Islamic equity portfolios work with a smaller investment universe given the filtering of non-Shari’ah compliant stocks. It has been theoretically argued that this culminates in suboptimal portfolio diversification, which in turn adversely affects risk-adjusted returns. We offer empirical evidence that such a conceived portfolio diversification “penalty” is far from a foregone conclusion, at least empirically. Our results tend to indicate that Islamic portfolios are not invariably handicapped in terms of portfolio diversification. We also explored dimensions that may account for differences in the relative investment performance between Islamic and conventional portfolios, such as portfolio constraints, short selling and market conditions. We believe this paper is among the first to apply substantial empirical analysis specifically with respect to the portfolio diversification perspective on Islamic equity investments.

鉴于非伊斯兰教法的过滤，伊斯兰股票投资组合可以在较小的投资范围内工作合规的股票。从理论上讲，这最终导致了次优投资组合的多元化，进而对风险调整后的收益产生了不利影响。我们提供经验证据，至少从经验上来看，这种设想的投资组合多元化“惩罚性”远未成定局。我们的结果倾向于表明，伊斯兰投资组合在投资组合多元化方面并非总是有障碍。我们还探讨了可能解释伊斯兰投资组合与常规投资组合之间相对投资绩效差异的维度，例如投资组合约束，卖空和市场状况。我们认为，本文是最早针对伊斯兰证券投资的投资组合多元化观点进行大量实证分析的论文之一。