Fung Hsieh 7-factor model results
| 10 year period (January 2006–September 2015) | Fung Hsieh (2004) 7-factor model | |||||||
|---|---|---|---|---|---|---|---|---|
| Islamic funds | UCITS funds | |||||||
| All funds | Equity | Mixed allocation | Fixed income | All categories | Equity | Mixed allocation | Fixed income | |
| αp | −0.001 (−0.551) | 0.000 (−0.425) | −0.001 (−0.510) | −0.002 (−1.100) | −0.002 (−1.019) | −0.002 (−0.726) | −0.003 (−1.464) | −0.001 (−0.588) |
| PTFSBD | −0.021 (−1.281) | −0.022 (−1.342) | −0.025 (−1.191) | −0.011 (−0.796) | −0.010 (−0.644) | −0.010 (−0.541) | −0.012 (−0.755) | −0.006 (−0.386) |
| PTFSCOM | −0.007 (−0.490) | −0.002 (−0.144) | −0.016 (−0.864) | −0.007 (−0.588) | 0.005 (0.373) | −0.003 (−0.180) | 0.016 (1.097) | 0.015 (1.070) |
| PTFSFX | −0.004 (−0.325) | −0.005 (−0.379) | −0.001 (−0.079) | −0.009 (−0.859) | 0.006 (0.442) | 0.009 (0.568) | 0.004 (0.358) | −0.004 (−0.334) |
| SP500 | 0.590*** (10.188) | 0.686*** (12.188) | 0.557*** (7.632) | 0.271*** (5.771) | 0.833*** (15.039) | 1.024*** (15.467) | 0.706*** (12.864) | 0.351*** (6.409) |
| SC-LC | −0.108 (−1.191) | −0.103 (−1.169) | −0.139 (−1.218) | −0.052 (−0.707) | −0.037 (−0.428) | −0.009 (−0.086) | −0.065 (−0.757) | −0.085 (−0.991) |
| Bond factor | −27.372** (−2.000) | −23.263* (−1.747) | −32.220* (−1.868) | −32.506*** (−2.925) | −29.787** (−2.277) | −24.094 (−1.540) | −29.465** (−2.272) | −54.056*** (−4.179) |
| Credit spread | −34.197** (−2.609) | −40.256*** (−1.747) | −35.840** (−2.170) | −5.245 (−0.493) | −34.397*** (−2.746) | −39.701*** (−2.649) | −29.798** (2.399) | −23.730* (−1.916) |
| Adj R2 | 0.608 | 0.690 | 0.469 | 0.317 | 0.745 | 0.760 | 0.674 | 0.362 |
| 10 year period (January 2006–September 2015) | ||||||||
|---|---|---|---|---|---|---|---|---|
| Islamic funds | UCITS funds | |||||||
| All funds | Equity | Mixed allocation | Fixed income | All categories | Equity | Mixed allocation | Fixed income | |
| −0.001 (−0.551) | 0.000 (−0.425) | −0.001 (−0.510) | −0.002 (−1.100) | −0.002 (−1.019) | −0.002 (−0.726) | −0.003 (−1.464) | −0.001 (−0.588) | |
| PTFSBD | −0.021 (−1.281) | −0.022 (−1.342) | −0.025 (−1.191) | −0.011 (−0.796) | −0.010 (−0.644) | −0.010 (−0.541) | −0.012 (−0.755) | −0.006 (−0.386) |
| PTFSCOM | −0.007 (−0.490) | −0.002 (−0.144) | −0.016 (−0.864) | −0.007 (−0.588) | 0.005 (0.373) | −0.003 (−0.180) | 0.016 (1.097) | 0.015 (1.070) |
| PTFSFX | −0.004 (−0.325) | −0.005 (−0.379) | −0.001 (−0.079) | −0.009 (−0.859) | 0.006 (0.442) | 0.009 (0.568) | 0.004 (0.358) | −0.004 (−0.334) |
