Performance of Islamic Financial Services 235
better than its counterpart and had lower volatility, which resulted in a
lower Sharpe ratio. This confi rms that, irrespective of the index, the per-
formance results of Islamic and conventional indices are the same; that is,
better returns, low volatility, and lower Sharpe ratios.
Table 11.4 gives a comparison of the leading ratios of the two indices.
The most striking observation is the long - term debt to capital (LTD/capital)
TABLE 11.2 Performance comparison of Dow Jones Islamic World Index (DJIM)
and MSCI World Index (MXWD), February 2006 — February 2011
DJIM 5Y 4Y 3Y 2Y 1Y
Return 0.101% 0.065% 0.026% 0.410% 0.199%
Sigma 3.01% 3.24% 3.59% 2.91% 2.44%
MXWD 5Y 4Y 3Y 2Y 1Y
Return 0.06% 0.01% 0.10% 0.39% 0.16%
Sigma 3.16% 3.42% 3.80% 3.13% 2.53%
ER 5Y 4Y 3Y 2Y 1Y
Return 0.04% 0.07% 0.07% 0.02% 0.04%
TE 0.54% 0.56% 0.63% 0.59% 0.33%
IR / Sharpe Ratio 0.08 0.13 0.12 0.04 0.12
Correlations 0.98602 0.98698 0.98718 0.98349 0.99195
Source: Based on data from Bloomberg
FIGURE 11.2 Performance comparison of Dow Jones Islamic World (DJIM) Index
and MSCI World Index (MXWD)
Source: Based on data from Bloomberg
50.00%
40.00%
30.00%
20.00%
10.00%
10.00%
30.00%20.00%
40.00%
50.00%0.00%Dec-05Feb-06Apr-06Jun-06Aug-06Oct-06Dec-06Feb-07Apr-07Jun-07Aug-07Oct-07Dec-07Feb-08Apr-08Jun-08Aug-08Oct-08Dec-08Feb-09Apr-09Jun-09Aug-09Oct-09Dec-09Feb-10Apr-10Jun-10Aug-10Oct-10DJIM
MXWD