PERBANDINGAN KINERJA

REKSA DANA SYARIAH DENGAN REKSA DANA KONVENSIONAL

Cahyaningsih

Alumni Program Magister Akuntansi Fakultas Ekonomi Universitas Sebelas Maret

Eko Suwardi

Universitas Gadjah Mada

Doddy Setiawan

Universitas Sebelas Maret

PERBANDINGAN KINERJA

REKSA DANA SYARIAH DENGAN REKSA DANA KONVENSIONAL

ABSTRAK

The objective of this research is to evaluate the balanced shariah mutual fund performance compared with the balanced conventional mutual fund performance during the bull market of 2004-2006. Mutual fund performance can be measured by using Jensen Index, Sharpe Index, Treynor Index, MM Index, and TT Index. The information about security selection and market timing ability can be measured by using Henriksson-Merton Model and Treynor-Mazuy Model. The statistic methods used to test hypothesis are one sample t-test, independent sample t-test, simple regression analysis, and multiple regression analysis. Finally, the results show that the conventional mutual funds have been able to outperform the shariah mutual funds. This underperform of shariah mutual fund performance can be happened because portofolio managers do not have superiority skills in security selection and market timing and also the differences of each mutual fund attributes. Based pn the investigation of the data that is ot significant it indicates implication that investors and potential investors have the option to switch between these shariah mutual funds and conventional mutual funds depending on the market conditions and their personal preferences.

Keywords: shariah mutual funds, conventional mutual funds

Contact Person 1) ch_ningsih@yahoo.co.id