| SP500 | 0.590*** (10.188) | 0.686*** (12.188) | 0.557*** (7.632) | 0.271*** (5.771) | 0.833*** (15.039) | 1.024*** (15.467) | 0.706*** (12.864) | 0.351*** (6.409) |
| SC-LC | −0.108 (−1.191) | −0.103 (−1.169) | −0.139 (−1.218) | −0.052 (−0.707) | −0.037 (−0.428) | −0.009 (−0.086) | −0.065 (−0.757) | −0.085 (−0.991) |
| Bond factor | −27.372** (−2.000) | −23.263* (−1.747) | −32.220* (−1.868) | −32.506*** (−2.925) | −29.787** (−2.277) | −24.094 (−1.540) | −29.465** (−2.272) | −54.056*** (−4.179) |
| Credit spread | −34.197** (−2.609) | −40.256*** (−1.747) | −35.840** (−2.170) | −5.245 (−0.493) | −34.397*** (−2.746) | −39.701*** (−2.649) | −29.798** (2.399) | −23.730* (−1.916) |
| Adj | 0.608 | 0.690 | 0.469 | 0.317 | 0.745 | 0.760 | 0.674 | 0.362 |
| Sub-period 1 (January 2006–September 2007) | All funds | Equity | Mixed allocation | Fixed income | All funds | Equity | Mixed allocation | Fixed income |
|---|---|---|---|---|---|---|---|---|
| αp | 0.007 (1.031) | 0.007 (1.014) | 0.009 (1.170) | 0.000 (−0.047) | 0.009 (1.472) | 0.012 (1.568) | 0.005 (1.152) | 0.003 (0.733) |
| PTFSBD | 0.001 (0.022) | 0.007 (0.113) | −0.007 (−0.105) | −0.001 (−0.037) | 0.042 (0.857) | 0.073 (1.131) | 0.009 (0.255) | −0.009 (−0.284) |
| PTFSCOM | 0.009 (0.251) | 0.017 (0.436) | 0.002 (0.050) | −0.006 (−0.264) | 0.032 (0.989) | 0.031 (0.738) | 0.031 (1.302) | 0.034 (1.730) |
| PTFSFX | 0.039 (1.175) | 0.028 (0.790) | 0.067 (1.717) | 0.015 (0.760) | 0.038 (1.334) | 0.032 (0.828) | 0.045 (2.110) | 0.050** (2.782) |
| SP500 | 0.720** (2.776) | 0.740** (2.680) | 0.795** (2.589) | 0.457** (2.854) | 0.620** (2.731) | 0.857** (2.846) | 0.449** (2.659) | 0.055 (0.389) |
| SC-LC | −0.083 (−0.351) | 0.014 (0.055) | −0.249 (−0.895) | −0.073 (−0.504) | 0.138 (0.671) | 0.162 (0.593) | 0.158 (1.028) | −0.007 (−0.057) |
| Bond factor | −24.107 (−0.420) | −32.407 (−0.531) | −19.528 (−0.288) | −1.030 (−0.029) | −33.947 (−0.677) | −46.697 (−0.702) | −13.460 (−0.360) | −31.292 (−1.006) |
| Credit spread | −157.542 (−1.655) | −151.153 (−1.492) | −213.201* (−1.893) | −48.231 (−0.821) | −76.100 (−0.915) | −106.846 (−0.968) | −49.427 (−0.797) | −14.283 (−0.277) |
| Adj R2 | 0.268 | 0.227 | 0.331 | 0.132 | 0.334 | 0.303 | 0.419 | 0.346 |
| Sub-period 1 (January 2006–September 2007) | All funds | Equity | Mixed allocation | Fixed income | All funds | Equity | Mixed allocation | Fixed income |
|---|---|---|---|---|---|---|---|---|
