Analisis kinerja portofolio optimal saham syariah dan konvensional

INDONESIA:

Evaluasi kinerja portofolio merupakan pengukuran terhadap portofolio untuk mengetahui hasil yang didapatkan telah sesuai dengan keinginan investor atau tidak. Evaluasi kinerja portofolio diperlukan agar invertor dapat mengetahui portofolio mana yang memberikan hasil yang lebih baik dan layak untuk ditanami modal. Tujuan penelitian ini adalah untuk mengetahui kinerja saham syariah dan saham konvensional serta perbedaan kinerja keduanya.

Penelitian ini menggunakan pendekatan kuantitatif. Populasi penelitian ini adalah seluruh saham indeks JII dan LQ45. Metode pengambilan sampel menggunakan purposive sampling. Dan didapatkan sampel yang digunakan untuk penelitian ini sejumlah 10 saham indeks LQ45 dan 15 saham indeks JII. Analisis data menggunakan pengukuran kinerja portofolio ada delapan metode, yaitu : indeks Sharpe, Treynor, Jensen, Different Return, Appraisal Ratio, M-Kuadrat, Sortino, dan Treynor Kuadrat serta menggunakan Independent Sample T-Test untuk menguji perbedaan kinerja saham syariah dan konvensional.

Hasil penelitian ini menunjukkan bahwa; pertama, pengukuran kinerja saham syariah dengan metode Sharpe, Jensen, Different Return, dan M2 menyatakan kinerja saham syariah baik, sedangkan menurut metode Treynor, Appraisal Ratio,Sortino dan T2 saham syariah memiliki kinerja yang tidak baik; kedua, pengukuran kinerja saham konvensional menurut metode Sharpe, Jensen, Different Return, Appraisal Ratio, Sortino dan M2 menyatakan kinerja saham konvensional baik, sedangkan menurut metode Treynor, dan T2 menyatakan kinerja saham konvensional tidak baik; ketiga, pengukuran kinerja portofolio saham yang rata-rata menyatakan nilai kinerja saham syariah lebih tinggi daripada saham konvensional. Hal ini berarti kinerja saham syariah lebih baik daripada saham konvensional, sehingga dapat dikatakan lebih menguntungkan berinvestasi pada saham syariah daripada saham konvensional.

ENGLISH:

Evaluation of portfolio performance is a portfolio measurement to find out the result obtained neither appropriate nor inappropriate with investor’s wishes. Evaluation of portfolio performance is needed in order to make the investor knows the portfolio which produces better result and proper to get fund. The purpose of this current study is to investigate the performance of Sharia and conventional stock and the differences between both performances.

This study used quantitative approach. The populations of this current study were all the indexes’ stock JII and LQ45. The sampling method used purposive sampling with ten LQ45 indexes’ stock and fifteen JII indexes’ stock. The data analysis used eight methods of measurement portfolio performance; Sharpe index, Treynor, Jensen, Different return, Appraisal Ratio, M-2, Sortino, Treynor2, and also used Independent Sample T-Test to examine the different performance of Sharia and conventional stock.

The result of this study showed that firstly, the measurement of Sharia stock used Sharpe method, Jensen, Different Return, and M2 proved that Sharia Stock performance was good. In other hand, according to Treynor method, Appraisal Ratio, Sortino, and T2 proved that Sharia stock had poor performance. Secondly, the measurement of conventional stock performance according to Sharpe method, Jensen, Different Return, Appraisal Ratio, Sortino, and M2 also proved that Sharia conventional performance was good, while used Treynor method and T2 proved that Sharia conventional performance was bad. Thirdly, the measurement of portfolio stock performance dominantly proved that the performance of Sharia stock is better than conventional stock. In conclusion, invest in Sharia stock is more profitable than conventional stock.