Sapphire is a wonderful insulator. For capacitance, however, its dielectric constant is a bit large (9.3 or 11.5, depending on direction in the crystal). It's dielectric loss, 0.01%, is about as low as it gets.
PTFE has a dielectric constant of only 2, with < 0.02% dielectric loss. The bulk resistivity of both materials is so large as to be unimportant; the resistance of an insulator component will depend on the surface cleanliness.
PTFE does have some interesting mechanical problems, however, while sapphire is extremely hard.