How to explain the financial performance of Shariah-compliant investment?

Summary Numerous studies have concluded that the financial performance of Shari'ah-compliant (SCI) or Islamic investment versus conventional investment (CI) is statistically similar. Such a result seems to contradict modern portfolio theory. The objective of this paper is to provide explanations for these counterintuitive results from an empirical corpus of 37 studies. We show via an index reconstruction case that the exclusion of the financial sector combined with pro-cyclical negative filtering methods plays a prominent role in explaining the financial performance of the CCI.