Despite Muslims comprising a quarter of the world’s population, almost none of the $100 trillion in professionally managed global assets are sharia compliant. Constraints such as ESG and SRI are common among pension funds, endowments and sovereign wealth funds. Typical constraints include alcohol, tobacco, weapons and environmentally damaging activities. Such securities are excluded from morally constrained portfolios. Sharia applies the same, but adds one more key constraint: securities with debt-related features. Otherwise, sharia is identical to most ethical constraints. This study shows the results of constructing optimized, multi-asset, globally allocated portfolios while respecting sharia. The construction of these portfolios follows contemporary regulatory standards and professional best practices that evolved from investment theory. Results indicate multi-asset sharia portfolios have at least equal return and risk characteristics to conventional peers, or are perhaps in some ways superior. Many Muslims profess to care about sharia, including with their savings. This study provides insight for professional asset managers in applying sharia with modern portfolio theory, which could substantially enhance wealth and asset managers seeking business in this sector.

尽管穆斯林占世界人口的四分之一，但在100万亿美元的专业管理的全球资产中，几乎没有一家符合伊斯兰教法。ESG和SRI等约束在养老基金，捐赠基金和主权财富基金中很常见。典型的限制因素包括酒精，烟草，武器和破坏环境的活动。这些证券被排除在道德约束的投资组合之外。伊斯兰教法同样适用，但增加了另一个关键约束：具有债务相关特征的证券。否则，伊斯兰教法与大多数道德约束相同。这项研究显示了在尊重伊斯兰教义的同时构建优化的，多资产，全球分配的投资组合的结果。这些投资组合的构建遵循现代监管标准和从投资理论演变而来的专业最佳实践。结果表明，多资产伊斯兰投资组合至少具有与传统同等投资组合相同的回报率和风险特征，或者在某些方面可能更优越。许多穆斯林自称关心伊斯兰教法，包括储蓄。这项研究为专业资产经理在运用伊斯兰投资组合与现代投资组合理论方面提供了见识，这可以大大增强在该领域寻求业务的财富和资产经理。