| 0.007 (1.031) | 0.007 (1.014) | 0.009 (1.170) | 0.000 (−0.047) | 0.009 (1.472) | 0.012 (1.568) | 0.005 (1.152) | 0.003 (0.733) | |
| PTFSBD | 0.001 (0.022) | 0.007 (0.113) | −0.007 (−0.105) | −0.001 (−0.037) | 0.042 (0.857) | 0.073 (1.131) | 0.009 (0.255) | −0.009 (−0.284) |
| PTFSCOM | 0.009 (0.251) | 0.017 (0.436) | 0.002 (0.050) | −0.006 (−0.264) | 0.032 (0.989) | 0.031 (0.738) | 0.031 (1.302) | 0.034 (1.730) |
| PTFSFX | 0.039 (1.175) | 0.028 (0.790) | 0.067 (1.717) | 0.015 (0.760) | 0.038 (1.334) | 0.032 (0.828) | 0.045 (2.110) | 0.050** (2.782) |
| SP500 | 0.720** (2.776) | 0.740** (2.680) | 0.795** (2.589) | 0.457** (2.854) | 0.620** (2.731) | 0.857** (2.846) | 0.449** (2.659) | 0.055 (0.389) |
| SC-LC | −0.083 (−0.351) | 0.014 (0.055) | −0.249 (−0.895) | −0.073 (−0.504) | 0.138 (0.671) | 0.162 (0.593) | 0.158 (1.028) | −0.007 (−0.057) |
| Bond factor | −24.107 (−0.420) | −32.407 (−0.531) | −19.528 (−0.288) | −1.030 (−0.029) | −33.947 (−0.677) | −46.697 (−0.702) | −13.460 (−0.360) | −31.292 (−1.006) |
| Credit spread | −157.542 (−1.655) | −151.153 (−1.492) | −213.201* (−1.893) | −48.231 (−0.821) | −76.100 (−0.915) | −106.846 (−0.968) | −49.427 (−0.797) | −14.283 (−0.277) |
| Adj | 0.268 | 0.227 | 0.331 | 0.132 | 0.334 | 0.303 | 0.419 | 0.346 |
| Sub-period 2 (October 2007–February 2009) | All funds | Equity | Mixed allocation | Fixed income | All funds | Equity | Mixed allocation | Fixed income |
|---|---|---|---|---|---|---|---|---|
| αp | 0.001 (0.109) | 0.003 (0.318) | −0.001 (−0.053) | −0.005 (−0.909) | 0.005 (0.407) | 0.008 (0.549) | 0.001 (0.144) | −0.001 (−0.109) |
| PTFSBD | −0.037 (−0.543) | −0.024 (−0.324) | −0.051 (−0.674) | −0.053 (−1.473) | 0.055 (0.709) | 0.035 (0.358) | 0.087 (1.234) | 0.058 (0.780) |
| PTFSCOM | 0.126 (1.808) | 0.127 (1.657) | 0.139 (1.774) | 0.088** (2.393) | 0.142 (1.784) | 0.183 (1.812) | 0.107 (1.463) | 0.063 (0.821) |
| PTFSFX | −0.116** (−2.568) | −0.113** (−2.281) | −0.134** (−2.635) | −0.082*** (−3.413) | −0.123** (−2.372) | −0.143* (−2.188) | −0.107** (−2.263) | −0.077 (−1.551) |
| SP500 | 0.534** (3.199) | 0.682*** (3.701) | 0.445** (2.365) | 0.144 (0.169) | 0.813*** (4.235) | 1.102*** (4.540) | 0.598*** (3.405) | 0.149 (0.808) |
| SC-LC | −0.474 (−1.405) | −0.536 (−1.440) | −0.551 (−1.449) | −0.034 (−0.188) | −0.260 (−0.669) | −0.433 (−0.882) | −0.074 (−0.208) | 0.000 (−0.002) |
| Bond factor | −67.132 (−1.816) | −55.282 (−1.356) | −86.400* (−2.074) | −69.047*** (−3.520) | −45.145 (−1.061) | −26.170 (−0.487) | −54.376 (−1.399) | −100.918** (−2.472) |
