Amir Taghikhan Tajrishi - Phd Student, Faculty of Management and Accounting Allameh Tabataba i University, Tehran. Iran. Address:Faculty of Management and Accounting Allameh Tabataba i University, Tehran. Iran
Mohammad Saeed Haidary - Phd Student, Faculty of Management and Accounting Allameh Tabataba i University, Tehran, Iran. Address:Faculty of Management and Accounting Allameh Tabataba i University, Tehran. Iran
Hooman Abdollahi - Department of Industrial Engineering, Karaj Branch, Islamic Azad University, Karaj, Iran.

This study aims to illuminate how Islamic stocks outperform conventional stocks on risk-adjusted basis, especially during financial crises. For the purpose of the study, FTSE 100 monthly data for the 2007-2010 period constituted the sample of the paper. Comparing FTSE 100 index with two different sets of Sharia compliant indices, the paper firstly describes how authors screen-out companies from FTSE 100 to form different portfolios, and then discuss and explain the differences between their performances using Sharpe and Treynor methods. Finally, we reconsider the differences putting in consideration risk adjustment. Implications and discussion are addressed at the end of the paper.

Islamic finance, Sharpe ratios, Treynor index, Performance measurement