Vol. 8 No. 5 (2020): Business & Management Studies: An International Journal


Asisst. Prof. Dr., Karabük University
Feyzullah Esad ŞEKKELİ
Res. Asisst., Karabük University

Published 2020-12-25


  • İslami Finans,
  • İslami Yatırım Fonları,
  • Performans Analizi
  • Islamic Finance Islamic Mutual Funds Performance Analysis

How to Cite

GÜÇLÜ, F., & ŞEKKELİ, F. E. (2020). PERFORMANCE ANALYSIS AND COMPARISON OF ISLAMIC AND CONVENTIONAL STOCK MUTUAL FUNDS IN TURKEY . Business & Management Studies: An International Journal, 8(5), 4463–4486. https://doi.org/10.15295/bmij.v8i5.1659



Performance, selection, and market timing abilities of stock mutual funds' managers are investigated in literature by plenty of researchers. Last three decades, Islamic investments have shown extraordinary progress. Therefore, Islamic investment instruments attracted researchers' attention in this area. In the literature, many studies were conducted to compare the performance of Islamic and conventional stock mutual funds. According to findings of Alam and Rajjaque (2010), Hoepner et al. (2011), Mansor and Bhatti (2011), Rubio et al. (2012), Shah et al. (2012), Ashraf (2013), Omri et al. (2019), Climent et al. (2020), Aksu and Aytekin (2020), Islamic funds show better performance comparing their conventional counterparts. The findings of Hassan et al. (2010) Hassan and Girard (2012), Reddy et al. (2017), Naqvi et al. (2018) reveal no significant differences in the performance of Islamic and conventional mutual funds. Hovewer, Uysal, and Adalı (2018), Zouaoui (2019) find that performances of conventional mutual funds are better than Islamic ones.


The purpose of this study is to compare the performance of conventional and Islamic stock mutual funds traded in the Turkey capital markets and to reveal the selection and market timing abilities of fund managers. The study provides useful information for investors and fund managers about the performance and riskiness of Islamic stock mutual funds.


When reviewing the existing literature about Islamic mutual funds in Turkey, most of the studies conducted are focus on Islamic pension funds. Therefore, this study extends the literature in terms of Islamic stock mutual funds.


This study adopts a quantitative analysis to compare the performance of Islamic and conventional stock mutual funds.


The research problem of this study is to determine how different the performances of Islamic stock mutual funds are from their conventional counterparts.


The data set used in this study was obtained from the Thomson Reuters Eikon database. The data covers 5 years from November 2015 to August 2020.


This study performs commonly used methods in the literature to measure fund performances as Sharpe Ratio, Treynor Ratio, Modigliani (M2) measure, Information Ratio, and Jensen Alpha (α). Besides, determining fund managers' market timing ability Treynor and Mazuy (1966) quadratic regression model is used.


According to risk-adjusted performance measurement results, TKF has the highest performance except for Information ratio. Islamic stock mutual fund ZPE's performance is moderate when compared to conventional funds. Jensen alpha results show that most of the funds have statistically insignificant alphas, including ZPE. TKF still has the highest alpha, which indicates that fund managers are good at selecting stocks. When looking at beta results in the systematic risk measure, most of the funds have lower betas than the market. TKF has the lowest beta. Islamic fund ZPE's beta is 0.8105, which is lower than the rest of the funds except TKF and ST1. Treynor and Mazuy (1966) model results indicate that only one stock mutual fund (EID) has a statistically significant upsilon parameter.


The findings of this study support the works of Hassan et al. (2010) Hassan and Girard (2012), Reddy et al. (2017), Naqvi et al. (2018) which reveal no significant differences in the performance of Islamic and conventional mutual funds.

    • RESULTS of the ARTICLE      

When the results are evaluated as a whole, it can be stated that Islamic stock mutual funds have similar performance to their conventional counterpart, and there is no significant difference between them. Besides, it can be said that Islamic stock mutual funds contain a lower risk. Thus they can be considered as safe investment vehicles and preferred by risk-averse investors.


Future studies could extend the scope of this study by including other Islamic stock mutual funds that are included in TEFAS and whose data do not cover the five years. Furthermore, future research could also be conducted to determine international diversification benefits of Islamic stock mutual funds by including cross country data.