| Credit spread | −24.505 (−0.846) | −35.641 (−1.115) | −23.143 (−0.709) | 18.109 (1.178) | −27.409 (−0.822) | −30.632 (−0.727) | −23.808 (−0.782) | −22.894 (−0.716) |
| Adj R2 | 0.681 | 0.706 | 0.608 | 0.695 | 0.751 | 0.736 | 0.729 | 0.540 |
| Sub-period 2 (October 2007–February 2009) | All funds | Equity | Mixed allocation | Fixed income | All funds | Equity | Mixed allocation | Fixed income |
|---|---|---|---|---|---|---|---|---|
| 0.001 (0.109) | 0.003 (0.318) | −0.001 (−0.053) | −0.005 (−0.909) | 0.005 (0.407) | 0.008 (0.549) | 0.001 (0.144) | −0.001 (−0.109) | |
| PTFSBD | −0.037 (−0.543) | −0.024 (−0.324) | −0.051 (−0.674) | −0.053 (−1.473) | 0.055 (0.709) | 0.035 (0.358) | 0.087 (1.234) | 0.058 (0.780) |
| PTFSCOM | 0.126 (1.808) | 0.127 (1.657) | 0.139 (1.774) | 0.088** (2.393) | 0.142 (1.784) | 0.183 (1.812) | 0.107 (1.463) | 0.063 (0.821) |
| PTFSFX | −0.116** (−2.568) | −0.113** (−2.281) | −0.134** (−2.635) | −0.082*** (−3.413) | −0.123** (−2.372) | −0.143* (−2.188) | −0.107** (−2.263) | −0.077 (−1.551) |
| SP500 | 0.534** (3.199) | 0.682*** (3.701) | 0.445** (2.365) | 0.144 (0.169) | 0.813*** (4.235) | 1.102*** (4.540) | 0.598*** (3.405) | 0.149 (0.808) |
| SC-LC | −0.474 (−1.405) | −0.536 (−1.440) | −0.551 (−1.449) | −0.034 (−0.188) | −0.260 (−0.669) | −0.433 (−0.882) | −0.074 (−0.208) | 0.000 (−0.002) |
| Bond factor | −67.132 (−1.816) | −55.282 (−1.356) | −86.400* (−2.074) | −69.047*** (−3.520) | −45.145 (−1.061) | −26.170 (−0.487) | −54.376 (−1.399) | −100.918** (−2.472) |
| Credit spread | −24.505 (−0.846) | −35.641 (−1.115) | −23.143 (−0.709) | 18.109 (1.178) | −27.409 (−0.822) | −30.632 (−0.727) | −23.808 (−0.782) | −22.894 (−0.716) |
| Adj | 0.681 | 0.706 | 0.608 | 0.695 | 0.751 | 0.736 | 0.729 | 0.540 |
| Sub-period 3 (March 2009 – December 2015) | All funds | Equity | Mixed allocation | Fixed income | All funds | Equity | Mixed allocation | Fixed income |
|---|---|---|---|---|---|---|---|---|
| αp | −0.005** (−2.062) | −0.004 (−1.596) | −0.007** (−2.306) | −0.006** (−2.527) | −0.006** (−2.390) | −0.005* (−1.823) | −0.007*** (−2.884) | −0.005** (−2.100) |
| PTFSBD | −0.016 (−0.868) | −0.022 (−1.224) | −0.013 (−0.564) | 0.000 (−0.010) | −0.027 (−1.572) | −0.028 (−1.379) | −0.031* (−1.782) | −0.014 (−0.788) |
| PTFSCOM | −0.021 (−1.270) | −0.016 (−1.010) | −0.030 (−1.436) | −0.020 (−1.380) | −0.010 (−0.653) | −0.026 (−1.432) | 0.008 (0.520) | 0.012 (0.786) |
| PTFSFX | −0.004 (−0.255) | 0.002 (0.143) | −0.010 (−0.490) | −0.015 (−1.124) | 0.021 (1.469) | 0.030* (1.776) | 0.017 (1.179) | −0.006 (−0.450) |
