Analysis of Sharia and Conventional Mutual Funds Performances Using Reward to Variability, Reward to Volatility, Reward to Market Risk and Reward to Diversification Methods

MUHAMMAD KAMIL, Prof. Dr. Jogiyanto Hartono, MBA.

2014 | Tesis | S2 Manajemen

Penelitian ini bertujuan untuk menganalisis kinerja reksa dana syariah dan konvensional. Jenis reksa dana yang digunakan adalah reksa dana saham dan reksa dana pendapatan tetap. Evaluasi dilakukan dengan perhitungan return sesuai-risiko (risk-adjusted return), yaitu Reward to Variability (RVAR), Reward to Volatility (RVOL), Reward to Market Risk (RMAR), and Reward to Diversification (RDIV). Sampel yang digunakan pada penelitian ini terdiri darih 44 reksa dana saham dan 58 reksa dana pendapatan tetap. Pada reksa dana saham, sampel yang digunakan terdiri dari 7 reksa dana saham syariah dan 37 reksa dana saham konvensional. Pada reksa dana pendapatan tetap, sampel yang digunakan terdiri dari 7 reksa dana pendapatan tetap syariah dan 51 reksa dana pendapatan tetap konvensional. Hasil penelitian menunjukkan bahwa pada reksa dana saham, dari empat metode hanya satu metode (Reward to Diversification) yang menunjukkan hasil bahwa antara reksa dana saham syariah dan reksa dana saham konventional terdapat yang signifikan, dan reksa dana saham konvensional terdifersifikasi lebih baik dibandingkan reksa dana saham syariah. Tiga metode lainnya menunjukkan bahwa reksa dana saham syariah dan konvensional tidak berbeda secara signifikan yang ditunjukkan oleh signifikansi asimtot (satu-arah) lebih besar dari  = 0,05. Pada reksa dana pendapatan tetap, dari empat metode secara keseluruhan menunjukkan bahwa nilai probabilitas yang ditunjukkan oleh signifikansi asimtot (satu-arah) lebih besar dari nilai  = 0,05. Dari hasil ini dapat disimpulkan bahwa kinerja reksa dana pendapatan tetap syariah dan reksa dana pendapatan tetap konvensional adalah sama atau tidak berbeda secara signifikan, atau kedua reksa dana baik syariah maupun konvensional memiliki kenerja yang sama baiknya.

This study aims to analyze the performance of mutual funds both sharia and conventional. Types of mutual fund that are used are equity mutual funds and fixed income mutual fund. The evaluation was done on the bases of risk and return adjusted performance (risk-adjusted return), that are Reward to Variability (RVAR), Reward to Volatility (RVOL), Reward to Market Risk (RMAR), and Reward to Diversification (RDIV). The sample taken in this study consisted of 44 equity mutual funds and 58 fixed income mutual funds. In equity mutual funds, the sample consisted of 7 equity sharia mutual funds and 37 equity conventional mutual funds, and in fixed income mutual funds, the sample consisted of 7 sharia mutual funds and 51 conventional mutual funds. The results indicated that in equity mutual funds, from four measures only one measure (Reward to Diversification) that result showed that both equity sharia and conventional mutual funds there are different significantly and equity conventional mutual funds well diversified in comparison with equity sharia mutual funds. The rest three measure showed that equity sharia mutual funds are not differ significantly to equity conventional mutual funds shown from asymptote significance (one-tailed) is greater than  = 0.05. In fixed income mutual funds, from four measures, overall showed that the probability value is seen from the asymptote significance (one-tailed) value is greater than  = 0.05. From this results conclude that the performance of fixed income sharia and conventional mutual funds are same or did not differ significantly, or both fixed income mutual funds have equally well performances.

Kata Kunci : Reksadana Syariah, Reksadana Konventional, Reward to Variability, Reward to Volatility, Reward to Market risk, Reward to Diversification