  • LIMITATIONS of the ARTICLE                  

The main limitation is that the samples of Islamic and conventional stock mutual funds were from one market. Furthermore, only one Islamic stock mutual fund is included in the study due to other İslamic stock mutual funds cover less than five years.


Download data is not yet available.


  1. Abdullah, F., Hassan, T. ve Mohamad, S. (2007). Investigation of performance of Malaysian Islamic unit trust funds: Comparison with conventional unit trust funds. Managerial Finance, 33(2), 142–153. doi:10.1108/03074350710715854
  2. Aksu, M. ve Aytekin, S. (2020). Türkiye’de kurulan İslami ve geleneksel yatırım fonlarının karşılaştırmalı performans analizi. Yeni Ekonomik Trendler ve İş Fırsatları içinde (ss. 816–826).
  3. Alam, N. ve Rajjaque, M. S. (2010). Shariah-compliant equities: Empirical evaluation of performance in the European market during credit crunch. Journal of Financial Services Marketing, 15(3), 228–240. doi:10.1057/fsm.2010.19
  4. Ashraf, D. (2013). Performance evaluation of Islamic mutual funds relative to conventional funds: Empirical evidence from Saudi Arabia. International Journal of Islamic and Middle Eastern Finance and Management, 6(2), 105–121. doi:10.1108/17538391311329815
  5. Bayraktar, M. ve Aksoy, M. (2020). Katılım esasına dayalı bireysel emeklilik fonlarının performans analizi. Muhasebe ve Finansman Dergisi, 710354(86), 195–226. doi:10.25095/mufad.710354
  6. Climent, F., Mollá, P. ve Soriano, P. (2020). The investment performance of U.S. Islamic mutual fuThomson Reuters Islamic funds database.ndsThomson Reuters Islamic funds database. Sustainability (Switzerland), 12(9). doi:10.3390/SU12093530
  7. Değertekin, E. A. (2011). Türkiye’de Yatırım Fonları. Sermaye Piyasasında Gündem, (105), 24–35.
  8. Goodwin, T. H. (1998). The Information Ratio. Financial Analysts Journal, 54(43), 34–43. doi:10.2469/faj.v54.n4.2196
  9. Hassan, M. K. ve Girard, E. (2012). Faith-Based Ethical Investing: The Case of Dow Jones Islamic Indexes. SSRN Electronic Journal, (April), 1–41. doi:10.2139/ssrn.1808853
  10. Hassan, M. K., Khan, A. N. F. ve Ngow, T. (2010). Is faith-based investing rewarding? The case for Malaysian Islamic unit trust funds. Journal of Islamic Accounting and Business Research, 1(2), 148–171. doi:10.1108/17590811011086732
  11. Hoepner, A. G. F., Rammal, H. G. ve Rezec, M. (2011). Islamic mutual funds’ financial performance and international investment style: Evidence from 20 countries. European Journal of Finance, 17(9–10), 829–850. doi:10.1080/1351847X.2010.538521
  12. ICD. (2019). Islamic Finance Development Report 2019 - Shifting Dynamics.
  13. Jensen, M. C. (1968). The Performance of Mutual Funds in the Period 1945–1964. The Journal of Finance, 23(2), 389–416.
  14. Korkmaz, T. ve Uygurtürk, H. (2008). Türkiye’deki Emeklilik Fonları ile Yatırım Fonlarının Performans Karşılaştırması ve Fon Yöneticilerinin Zamanlama Yetenekleri. Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, (15), 114–147.
  15. Korkmaz, T. ve Uygurtürk, H. (2009). Türkiye’de İşlem Gören Hisse Senedi Ağırlıklı Yatırım Fonlarının Performans Karşılaştırması. Akademik Araştırmalar ve Çalışmalar Dergisi, 1(1), 1–15.
  16. Kuzubaş, T. U., Saltoğlu, B., Sert, A. ve Yüksel, A. (2019). Performance evaluation of the Turkish pension fund system. Journal of Capital Markets Studies, 3(1), 18–33. doi:10.1108/jcms-03-2019-0013
  17. Mansor, F. ve Bhatti, M. I. (2011). The Islamic mutual fund performance : New evidence on market timing and stock selectivity. Economics and Finance Research, 4, 487–494.
