Building the Optimal Islamic Investment Portfolio from the Egyptian Shariah Index (EGX33) Companies Based on Active and Passive Strategies | ||||
| مجلة جامعة الإسکندرية للعلوم الإدارية | ||||
| Volume 62, Issue 5, September 2025, Page 161-198 PDF (1.83 MB) | ||||
| Document Type: المقالة الأصلية | ||||
| DOI: 10.21608/acj.2025.450969 | ||||
 View on SCiNiTO | ||||
| Author | ||||
Esam Aldin Mohamed Algebaly
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| Business Administration Department, Faculty of Commerce, Tanta University Finance and Economics Department, College of Business Administration, Taibah University, Saudi Arabia | ||||
| Abstract | ||||
| This research aims to identify the optimal Islamic investment portfolio by employing the Sharpe ratio maximization model and the Treynor-Black model, applied to companies listed on the Egyptian Shariah Index EGX33. The performance of these two portfolios is then compared to the performance of the EGX33 Shariah Index and an equally weighted portfolio based on naive diversification. The study relied on several evaluation criteria, including the Sharpe ratio, the Modigliani and Modigliani M-Square measure, the Treynor ratio, and the information ratio. The researcher utilized weekly data spanning from the initial inception of the index at the beginning of January 2022, until the end of January 2025, prior to the first revision of the index. The study also outlined the investor's overall portfolio, which includes both the risky portfolio of Shariah-compliant stocks and the risk-free investment represented by the Egyptian one-year (364 days) Treasury bills. The results demonstrated the superiority of portfolios that applied the active strategy using the Sharpe ratio maximization and Treynor-Black models over those that followed the passive strategy, represented by the EGX33 Shariah Index portfolio and the equally weighted portfolio. These findings were confirmed even when the sampling period was altered. This research is beneficial for both practitioners and academics interested in constructing the optimal Islamic investment portfolio. Future research could explore the use of other optimization models, conduct comparative studies with other similar countries, utilize daily or monthly data instead of weekly data, or examine Treasury bills with maturities other than one year. | ||||
| Keywords | ||||
| Optimal Islamic Investment Portfolio; Passive and Active Strategies; Sharpe Ratio Maximization Model; Treynor-Black Model; Egyptian Shariah Index EGX33; Egyptian Market | ||||
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