ANALISIS KOMPARATIF KINERJA REKSADANA SAHAM KONVENSIONAL DAN REKSADANA SAHAM SYARIAH DENGAN MENGGUNAKAN METODE SHARPE, TREYNOR DAN JENSEN PADA BURSA EFEK INDONESIA PERIODE TAHUN 2010-2012

Abstract

Mutual Fund is one of developing investment instrument which goes simultaneously with Indonesian capital market growth. In its development, mutual funds began to apply Sharia principles in carrying out its business strategy. The fundamental difference between conventional mutual fund and sharia fund is on their investment policy. Sharia fund‟s investment policies, including portfolio selection and its management strategy, have been adjusted to accord with the Islamic principle. This reasearch aims to determine whether there are differences performance between conventional mutual funds and sharia mutual fund. The populations in this research are mutual funds that managed by investment management company which is managed both of sharia and conventional mutual fund in type stock mutual fund. The method of analysis used are descriptive analysis and statistic analysis. Statistic analysis using different means test which is measured by independent sample t-test. This research is a comparative research. The data used are secondary data obtained through public report in Bapepam-Lk. The result obtained with alpha (α) 5 % showed hypothesis which tests Sharpe ratio with value was not proving there is difference between conventional mutual fund performance and sharia mutual fund performance if measured by Sharpe ratio. The result obtained with alpha (α) 5 % showed hypothesis which tests Treynor ratio with value was not proving there is difference between conventional mutual fund performance and sharia mutual fund performance if measured by Treynor ratio. The result obtained with alpha (α) 5 % showed hypothesis which tests Jensen Alpha ratio with value was not proving there is difference between conventional mutual fund performance and sharia mutual fund performance if measured by Jensen Alpha ratio