This study (i) compares the performance of 22 Islamic and conventional Dow Jones stock market indices during the recent pre-crisis and post-crisis periods, namely, the global financial crisis (GFC) and the European sovereign debt crisis (ESDC); (ii) analyzes the time-frequency co-movements between conventional and Islamic stock sectors; and (iii) evaluates portfolio risk management. We apply different performance measures, namely, the Sharpe, Roy, Treynor, Omega, and Alpha Jensen. These are based on the capital asset pricing model-exponential generalized autoregressive conditional heteroscedasticity (CAPM-EGARCH) model, and the cross wavelet transform approach, the wavelet approach, and the conditional value at risk (CVaR). Results using the Alpha Jensen performance measure show that Islamic equity returns dominate conventional equity returns during the full sample period. However, the pre-crisis periods are dominated by higher conventional equity returns, irrespective of the return measures employed. During the GFC, the ESDC, and the post-crisis periods, Islamic equity returns dominate their conventional counterparts. Moreover, the co-movements of sectors vary over time and across frequencies and depend on major events. We find that portfolios consisting of Islamic and conventional equity markets within the industrial and utilities sectors offer maximum risk reductions in terms of portfolio value at risk (VaR). Whereas, portfolios consisting of Islamic and conventional stock markets of aggregate equities, basic materials, consumer services, and technologies highlight traces of low-diversification benefits across the entire sampling period. The consumer goods, energy, financial, healthcare, and telecommunications sectors highlight the least diversification benefits in terms of differences in portfolio VaR. Evidence of systemic risk is reported.