Sukuk As a Diversifier in Traditional Mixed Asset Portfolios
19 Pages Posted: 8 Jul 2016
Date Written: October 15, 2013
During the last decade, Islamic securities named Sukuk recorded an exceptional course in number and size of new issuances. However, apart from religious motivations there is not much known on its economic merits compared to traditional asset classes, such as stocks, bonds and cash. We empirically analyse if Sukuk can serve as a portfolio diversifier, when adding to conventional mixed asset portfolios. Tests are conducted based on a minimum-variance portfolio and a naïve 1/N portfolio strategy. We show that Sukuk could be used by asset managers to enhance a risk-adjusted portfolio performance.
Keywords: Sukuk, Islamic Finance, Securitisation, Islamic Bonds, Alternative Asset Classes, Sustainable Investments, Shari’ah Compliant Securities, Mixed Asset Portfolio
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