Analysis of Global Sharia Mutual Fund Performance and Benchmarking Using Dow Jones Islamic Market Index
Robiatul Hidayah, Hesti Wahyuni, Hari Purnomo

Politeknik Negeri Malang

Abstract

The research is aimed to analyze the performance of Global Islamic Mutual Funds in Indonesia and compare the performance of market proxy of Dow Jones Islamic Market Index as a benchmark. This type of research is descriptive quantitative. The data collection instrument was documentation. The data collected were the net asset value of mutual funds, the risk free rate and the Dow Jones Islamic Market Index data. The data analysis methods used are Sharpe, Treynor, Jensen Alpha, M-Square and Treynor & Treynor (TT). The results of study showed that the performances of all Global Sharia Mutual Funds in 2018 as measured by the Sharpe and Treynor method were negative, whereas 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 performances of all Global Sharia Mutual Funds in 2019 as measured by the Sharpe and Treynor methods were positive, whereas when measured by the Jensen Alpha, M-Square and TT methods there were three mutual funds that had negative performance. These latter performances were similar tothose of 2020 except that the ones measured by the M-Square method were all positive. The findings also indicated that in the comparison of mutual fund returns with benchmarks in 2018 - 2020 there was one outperforming mutual fund. Meanwhile, the comparison of mutual fund performances based on the Sharpe, Treynor, Jensen Alpha, M-square (M2) and Treynor & Treynor (TT) methods with benchmarks indicated that the Schroder Global Sharia Equity Mutual Funds (USD) and BNP Paribas Cakra Syariah USD Mutual Funds had better performances compared to those of the other Global Sharia Mutual Funds.

Keywords: Sharia Mutual Fund Performance- Sharpe- Treynor- Jensen- M-Square- TT- Dow Jones Islamic Market

Topic: Business and Finance