The Risk-Adjusted Performance of Conventional, Socially Responsible, and Islamic Investment Funds
Résumé
This study compares the risk-adjusted performance and sensitivity of 5,689
conventional, responsible, and Islamic funds domiciled in 71 different countries for the period
from 2007 to 2021. It provides new empirical evidence that the risk-adjusted performance of
responsible funds does not differ significantly from that of conventional funds, and that they
outperform Islamic funds. The results also show that the systematic risk of Islamic funds is
comparable to that of conventional funds but lower than that of sustainable funds.