Comparative performance of islamic versus conventional mutual funds in Indonesia capital market

SETIAWAN, Aris Widi, Marwan Asri S.W., Prof., Dr., MBA

2008 | Tesis | S2 Magister Manajemen

Penelitian ini bertujuan untuk mengetahui perbandingan kinerja dari reksadana shari’ah dengan reksadana konvensional (non-shari’ah) di dalam pasar modal Indonesia. Sampel dalam penelitian ini menggunakan 10 reksadana shari’ah dan 10 reksadana conventional selama periode 1 Januari 2007 sampai dengan 31 Desember 2007 yang terbagi dalam 3 kategori reksadana (pendapatan tetap, saham, dan pendapatan campuran). Analisis kinerja dalam penelitian ini menggunakan metode Sharpe ratio. Bunga deposito 1 bulan Suku Bunga Indonesia (SBI) digunakan sebagai Conventional riskfree asset dan bonus deposito 1 bulan Suku Bunga Wadiah Indonesia (SBWI) digunakan sebagai Islamic risk-free asset. Indpendent Sample T-Test digunakan sebagai uji statistik untuk membandingkan performa kedua jenis reksadana. Terdapat tiga hipotesis dalam penelitian ini, yakni: (1) tidak terdapat perbedaan yang signifikan antara kinerja reksadana shari’ah pendapatan tetap dan reksadana konvensional pendapatan tetap, (2) tidak terdapat perbedaan yang signifikan antara kinerja reksadana shari’ah saham dan reksadana konvensional saham, (3) tidak terdapat perbedaan yang signifikan antara kinerja reksadana shari’ah pendapatan campuran dan reksadana reksadana konvensional pendapatan campuran. Berdasarkan evaluasi kinerja menggunakan Sharpe ratio, reksadana shari’ah memperlihatkan hasil terbaik dalam semua kategori reksadana baik pendapatan tetap, saham maupun pendapatan campuran. Tetapi hasil pengujian secara statistik (Independent sample T-Test) menunjukkan bahwa reksadana shari’ah saham dan reksadana shari’ah campuran tidak menunjukkan perbedaan kinerja yang signifikan dengan reksadana konvensional. Di sisi lain, hanya reksadana shari’ah pendapatan tetap yang menunjukkan perbedaan kinerja yang signifikan dengan reksadana konvensional. Secara keseluruhan, penelitian ini menunjukkan bahwa investor dapat menjadikan reksadana shari’ah sebagai pertimbangan utama dalam pemilihan portfolio, khususnya ketika mereka berinvestasi pada perusahaan jasa finansial yang menawarkan dua produk reksadana; reksadana shari’ah dan reksadana konvensional.

This research is aimed to compare the performance of Islamic versus Conventional (non-Shari’ah) mutual fund in Indonesia capital market. This research compares Islamic and Conventional mutual funds performance for the period of 1 January 2007 to 31 December 2007 covering 10 Islamic mutual funds and 10 Conventional mutual funds in 3 categories mutual funds (Fixed Income, Equity, and Balanced mutual funds). Mutual fund’s performance analysis of this research is using Sharpe ratio. The one-month rate of Bank Indonesia Certificate (SBI) is used in this research as the conventional risk-free asset and one-month rate of Bank Indonesia Wadiah Certificate (SBWI) as the Islamic risk-free asset. The Independent Sample T-Test statistical test is also used in this research to test the performance differences between Islamic and Conventional Mutual funds. There are three hypotheses in this research: (1) There is no difference in the performance for Islamic fixed mutual fund and conventional fixed mutual fund, (2) There is no difference in the performance for Islamic equity mutual fund and conventional equity mutual fund, (3) There is no difference in the performance for Islamic mixed mutual fund and conventional mixed mutual fund Based on the performance evaluation (Sharpe ratio), the Islamic Fund shows the best performance among all categories of funds (Fixed Income, Equity, and Balanced mutual funds). Meanwhile, in statistics test there is un-consistent result with the performance fund evaluation. The Independent sample T-test shows two of three fund categories (equity and mixed income) reveals that there are no statistically significant difference exists in the performance of Islamic fund compared to conventional fund. Therefore, only one fund categories (fixed income) is statistically significant differences among the performance of Islamic fund versus conventional fund. Therefore, the major conclusion of this paper is that potential investors can consider Islamic mutual funds in their portfolio collection, especially when they invest in the investment company that offering both Islamic and conventional funds.

Kata Kunci : Reksadana Shari'ah,Analisis kinerja,Independent sample T,test, Shari’ah Mutual Fund, Coventional Mutual Fund, Performance analysis, Independent sample T-test