Analisis kinerja reksadana saham konvensional dan syariah dengan metode sharpe, treynor, dan jensen periode 2011-2012: Studi pada PT. Bursa Efek Indonesia

INDONESIA:

Reksadana saham konvensional maupun reksadana saham syariah dapat menghasilkan tingkat pengembalian yang tinggi, dengan risiko yang tinggi pula. Hal ini dapat dilihat dari kinerja reksadana. Berdasarkan teori pasar modal beberapa metode untuk mengukur kinerja reksadana adalah Sharpe, Treynor, dan Jensen. Sehingga dapat dinilai apakah kedua jenis reksadana mampu mengalahkan kinerja pasar atau sebaliknya. Penelitian bertujuan untuk menguji apakah terdapat perbedaan antara kinerja reksadana saham konvensional dan kinerja reksadana saham syariah berdasarkan metode Sharpe, Treynor, dan Jensen.

Penelitian ini menggunakan metode deskriptif kuantitatif, dimana hasil penelitian akan dijelaskan berupa angka. Objek penelitian ini dilakukan di pojok Bursa Efek Indonesia. Pengambilan data menggunakan metode dokumentasi dan merupakan NAB bulanan dalam periode 2011-2012. Kemudian data diolah menggunakan program konputer SPSS for windows versi 17.0. Teknik analisis data yang digunakan dalam penelitian ini adalah t test independent samples test.

Hasil penelitian ini menunjukan bahwa : (1) Berdasarkan metode Sharpe diketahui bahwa nilai kinerja reksadana saham syariah lebih tinggi dibandingkan kinerja reksadana saham konvensional, berdasarkan metode Treynor diketahui bahwa nilai kinerja reksadana saham syariah lebih tinggi dibandingkan kinerja reksadana saham konvensional, sedangkan hasil berdasarkan metode Jensen diketahui bahwa nilai kinerja reksadana saham konvensional lebih tinggi dari pada kinerja reksadana saham syariah. (2) Tidak terdapat perbedaan anatara kinerja reksadana saham syariah dengan reksadana saham konvensional berdasarkan metode Treynor dan Jensen. Akan tetapi terdapat perbedaan kinerja reksadana saham konvensional dan kinerja reksadana saham syariah dinilai berdasarkan metode Sharpe. Berdasarkan hasil penelitian ini, dapat disarankan untuk penelitian selanjutnya diharapkan dapat menggunakan metode pengukuran kinerja portofolio dengan memasukkan unsur pembagian hasil (deviden), agar pengukuran kinerja lebih akurat. Selain itu, dapat menggunakan LQ 45 sebagai tolok reksadana saham konvensional.

ENGLISH:

Conventional equity funds and Islamic equity funds can generate returns high, the higher the risk. It can be seen from the performance of mutual funds. Based on the theory of capital markets several methods to measure the performance of mutual funds is the Sharpe, Treynor, and Jensen. So it can be judged whether the two types of mutual funds were able to beat the performance of the market or otherwise. The research aims to examine whether there are differences between conventional stock mutual fund performance and the performance of Islamic equity funds based method of Sharpe, Treynor, and Jensen.

This research uses descriptive quantitative methods, where the results of the research will be described in the form of numbers. Object of this study is done in a corner Indonesia Stock Exchange. Retrieval of data using a method of documentation and monthly NAV within the period 2011-2012. Then the data were processed using SPSS konputer program for windows version 17.0. Data analysis techniques used in this study was independent samples t test test.

These results indicate that: (1) Based on the method of Sharpe is known that the performance of Islamic equity funds is higher than the performance of conventional stock mutual funds, based on the method Treynor known that the performance of Islamic equity funds is higher than the performance of conventional stock mutual funds, while the results based on the method of Jensen note that the performance of a conventional mutual fund shares is higher than the performance of Islamic equity funds. (2) There were no differences between the performance of Islamic equity funds with conventional equity funds based methods Treynor and Jensen. However, there are differences in the performance of conventional stock mutual funds and the performance of Islamic equity funds assessed by the method Sharpe. Based on these results, it can be suggested for further research are expected to use the method of measuring portfolio performance by incorporating elements of revenue sharing (dividends), so that a more accurate performance measurement. Also, it can use 45 as the standard LQ conventional mutual fund shares.