Islamic indices encompass different fundamental principles to those held by conventional ones, which directs attention onto comparative financial performance. This paper offers a comprehensive performance comparison between Islamic indices and conventional indices, based on four main markets: worldwide, the US, Europe and Asia–Pacific for the period of 2007 and 2017 through financial ratio comparison and also the CAPM-EGARCH model. The main finding shows that Islamic indices yield higher average returns and lower risks during the 2007–2009 and 2013–2017 periods for all four markets, compared with respective conventional markets. During 2009–2013 period, the comparison proves inconclusive, since Islamic indices demonstrate better performance in European and Asia–Pacific markets, while conventional indices operate at an enhanced level within other markets. Overall, Islamic indices outperformed conventional indices during the global financial crisis period (2007–2009) and the latter post-crisis phase (2013–2017), especially in the European and Asia–Pacific markets.