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I am looking at ZWPH0 which is a future and the underlying index MSCI World. According to Bloomberg the prices are as follow:
MSCI world is losing 9% and the future only 1.5%.
Is there any reason for this? 
MSCI World futures are traded nearly 24 hours, while the index constituents only update their prices when their local country stock markets are open - typically this means 1/3 to 2/3 of the index constituent prices are actively updating, the rest are frozen at their last close price.
The futures price can be thought of as the market’s guess at the true index level, if all the constituent markets were open.
Additionally, MSCI World futures are not very liquid so the differences can be even larger. For a single-country index with liquid futures (eg S&P 500) you will see much smaller divergences.
Most equity index futures have daily settlement to the closing value of the index, so any difference intra-day will be due to supply and demand factors, or perhaps trading suspensions. However, its also possible that one of the prices you see is delayed. You should avoid comparing assets during large moves or large volatility as this tends to magnify the effect of pricing delays etc.
You are confusing the "Total Return" with "Price Return" You didn't put up the ticker for the related index but I assume you are looking at the price return. The future's market value will increase as the dividends are paid out.
The index you are using is most likely the price return index, which doesn't include the effect of the dividends.
Also, the financing during that period got into the negatives - so that will lead to positive drift in the price as well.
