Open AccessPENGUKURAN KINERJA REKSA DANA PADA REKSA DANA SYARIAH DAN REKSA DANA KONVENSIONAL DI INDONESIA PERIODE 2008 – 2018
Author(s) -
Zulfiyah Azmi,
Bayu Arie Fianto
Publication year - 2020
Publication title -
jurnal ekonomi syariah teori dan terapan
Language(s) - English
Resource type - Journals
eISSN - 2502-1508
pISSN - 2407-1935
DOI - 10.20473/vol6iss20199pp1851-1861
Subject(s) - treynor ratio , sharpe ratio , information ratio , econometrics , economics , stock market index , mathematics , statistics , actuarial science , financial economics , portfolio , stock market , paleontology , horse , biology
This research measured and compared the performance between Islamic mutual funds and conventional mutual funds using Sharpe Ratio, Treynor Index, Jensen Alpha, Modigliani Measure, Appraisal Ratio, and Adjusted Sharpe Ratio. This research used quantitative approach with panel data that was measured by using different test and it aimed to find out the comparation of the samples. This research used Net Asset Value (NAV), Joint Stock Price Index, BI Rate to find out return and risk that will be implemented on the measured methods. The results of the research based on T-test are that there is no significant difference of performance between Islamic mutual funds and conventional mutual funds, except the Appraisal Ratio method that shows the difference on Islamic mutual funds that has a better performance.Keywords: Sharpe Ratio, Treynor Index, Jensen Alpha, Modigliani Measure, Appraisal Ratio, Adjusted Sharpe Ratio