Evaluating Performance of Islamic Mutual Funds in Indonesia and Malaysia

This study measures the performance of Islamic mutual funds in Indonesia and Malaysia, two countries which have growing Islamic Capital Markets. By using 5 measurement tools, namely Sharpe, Treynor and Jensen Indices, as well as Snail Trail Methodology and Market Timing, the study finds that Malaysian Islamic stocks seem to outperform the Indonesian Islamic mutual funds, even in the period of global economic crises. This study also discovers that risk-return relationship of debt Islamic mutual funds is relatively stable as compared with asset allocation and equity Islamic mutual funds. Lastly, this study finds that market timing ability of investment managers of Islamic mutual funds in the two countries cannot increase the funds' returns as a whole. Copyright (C) 2012 JAEBR