Analysis of Global Sharia Mutual Fund Performance and Benchmarking Using Dow Jones Islamic Market Index

Robiatul Hidayah () and Hesti Wahyuni
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Robiatul Hidayah: Politeknik Negeri Malang, Jurusan Akuntansi
Hesti Wahyuni: Politeknik Negeri Malang, Jurusan Akuntansi

A chapter in Proceedings of the 3rd Annual Management, Business and Economics Conference (AMBEC 2021), 2023, pp 282-293 from Springer

Abstract: Abstract This research aims to analyze the performance of Global Sharia Mutual Funds in Indonesia and analyze market performance projected with the Dow Jones Islamic Market Index as a benchmark. This type of research is descriptively quantitative. The data collection instrument is documentation. The data collected is data on the Net Asset Value of mutual funds, risk free rate and Dow Jones Islamic Market Index data. The data analysis methods used are sharpe, treynor, jensen alpha, M-square and treynor & treynor (TT). The results showed that the performance of all Global Sharia Mutual Funds in 2018 as measured by Sharpe and Treynor methods had negative performance, while when measured by the Jensen Alpha, M-Square and TT methods there was only one mutual fund that had a positive performance. By contrast, the performance of all Global Sharia Mutual Funds in 2019 as measured by Sharpe and Treynor methods had a positive performance, while when measured by the Jensen Alpha, M-Square and TT methods there were three mutual funds that had negative performance. The results of mutual fund performance measurement in 2019 are the same as performance in 2020, except measurements with the M-Square method show all positive performance. The results of this study also showed that the comparison of mutual fund returns with benchmarks in 2018–2020 there was one outperform mutual fund. While the comparison of mutual fund performance based on Sharpe, Treynor, Jensen Alpha, M-square (M2) and Treynor & Treynor (TT) methods with benchmarks shows that Schroder Global Sharia Equity Fund (USD) and Syariah BNP Paribas Cakra Syariah USD have a better performance compared to the performance of other Global Sharia Mutual Funds.

Keywords: Sharia mutual fund performance, Sharpe, Treynor, Jensen, M-square; TT, Dow jones Islamic market (search for similar items in EconPapers)
Date: 2023
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DOI: 10.2991/978-94-6463-026-8_33

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