0.898*** (17.698) | −0.170* (−1.801) | −0.145* (−1.763) | 0.744 |
| SP1 | 0.008 (1.336) | 0.692** (2.629) | −0.110 (−0.418) | −0.061 (−0.199) | 0.179 | 0.007 (1.510) | 0.650** (2.873) | 0.062 (0.275) | −0.105 (−0.394) | 0.275 | |
| SP2 | 0.004 (0.344) | 0.773*** (4.770) | −0.502 (−1.138) | −0.273 (−1.465) | 0.577 | 0.005 (0.427) | 1.023*** (6.054) | −0.181 (−0.394) | −0.310 (−1.596) | 0.728 | |
| SP3 | −0.005* (−1.816) | 0.692*** (10.098) | −0.217* (−1.940) | 0.020 (0.176) | 0.589 | −0.006*** (−2.669) | 0.910*** (14.756) | −0.230** (−2.286) | −0.039 (−0.379) | 0.754 | |
| Equity | 10Y | −0.002 (−0.814) | 0.802*** (15.137) | −0.218** (−2.206) | −0.148* (−1.723) | 0.674 | −0.003 (−1.448) | 1.121*** (18.825) | −0.145 (−1.305) | −0.235** (−2.435) | 0.768 |
| SP1 | 0.008 (1.413) | 0.741** (2.880) | 0.001 (0.002) | −0.199 (−0.657) | 0.267 | 0.009 (1.544) | 0.888*** (3.110) | 0.062 (0.219) | −0.146 (−0.436) | 0.315 | |
| SP2 | 0.003 (0.266) | 0.927*** (5.699) | −0.502 (−1.133) | −0.358* (−1.914) | 0.676 | 0.003 (0.245) | 1.314*** (7.600) | −0.264 (−0.560) | −0.518** (−2.602) | 0.811 | |
| SP3 | −0.004 (−1.571) | 0.779*** (11.960) | −0.232** (−2.180) | 0.023 (0.209) | 0.670 | −0.006** (−2.141) | 1.083*** (14.665) | −0.166 (−1.374) | −0.052 (−0.426) | 0.757 | |
| Mixed allocation | 10Y | −0.002 (−0.623) | 0.654*** (9.579) | −0.245** (−1.927) | −0.091 (−0.822) | 0.447 | −0.003* (−1.706) | 0.746*** (14.709) | −0.204** (−2.161) | −0.065 (−0.786) | 0.668 |
| SP1 | 0.010 (1.347) | 0.709* (2.027) | −0.284 (−0.815) | 0.046 (0.113) | 0.053 | 0.005 (1.383) | 0.471** (2.538) | 0.108 (0.586) | −0.044 (−0.202) | 0.236 | |
| SP2 | 0.004 (0.337) | 0.724*** (3.814) | −0.607 (−1.174) | −0.287 (−1.316) | 0.436 | 0.006 (0.471) | 0.804*** (4.322) | −0.110 (−0.217) | −0.128 (−0.598) | 0.570 | |
| SP3 | −0.006* (−1.912) | 0.681*** (7.909) | −0.208 (−1.480) | 0.036 (0.248) | 0.467 | −0.008*** (−3.239) | 0.811*** (13.271) | −0.314*** (−3.146) | −0.027 (−0.268) | 0.706 | |
| Fixed income | 10Y | −0.001 (−0.717) | 0.286*** (6.464) | −0.148* (−1.805) | 0.042 (0.584) | 0.281 | −0.001 (−0.265) | 0.350*** (6.578) | −0.193* (−1.947) | 0.030 (0.349) | 0.282 |
| SP1 | 0.000 (0.071) | 0.446*** (3.308) | −0.138 (−1.030) | 0.242 (1.531) | 0.330 | 0.003 (0.793) | 0.107 (0.602) | −0.052 (−0.292) | −0.082 (−0.391) | −0.140 | |
| SP2 | 0.005 (0.705) | 0.253* (2.052) | −0.246 (−0.731) | 0.113 (0.798) | 0.163 | 0.010 (0.719) | 0.356 (1.621) | −0.016 (−0.027) | 0.101 (0.398) | 0.078 | |
| SP3 | −0.005* (−1.922) | 0.361*** (5.886) | −0.178* (−1.779) | −0.028 (−0.277) | 0.299 | −0.004* (−1.806) | 0.441*** (7.207) | −0.293*** (−2.933) | −0.012 (−0.119) | 0.400 | |
| Islamic funds | UCITS funds | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Rm-Rf | SMB | HML | Adj | Rm-Rf | SMB | HML | Adj | ||||
