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Faculty Research

ANALISIS KEUNGGULAN REKSA DANA SYARIAH DI INDONESIA

Detail
Author ISTUTIK (Tim: Ketua)
ID 202.710.153
Published Date 28-02-2012

Abstract

Measuring the performance of portfolio not only can be seen from the return but also have to consider the risks to be borne by investors. There are 4 methods that can be used to measure the performance of portfolio such as an index method of Treynor, Sharpe, Jensen, and Treynor & Black. The measurement can be classified by using two indexes such as Single Benchmark Index (JCI) and the Multiple Benchmark Indexes (JCI and JII).In this case the researcher conducted an analysis on the financial data contained in the PT. Mandiri Managemen Investasi, PT. Tri Megah Asset Management, and PT. Mega Capital Indonesia. During the study, Syariah Composite Mutual Fund produced return level of Treynor index -0.077576, Sharpe index -1.748315, Jensen index -0.021194, Treynor & Black 1 index -0.445153, Treynor & Black 2 index -139.852141 based on multiple benchmark indexes. Single benchmark index for SyariahComposite Mutual Fund producedreturn of Treynor index - 0.082601, Sharpe index - 1.748315, Jensen index of - 0.023638, Treynor & Black 1 index -0.584421, index Treynor & Black 2 -309.249673. The results of the Conventional Composite Mutual Fund with multiple benchmark indexes and a single benchmark index is the samebecause the benchmark of JCIis used as general market in Indonesia. Return level with the resulting risk adjustment Conventional Composite Mutual Fund methods for the Treynor index -0.089003, Sharpe index -1.998120, Jensen index -0.026496, Treynor & Black 1 index -0.655076, and Treynor & Black 2 index -163.955324. Keywords: Rate of Return,Risk, Performance, Islamic Mutual Fund