Firstly it's not religion! Its the distilled essence of over 5000 years of peaceful civilisation. It's wisdom, it's experimentation, it's seeking, it's learning, its non-violence, its fearlessness and it's REAL.
Sri Aurobindo was asked the same question and he said :-
" What you call Hinduism.....gave itself no name, because it set itself no sectarian limits; it claimed no universal adhesion, asserted no sole infallible dogma, set up no single narrow path or gate of salvation; it was less a creed or cult than a continuously enlarging tradition of the Godward endeavour of the human spirit. An immense many-sided and many staged provision for a spiritual self-building and self-finding, it had some right to speak of itself by the only name it knew, the eternal path to harmony, Santana Dharma...."