| All funds | 10Y | −0.002 (−0.762) | 0.686*** (12.617) | −0.218** (−2.147) | −0.104 (−1.185) | 0.588 | −0.003 (−1.513) | 0.898*** (17.698) | −0.170* (−1.801) | −0.145* (−1.763) | 0.744 |
| SP1 | 0.008 (1.336) | 0.692** (2.629) | −0.110 (−0.418) | −0.061 (−0.199) | 0.179 | 0.007 (1.510) | 0.650** (2.873) | 0.062 (0.275) | −0.105 (−0.394) | 0.275 | |
| SP2 | 0.004 (0.344) | 0.773*** (4.770) | −0.502 (−1.138) | −0.273 (−1.465) | 0.577 | 0.005 (0.427) | 1.023*** (6.054) | −0.181 (−0.394) | −0.310 (−1.596) | 0.728 | |
| SP3 | −0.005* (−1.816) | 0.692*** (10.098) | −0.217* (−1.940) | 0.020 (0.176) | 0.589 | −0.006*** (−2.669) | 0.910*** (14.756) | −0.230** (−2.286) | −0.039 (−0.379) | 0.754 | |
| Equity | 10Y | −0.002 (−0.814) | 0.802*** (15.137) | −0.218** (−2.206) | −0.148* (−1.723) | 0.674 | −0.003 (−1.448) | 1.121*** (18.825) | −0.145 (−1.305) | −0.235** (−2.435) | 0.768 |
| SP1 | 0.008 (1.413) | 0.741** (2.880) | 0.001 (0.002) | −0.199 (−0.657) | 0.267 | 0.009 (1.544) | 0.888*** (3.110) | 0.062 (0.219) | −0.146 (−0.436) | 0.315 | |
| SP2 | 0.003 (0.266) | 0.927*** (5.699) | −0.502 (−1.133) | −0.358* (−1.914) | 0.676 | 0.003 (0.245) | 1.314*** (7.600) | −0.264 (−0.560) | −0.518** (−2.602) | 0.811 | |
| SP3 | −0.004 (−1.571) | 0.779*** (11.960) | −0.232** (−2.180) | 0.023 (0.209) | 0.670 | −0.006** (−2.141) | 1.083*** (14.665) | −0.166 (−1.374) | −0.052 (−0.426) | 0.757 | |
| Mixed allocation | 10Y | −0.002 (−0.623) | 0.654*** (9.579) | −0.245** (−1.927) | −0.091 (−0.822) | 0.447 | −0.003* (−1.706) | 0.746*** (14.709) | −0.204** (−2.161) | −0.065 (−0.786) | 0.668 |
| SP1 | 0.010 (1.347) | 0.709* (2.027) | −0.284 (−0.815) | 0.046 (0.113) | 0.053 | 0.005 (1.383) | 0.471** (2.538) | 0.108 (0.586) | −0.044 (−0.202) | 0.236 | |
| SP2 | 0.004 (0.337) | 0.724*** (3.814) | −0.607 (−1.174) | −0.287 (−1.316) | 0.436 | 0.006 (0.471) | 0.804*** (4.322) | −0.110 (−0.217) | −0.128 (−0.598) | 0.570 | |
| SP3 | −0.006* (−1.912) | 0.681*** (7.909) | −0.208 (−1.480) | 0.036 (0.248) | 0.467 | −0.008*** (−3.239) | 0.811*** (13.271) | −0.314*** (−3.146) | −0.027 (−0.268) | 0.706 | |
| Fixed income | 10Y | −0.001 (−0.717) | 0.286*** (6.464) | −0.148* (−1.805) | 0.042 (0.584) | 0.281 | −0.001 (−0.265) | 0.350*** (6.578) | −0.193* (−1.947) | 0.030 (0.349) | 0.282 |
| SP1 | 0.000 (0.071) | 0.446*** (3.308) | −0.138 (−1.030) | 0.242 (1.531) | 0.330 | 0.003 (0.793) | 0.107 (0.602) | −0.052 (−0.292) | −0.082 (−0.391) | −0.140 | |
| SP2 | 0.005 (0.705) | 0.253* (2.052) | −0.246 (−0.731) | 0.113 (0.798) | 0.163 | 0.010 (0.719) | 0.356 (1.621) | −0.016 (−0.027) | 0.101 (0.398) | 0.078 | |
| SP3 | −0.005* (−1.922) | 0.361*** (5.886) | −0.178* (−1.779) | −0.028 (−0.277) | 0.299 | −0.004* (−1.806) | 0.441*** (7.207) | −0.293*** (−2.933) | −0.012 (−0.119) | 0.400 | |
Note(s): *, **,*** indicate that the result is statistically significant at the 10%, 5% and 1% level respectively
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.