| SP500 | 0.657*** (9.057) | 0.733*** (10.559) | 0.652*** (7.171) | 0.352*** (5.489) | 0.877*** (13.278) | 1.049*** (13.399) | 0.768*** (11.575) | 0.437*** (6.581) |
| SC-LC | −0.085 (−0.819) | −0.096 (−0.963) | −0.068 (−0.522) | −0.083 (−0.900) | −0.080 (−0.851) | −0.002 (−0.019) | −0.172* (−1.817) | −0.179* (−1.890) |
| Bond factor | −38.195** (−2.035) | −28.280 (−1.573) | −51.471** (−2.187) | −46.735*** (−2.813) | −29.043* (−1.697) | −36.745* (−1.813) | −13.987 (−0.814) | −33.966* (−1.976) |
| Credit spread | −42.593** (−2.433) | −41.525** (−2.477) | −49.071** (−2.236) | −31.206** (−2.014) | −38.643** (−2.422) | −43.624** (−2.308) | −33.796** (−2.110) | −29.907* (−1.865) |
| Adj R2 | 0.625 | 0.695 | 0.516 | 0.375 | 0.770 | 0.778 | 0.718 | 0.424 |
| Sub-period 3 (March 2009 – December 2015) | All funds | Equity | Mixed allocation | Fixed income | All funds | Equity | Mixed allocation | Fixed income |
|---|---|---|---|---|---|---|---|---|
| −0.005** (−2.062) | −0.004 (−1.596) | −0.007** (−2.306) | −0.006** (−2.527) | −0.006** (−2.390) | −0.005* (−1.823) | −0.007*** (−2.884) | −0.005** (−2.100) | |
| PTFSBD | −0.016 (−0.868) | −0.022 (−1.224) | −0.013 (−0.564) | 0.000 (−0.010) | −0.027 (−1.572) | −0.028 (−1.379) | −0.031* (−1.782) | −0.014 (−0.788) |
| PTFSCOM | −0.021 (−1.270) | −0.016 (−1.010) | −0.030 (−1.436) | −0.020 (−1.380) | −0.010 (−0.653) | −0.026 (−1.432) | 0.008 (0.520) | 0.012 (0.786) |
| PTFSFX | −0.004 (−0.255) | 0.002 (0.143) | −0.010 (−0.490) | −0.015 (−1.124) | 0.021 (1.469) | 0.030* (1.776) | 0.017 (1.179) | −0.006 (−0.450) |
| SP500 | 0.657*** (9.057) | 0.733*** (10.559) | 0.652*** (7.171) | 0.352*** (5.489) | 0.877*** (13.278) | 1.049*** (13.399) | 0.768*** (11.575) | 0.437*** (6.581) |
| SC-LC | −0.085 (−0.819) | −0.096 (−0.963) | −0.068 (−0.522) | −0.083 (−0.900) | −0.080 (−0.851) | −0.002 (−0.019) | −0.172* (−1.817) | −0.179* (−1.890) |
| Bond factor | −38.195** (−2.035) | −28.280 (−1.573) | −51.471** (−2.187) | −46.735*** (−2.813) | −29.043* (−1.697) | −36.745* (−1.813) | −13.987 (−0.814) | −33.966* (−1.976) |
| Credit spread | −42.593** (−2.433) | −41.525** (−2.477) | −49.071** (−2.236) | −31.206** (−2.014) | −38.643** (−2.422) | −43.624** (−2.308) | −33.796** (−2.110) | −29.907* (−1.865) |
| Adj | 0.625 | 0.695 | 0.516 | 0.375 | 0.770 | 0.778 | 0.718 | 0.424 |
Note(s): *, **,*** indicate that the result is statistically significant at the 10%, 5% and 1% level respectively
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