Table 4 Treynor and Mazuy model results... | Emerald Publishing

Table 4

Treynor and Mazuy model results

		Treynor and Mazuy (1966) model
		Islamic funds				UCITS funds
		α_p	β₁	$γ_{1}$	Adj R²	α_p	β₁	$γ_{1}$	Adj R²
All funds	10Y	0.001 (0.578)	0.643*** (16.662)	−0.109 (−0.271)	0.723	0.005 (0.403)	0.860*** (35.301)	−0.068 (−0.269)	0.922
	SP1	0.003 (0.571)	0.817*** (4.311)	2.476 (0.430)	0.511	0.001 (0.406)	0.893*** (7.481)	2.518 (0.695)	0.769
	SP2	0.004 (0.482)	0.578*** (3.208)	−0.418 (−0.347)	0.711	0.008 (1.474)	0.873*** (6.442)	−0.288 (−0.318)	0.904
	SP3	0.000 (−0.136)	0.668*** (13.999)	−0.502 (−0.714)	0.716	−0.002 (−1.246)	0.872*** (32.447)	0.008 (0.021)	0.933
Equity	10Y	0.002 (1.200)	0.730*** (20.300)	−0.367 (−0.977)	0.800	0.001 (0.752)	1.063*** (37.065)	−0.061 (−0.203)	0.929
	SP1	0.003 (0.530)	0.897*** (4.905)	2.194 (0.395)	0.576	0.004 (0.906)	1.217*** (8.156)	−0.475 (−0.105)	0.785
	SP2	0.004 (0.494)	0.663*** (3.791)	−0.757 (−0.648)	0.794	0.007 (1.146)	1.195*** (8.401)	0.523 (0.550)	0.930
	SP3	0.001 (0.471)	0.740*** (16.799)	−0.496 (−0.763)	0.785	−0.001 (−0.481)	1.045*** (31.028)	0.154 (0.309)	0.928
Mixed allocation	10Y	0.000 (0.144)	0.633*** (12.318)	0.111 (0.208)	0.584	0.000 (−0.285)	0.718*** (23.435)	−0.130 (−0.407)	0.840
	SP1	0.005 (0.719)	0.846*** (3.084)	3.041 (0.365)	0.331	−0.001 (−0.291)	0.639*** (6.022)	5.091 (1.582)	0.713
	SP2	0.004 (0.372)	0.545** (2.388)	−0.262 (−0.172)	0.551	0.009 (1.260)	0.610*** (3.530)	−1.106 (−0.957)	0.796
	SP3	−0.002 (−0.666)	0.674*** (10.751)	−0.475 (−0.514)	0.597	−0.003 (−1.590)	0.766*** (21.884)	−0.320 (−0.619)	0.862
Fixed income	10Y	−0.001 (−0.780)	0.304*** (8.559)	0.420 (1.133)	0.385	0.000 (0.158)	0.366*** (8.776)	0.051 (0.117)	0.413
	SP1	−0.002 (−0.542)	0.420*** (3.645)	2.265 (0.648)	0.437	−0.004 (−0.872)	0.177 (1.338)	8.592** (2.137)	0.273
	SP2	0.004 (0.607)	0.312* (2.030)	0.601 (0.584)	0.284	0.013 (1.183)	0.187 (0.719)	−1.641 (−0.946)	0.292
	SP3	−0.002 (−0.694)	0.355*** (7.530)	−0.598 (−0.859)	0.410	−0.003 (−1.116)	0.417*** (9.166)	0.209 (0.311)	0.528

		Treynor and Mazuy (1966) model
		Islamic funds				UCITS funds
		α_p	β₁	$γ_{1}$	Adj R²	α_p	β₁	$γ_{1}$	Adj R²
All funds	10Y	0.001 (0.578)	0.643*** (16.662)	−0.109 (−0.271)	0.723	0.005 (0.403)	0.860*** (35.301)	−0.068 (−0.269)	0.922
	SP1	0.003 (0.571)	0.817*** (4.311)	2.476 (0.430)	0.511	0.001 (0.406)	0.893*** (7.481)	2.518 (0.695)	0.769
	SP2	0.004 (0.482)	0.578*** (3.208)	−0.418 (−0.347)	0.711	0.008 (1.474)	0.873*** (6.442)	−0.288 (−0.318)	0.904
	SP3	0.000 (−0.136)	0.668*** (13.999)	−0.502 (−0.714)	0.716	−0.002 (−1.246)	0.872*** (32.447)	0.008 (0.021)	0.933
Equity	10Y	0.002 (1.200)	0.730*** (20.300)	−0.367 (−0.977)	0.800	0.001 (0.752)	1.063*** (37.065)	−0.061 (−0.203)	0.929
	SP1	0.003 (0.530)	0.897*** (4.905)	2.194 (0.395)	0.576	0.004 (0.906)	1.217*** (8.156)	−0.475 (−0.105)	0.785
	SP2	0.004 (0.494)	0.663*** (3.791)	−0.757 (−0.648)	0.794	0.007 (1.146)	1.195*** (8.401)	0.523 (0.550)	0.930
	SP3	0.001 (0.471)	0.740*** (16.799)	−0.496 (−0.763)	0.785	−0.001 (−0.481)	1.045*** (31.028)	0.154 (0.309)	0.928
Mixed allocation	10Y	0.000 (0.144)	0.633*** (12.318)	0.111 (0.208)	0.584	0.000 (−0.285)	0.718*** (23.435)	−0.130 (−0.407)	0.840
	SP1	0.005 (0.719)	0.846*** (3.084)	3.041 (0.365)	0.331	−0.001 (−0.291)	0.639*** (6.022)	5.091 (1.582)	0.713
	SP2	0.004 (0.372)	0.545** (2.388)	−0.262 (−0.172)	0.551	0.009 (1.260)	0.610*** (3.530)	−1.106 (−0.957)	0.796
	SP3	−0.002 (−0.666)	0.674*** (10.751)	−0.475 (−0.514)	0.597	−0.003 (−1.590)	0.766*** (21.884)	−0.320 (−0.619)	0.862
Fixed income	10Y	−0.001 (−0.780)	0.304*** (8.559)	0.420 (1.133)	0.385	0.000 (0.158)	0.366*** (8.776)	0.051 (0.117)	0.413
	SP1	−0.002 (−0.542)	0.420*** (3.645)	2.265 (0.648)	0.437	−0.004 (−0.872)	0.177 (1.338)	8.592** (2.137)	0.273
	SP2	0.004 (0.607)	0.312* (2.030)	0.601 (0.584)	0.284	0.013 (1.183)	0.187 (0.719)	−1.641 (−0.946)	0.292
	SP3	−0.002 (−0.694)	0.355*** (7.530)	−0.598 (−0.859)	0.410	−0.003 (−1.116)	0.417*** (9.166)	0.209 (0.311)	0.528

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