Evaluation of Syariah Mutual Fund Performance: Empirical Study in The Indonesia Stock Exchange

Widiyanti, Marlina and Adam, Mohamad and Ismail, Abdul Gafar (2013) Evaluation of Syariah Mutual Fund Performance: Empirical Study in The Indonesia Stock Exchange. PROSIDING / PROCEEDINGS OF PERSIDANGAN KEBANGSAAN EKONOMI MALAYSIA (PERKEM) THE MALAYSIAN NATIONAL ECONOMIC CONFERENCE, 1 . PUSAT PENGAJIAN EKONOMI FAKULTI EKONOMI DAN PENGURUSAN UKM 43600 UKM BANGI, Selangor D.E, Malaysia, Malaysia. ISBN 2231-962X

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      Official URL: http://www.ukm.my/fep

      Abstract

      Focusing of this study is portfolio evaluate its performance evaluation of mutual fund performance (portfolio) are specifically just measure of return and risk of portfolio investment (funds) in indonesia stock exchange period of 2005 until 2011. The sample choosing based on method purposive sampling with seven stock fund industry as samples than 16 stock fund syariah existing mutual fund shares and 14 conventional. According to Fabozzi (1995) baseline performance can be conducted by way of comparing benchmark (Yardstick) or comparable rate of return and risk each funds and using performance indicators by Sharpe, Treynor, and Jensen. Benchmark in performance evaluation should really represent portfolio investment policy of portfolio, and according to purpose resurfacing than investment (Sharpe, et al.1999). Benchmark based on heaviness using capitalization all shares so that it becomes yardstick performance all share. Results found in January 2005 until December 2011 average rate of return and risk a mutual fund shares conventional higher than the rate of return and market risk (IHSG). We find is mutual fund shares 9 % average return of conventional produce lower than the market (IHSG). Mutual fund shares 6 % of conventional risk average yields lower than market risk. Value of market risk resulting 0.07273. While average rate of return and risk a mutual fund shares syariah lower than the rate of return and market risk (JII). Fund stock average return syariah produce lower return than the market. While market value return generated by 0.01682. 38 % average risk that produces higher risk than the market (JII).Value of market risk resulting 0.07768. Keywords: Mutual fund syariah, mutual fund conventional, market share, benchmark.

      Item Type: Book
      Subjects: H Social Sciences > HG Finance
      Divisions: Faculty of Economics > Department of Management
      Depositing User: Mohamad Adam
      Date Deposited: 05 Dec 2013 11:45
      Last Modified: 05 Dec 2013 11:45
      URI: http://eprints.unsri.ac.id/id/eprint/3142

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