Hakim and Rashidian (2002)
Hakim, Sam, and Rashidian Manochehr. "Risk & Return of Islamic Stock Market Indexes." Working paper, 2002.
Reviews the performance of the Dow Jones Islamic Market Index (DJIMI), which was launched in February 1999. Finds lower risk and higher Sharpe ratio than the Wilshire 5000. The DJIMI is notably more restrictive than other social indexes, with only 700 companies in the Wilshire 5000 qualifying for inclusion.
A cointegration analysis of the DJIMI, the Wilshire 5000, and the three-month T-Bill finds that neither the Wilshire nor the T-Bill "are significant in explaining the changes in the Islamic index." T-Bills do impact Wilshire 5000 performance, however, strongly suggesting that the DJIMI has a much lower level of interest rate sensitivity than the Wilshire.
This makes sense, given the financial criteria for inclusion in the Islamic index:
- A debt ratio of 33% or less
- Accounts receivable / total assets below 45%
- Interest income < 5% of total revenue