Methods to Estimate Performance of Mutual Funds: A DEA and Coskewness Based Comparative Performance Measurement of Islamic Mutual Funds and Socially Responsible Investing

Islamic Mutual Funds ( growth, equity, unit trusts etc.) are key investment products of the Islamic capital market and main sources of capital flows from surplus economies to deficit economies. The proposed project will explore and measures the performance of Islamic mutual funds by employing econometric models and analysis. Specifically, this study will conduct an empirical comparison of performances between Islamic mutual funds and socially responsible funds (SRI-which is also called ethical funds) using market indexes as benchmarks. In this project, we propose the use of three methodologies to measure the efficiency and comparative performance loss (gain) of Islamic mutual funds and SRI: Data Envelop Analysis (DEA), an asset pricing model including a measurement of coskewness, and a Quantile regression. The analysis of companies' portfolio performance employing DEA and Coskewness methodology will provide some information that can be useful because the data and findings from this research will help to the researchers, finance students, regulators and businesses in realizing the effects of portfolio management on the performance of both Islamic mutual funds and ethical funds.