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

Widiyanti, Marlina and Adam, Muhammad and Ismail, Abdul Ghafar (2013) Evaluation of Syariah Mutual Fund Performance: Empirical Study in The Indonesia Stock Exchange. PROCEEDINGS OF THE MALAYSIAN NATIONAL ECONOMICS CONFERENCE 2012, 1. pp. 531-541. ISSN 2231-962X

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    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.

    Item Type: Article
    Uncontrolled Keywords: Mutual fund syariah, mutual fund conventional, market share, benchmark
    Subjects: H Social Sciences > HB Economic Theory
    H Social Sciences > HJ Public Finance
    Divisions: Faculty of Economics > Department of Management
    Depositing User: Muchtar Indana
    Date Deposited: 05 Mar 2014 13:31
    Last Modified: 05 Mar 2014 13:31
    URI: http://eprints.unsri.ac.id/id/eprint/3499

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