The study objective is to determine a better alternative for investors, whether to investing the money in modaraba deposits or by investing in the shares of Islamic banks. The inductive approach will be followed in presenting the different kinds of risks, whereas the descriptive and analytical approach to be followed in calculating the shareholders’ returns and comparing them with returns of modaraba deposits. The sample of the study covered the period from 2010 to 2019 and the data were extracted from the published annual reports for these banks. The main results were that average returns for Islamic banks’ shares included in the study sample, were higher than the average returns in the same Islamic banks’ modaraba deposits. The main recommendation of the study is to invest in Islamic banks shares instead of deposits after taking into consideration the level of risks related to the returns of these shares.