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This chapter aims to identify the difference between conventional and Islamic capital asset pricing model in order to ensure the efficient investment management of products and markets. Based on theoretical literature and critical and empirical analysis, it provides key justifications for why and how Islamic capital asset pricing model outperforms the conventional capital asset pricing model. The data has been extracted from 69 companies in the period 2000 to 2017, listed at Karachi stock exchange. It provides potential contribution towards the existing body of knowledge through incorporating risk and return perspective in capital market theory. Here, it has been found that Islamic investment is a low risk investment as compared to a conventional one. Moreover, Islamic lenders must share some proportional in profit and risk, which trade-off in risk shares, not in risk-return. It is suggested that Islamic investment strategy is more profitable than the other in case of direct sharing contract. Lastly, recommendations and policy reforms have been discussed for implementation of Islamic investment strategy.