Purpose

There are a number of differences in the current Sharīʿah screening guidelines formulated by Sharīʿah scholars associated with world-renowned index providers and financial institutions. The purpose of this study is to highlight the consequences of such differences on the portfolio level outcomes for Sharīʿah-compliant investors. This study also investigates the cost of adopting an alternative stock selection methodology.

Design/methodology/approach

Seven Sharīʿah-compliant equity portfolios (SCEPs) are created from the active constituents of the S&P 500. Size, sector allocation and financial performance of the resulting seven portfolios are evaluated for the period 1984–2019. Style analysis is performed to attribute the difference in financial performance caused by the choice of selection criteria to different risk factors. The cost of switching the selection criteria is evaluated with turnover analysis and break-even transaction cost.

Findings

The choice of stock selection criteria has a significant effect on the size, sector bets and financial performance of the portfolios. Those portfolios which are constructed with market capitalization-based screens outperform portfolios constructed with total assets-based screens. The turnover analysis revealed that SCEPs are relatively costly in practice.

Originality/value

This study investigates the performance of Sharīʿah-compliant portfolios in the context of seven different screening guidelines. The effects of transaction cost and performance attribution to different risk factors represent the key contributions of this study.

中文翻译：

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选股标准的选择是否会影响符合伊斯兰教法的股票投资组合的表现？

目的

与世界知名指数提供商和金融机构相关的伊斯兰教法学者制定的现行伊斯兰教法筛选指南存在许多差异。本研究的目的是强调这种差异对符合伊斯兰教义的投资者的投资组合水平结果的影响。本研究还调查了采用替代选股方法的成本。

设计/方法/方法

七个符合伊斯兰教法的股票投资组合 (SCEP) 是从标准普尔 500 指数的活跃成分中创建的。 评估了 1984 年至 2019 年期间产生的七个投资组合的规模、行业分配和财务业绩。进行风格分析是为了将选择标准的选择导致的财务业绩差异归因于不同的风险因素。转换选择标准的成本通过营业额分析和盈亏平衡交易成本进行评估。

发现

选股标准的选择对投资组合的规模、行业押注和财务表现有显着影响。那些以市值为基础的筛选构建的投资组合优于以总资产为基础的筛选构建的投资组合。营业额分析显示 SCEP 在实践中成本相对较高。

原创性/价值

本研究调查了在七种不同筛选指南的背景下符合伊斯兰教义的投资组合的表现。交易成本和绩效归因对不同风险因素的影响代表了本研究的主要贡献。