This study aims to comparatively analyze the systematic, idiosyncratic and downside risk exposure of both Islamic and conventional funds in Pakistan to see which of the funds has higher risk exposure.,The study analyzes different types of risks involved in both Islamic and conventional funds for the period from 2009 to 2016 by using different risk measures. For systematic and idiosyncratic risk single factor CAPM and multifactor models such as Fama French three factors model and Carhart four factors model are used. For downside risk analysis different measures such as downside beta, relative beta, value at risk and expected short fall are used.,The study finds that Islamic funds have lower risk exposure (including total, systematic, idiosyncratic and downside risk) compared with their conventional counterparts in most of the sample years, and hence, making them appear more attractive for investment especially for Sharīʿah-compliant investors preferring low risk preferences.,As this study shows, Islamic mutual funds exhibit lower risk exposure than their conventional counterparts so investors with lower risk preferences can invest in these kinds of funds. In this way, this research provides the input to the individual investors (especially Sharīʿah-compliant investors who want to avoid interest based investment) to help them with their investment decisions as they can make a more diversified portfolio by considering Islamic funds as a mean for reducing the risk exposure.,To the best of the author’s knowledge, this study is the first attempt at world level in looking at the comparative risk analysis of various types of the risks as follows: systematic, idiosyncratic and downside risk, for both Islamic and conventional funds, and thus, provides significant contribution in the literature of mutual funds.

中文翻译：

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与传统的同业相比，伊斯兰共同基金的风险较低吗？

这项研究旨在比较分析伊斯兰和常规基金在巴基斯坦的系统风险，特质风险和下行风险，以了解哪些基金具有更高的风险暴露。该研究分析了伊斯兰和常规基金涉及的不同类型的风险。 2009年至2016年期间采用不同的风险衡量方法。对于系统性和特殊风险，使用单因素CAPM和多因素模型，例如Fama French三因素模型和Carhart四因素模型。对于下行风险分析，使用了下行贝塔值，相对贝塔值，风险值和预期的短期下跌等不同的指标。研究发现，伊斯兰基金比常规基金具有较低的风险敞口（包括总，系统，特质和下行风险）。在大多数样本年份中，因此，这使得它们对投资更具吸引力，尤其是对于偏爱低风险偏好的符合伊斯兰教义的投资者。资金。通过这种方式，本研究为个人投资者（尤其是希望避免基于利息的符合伊斯兰教法的投资者）提供了投入，以帮助他们做出投资决策，因为他们可以通过考虑将伊斯兰基金作为投资的手段来建立更多元化的投资组合。据作者所知，本研究是世界范围内首次尝试对各种类型的风险进行比较风险分析，如下所示：