PERFORMANCE ANALYSIS OF SHARIA AND CONVENTIONAL MUTUAL FUNDS DURING 2008 AND 2013 CRISIS PERIODS

AMBANG ARIES YUDANTO, Dr. Sumiyana, M.Si

2015 | Tesis | S2 Manajemen

Penelitian ini bertujuan untuk menganalisis kinerja syariah dan reksa dana konvensional, khususnya reksa dana saham, di Indonesia selama periode krisis 2008 dan 2013. Dalam periode krisis 2008, kumpulan data terdiri dari reksa dana 51 saham yang 4 adalah reksa dana syariah sementara 47 orang lain yang reksa dana konvensional. Selain itu, dalam periode krisis 2013, kumpulan data terdiri dari reksa dana 110 ekuitas dimana 12 adalah reksa dana syariah sementara 98 orang lain yang reksa dana konvensional. Untuk mengukur kinerja reksa dana, ketiga metode yang digunakan, yaitu Sharpe, Treynor, dan metode alpha Jensen. Selanjutnya, untuk menguji apakah ada perbedaan kinerja antara kedua jenis reksa dana, penulis menggunakan uji Mann-Whitney U. Hasil penelitian menunjukkan bahwa pada periode krisis 2008, seluruh sampel dapat benar-benar menahan dari krisis. Sebagai perbandingan, umumnya reksa dana saham konvensional berhasil memberikan kinerja yang lebih baik daripada reksa dana saham syariah. Selain itu, tidak ada perbedaan kinerja antara syariah dan reksa dana saham konvensional. Sementara itu, pada periode krisis 2013 menunjukkan hasil yang lebih beragam. Sebagai perbandingan, umumnya reksa dana saham syariah berhasil mengembangkan kinerjanya selama periode ini krisis tertentu dibandingkan dengan periode sebelumnya. Rupanya, ada perbedaan kinerja antara kedua jenis reksa dana dalam krisis 2013.

This research has a purpose to analyze the performance of sharia and conventional mutual funds, particularly equity mutual funds, in Indonesia during 2008 and 2013 crisis period. Within 2008 crisis period, the data set comprised of 51 equity mutual funds in which 4 were sharia mutual funds while 47 others were conventional mutual funds. Moreover, within 2013 crisis period, the data set comprised of 110 equity mutual funds in which 12 were sharia mutual funds while 98 others were conventional mutual funds. To measure the mutual funds performance, three methods were used, which are Sharpe, Treynor, and Jensen alpha methods. Furthermore, to test whether there is any performance difference between those two types of mutual funds, the author used Mann-Whitney U test. The results indicated that in the 2008 crisis period, the entire samples cannot really withstand from the crisis. In comparison, generally the conventional equity mutual funds managed to give a better performance than the sharia equity mutual funds. Moreover, there is no performance difference between sharia and conventional equity mutual funds. Meanwhile, in the 2013 crisis period showed a more diverse result. In comparison, generally the sharia equity mutual funds managed to develop its performance during this particular crisis period compare to the previous period. Apparently, there was a performance difference between those two types of mutual funds in the 2013 crisis.

Kata Kunci : Syariah reksadana, reksadana konvensional, ukuran Sharpe, Treynor mengukur, Jensen alpha.