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

DOI

10.2991/978-94-6463-026-8_33How to use a DOI?

Keywords

Sharia mutual fund performance; Sharpe; Treynor; Jensen; M-square; TT; Dow jones Islamic market

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.

Copyright

© 2023 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Robiatul Hidayah
AU  - Hesti Wahyuni
PY  - 2022
DA  - 2022/12/10
TI  - Analysis of Global Sharia Mutual Fund Performance and Benchmarking Using Dow Jones Islamic Market Index
BT  - Proceedings of the 3rd Annual Management, Business and Economics Conference (AMBEC 2021)
PB  - Atlantis Press
SP  - 282
EP  - 293
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-026-8_33
DO  - 10.2991/978-94-6463-026-8_33
ID  - Hidayah2022
ER  -