  18. Marzban, S. ve Donia, M. (2010). Shariah-compliant equity investments frameworks, trends and crisis. Harvard Islamic Finance Forum Paper 2010.
  19. Merdad, H., Hassan, M. K. ve Alhenawi, Y. (2010). Islamic Versus Conventional Mutual Funds Performance in Saudi Arabia: A Case Study. Journal of King Abdulaziz University: Islamic Economics, 23(2), 161–198.
  20. Modigliani, F. ve Modigliani, L. (1997). Risk-Adjusted Performance: How to measure it and why. The Journal of Portfolio Management, 23(2), 45–54.
  21. Naqvi, B., Rizvi, S. K. A., Mirza, N. ve Reddy, K. (2018). Religion based investing and illusion of Islamic Alpha and Beta. Pacific Basin Finance Journal, 52(August 2016), 82–106. doi:10.1016/j.pacfin.2018.02.003
  22. Nicolescu, L., Tudorache, F. G. ve Androniceanu, A. (2020). Performance risk analysis on mutual funds versus stock exchanges in young financial markets. Journal of International Studies, 13(1), 279–294. doi:10.14254/2071-8330.2020/13-1/18
  23. Oliveira, L., Salen, T., Curto, J. D. ve Ferreira, N. (2019). Market Timing and Selectivity: An Empirical Investigation of European Mutual Fund Performance. International Journal of Economics and Finance, 11(2), 1. doi:10.5539/ijef.v11n2p1
  24. Omri, A., Soussou, K. ve Goucha, N. B. S. (2019). On the post-financial crisis performance of Islamic mutual funds: the case of Riyad funds. Applied Economics, 51(18), 1929–1946. doi:10.1080/00036846.2018.1529403
  25. Razzaq, N., Gul, S., Sajid, M., Mughal, S. ve Bukhari, S. A. (2012). Performance of Islamic Mutual Funds in Pakistan. Economics and Finance Review, 2(3), 16–25.
  26. Reddy, K., Mirza, N., Naqvi, B. ve Fu, M. (2017). Comparative risk adjusted performance of Islamic, socially responsible and conventional funds: Evidence from United Kingdom. Economic Modelling, 66(July 2016), 233–243. doi:10.1016/j.econmod.2017.07.007
  27. Rubio, J. F., Hassan, M. K. ve Merdad, H. J. (2012). Non-parametric performance measurement of international and Islamic mutual funds. Accounting Research Journal, 25(3), 208–226. doi:10.1108/10309611211290176
  28. Seçme, O., Aksoy, M. ve Uysal, Ö. (2016). Katılım Endeksi Getiri, Performans ve Oynaklığının Karşılaştırmalı Analizi. Muhasebe ve Finansman Dergisi, (72), 107–128. doi:10.25095/mufad.396724
  29. Shah, I. U., Iqbal, J. ve Malik, M. F. (2012). Comparative valuation between Islamic and conventional mutual fund. International Research Journal of Finance and Economics, 96(October), 28–34.
  30. Sharpe, W. F. (1966). Mutual Fund Performance. The Journal of Business, 39(1), 119–138.
  31. TEFAS. (2020a). Fon Bazlı İşlem Hacmi Raporu.
  32. TEFAS. (2020b). Toplam İşlem Hacmi Raporu. 26 Ekim 2020 tarihinde https://www.tefas.gov.tr/IstatistikiRaporlar/ToplamIslemHacmi.aspx adresinden erişildi.
  33. TEFAS. (2020c). Fon Karşılaştırma. 26 Ekim 2020 tarihinde https://www.tefas.gov.tr/FonKarsilastirma.aspx adresinden erişildi.
  34. Treynor, J. L. (1965). How to Rate Management of Investment Funds. Harvard Business Review, 43(1), 63–75.
  35. Treynor, J. L. ve Mazuy, K. K. (1966). Can Mutual Funds Outguess the Market? Harvard Business Review, 44(4), 131–136.
  36. Uysal, M. ve Adalı, Z. (2018). Performance measurement of pension investment funds in Turkey: Comparing performance of traditional and Islamic pension investment funds. Fiscaoeconomia, 2(2), 50–73. doi:10.25295/fsecon.2018.02.004
  37. Zouaoui, M. (2019). Selectivity and market timing ability of fund managers: Comparative analysis of Islamic and conventional HSBC Saudi mutual funds. International Journal of Financial Studies, 7(3). doi:10.3390/ijfs7030048