Sukuk As a Diversifier in Traditional Mixed Asset Portfolios

19 Pages Posted: 8 Jul 2016

See all articles by Lars Kaiser

Lars Kaiser

University of Liechtenstein

Daniel Deuring

Hochschule Liechtenstein

Date Written: October 15, 2013

Abstract

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

Suggested Citation

Kaiser, Lars and Deuring, Daniel, Sukuk As a Diversifier in Traditional Mixed Asset Portfolios (October 15, 2013). Available at SSRN: https://ssrn.com/abstract=2805025 or http://dx.doi.org/10.2139/ssrn.2805025

Lars Kaiser (Contact Author)

University of Liechtenstein ( email )

Fürst Franz Josef Strasse
Vaduz, 9490
Liechtenstein
+423 265 1186 (Phone)

HOME PAGE: http://www.uni.li/lars.kaiser

Daniel Deuring

Hochschule Liechtenstein

Fürst Franz Josef Strasse
Vaduz, 9490
Liechtenstein

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