Sharia mutual funds performance in Indonesia
Abstract
The study aims to measure each Sharia mutual fund performance and compare with market performance in Indonesia. Sharia mutual fund investment instruments in Indonesia have positive developments over the period from 2012 to 2017. These positive developments add to the option of investment instruments for public, especially investors who put forward the principles of Sharia. This research was conducted so that the public could have scientific information about Sharia mutual funds that have the best performance. The study found consistent results regarding Sharia mutual funds with the best performance on Sharpe and Jensen measurement methods. The best performing Sharia mutual fund by using those methods was PNM Syariah, while the lowest-performing mutual fund was PNM Amanah Syariah if measured by using Sharpe Index and PNM Ekuitas Syariah if measured by using Jensen Alpha. Different results were found when Sharia mutual fund performance was measured using Treynor Ratio Information Ratio, where the best Sharia mutual fund performance was by Manulife Syariah Sectoral Amanah mutual fund while the lowest performance was by Cipta Syariah Equity mutual fund. This findings are expected to be useful for Sharia-based investors.
Keyword : Sharia mutual fund, Jensen Index, Sharpe Index, Treynor Ratio, Information Ratio
How to Cite
Robiyanto, R., Santoso, M. A., & Ernayani, R. (2019). Sharia mutual funds performance in Indonesia. Business: Theory and Practice, 20, 11-18. https://doi.org/10.3846/btp.2019.02
This work is licensed under a Creative Commons Attribution 4.0 International License.
References
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Loeis HP, Prijadi R (2015) Ambiguity towards Multiple historical performance information signals: evidence from Indonesian open-ended mutual fund investors. Indonesian Capital Market Review 7 (2): 92-101. https://doi.org/10.21002/icmr.v7i2.4846
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Sahri S, Seto AA, Syahyuni (2015) Comparative performance analysis of Sharia mutual funds in Indonesia Stock Exchange and Malaysia Exchange. International Seminar FEUM 2015 Reorienting Economics & Business in The Context of National and Global Development, 80-96.
Sharpe WF (1966) Mutual fund performance. Journal of Business 39 (1): 119-138. https://doi.org/10.1086/294846
Sukmana R, Febriyati NA (2016) Islamic banks vs conventional banks in Indonesia: an analysis on financial performances. Jurnal Pengurusan 47: 81-90. https://doi.org/10.17576/pen-gurusan-2016-47-07
Sunarsih U, Andriyanto (2015) Analysis of the performance of Islamic mutual funds in Indonesia by using Sharpe, Treynor and Jensen the Period 2010-2012. Research Journal of Finance and Accounting (6): 125-133.
Treynor JL (1965) How to rate management of investment funds. Harvard Business Review 43 (1): 63-75.
Triyono D, Robiyanto R (2017) The effect of foreign stock indexes and Indonesia’s macroeconomics variables toward Jakarta Composite Stock Price Index (JCI). Advanced Science Letters 23 (8): 7211-7214. https://doi.org/10.1166/asl.2017.9332
Wahyudi S, Nofendi D, Robiyanto R, Hersugondo H (2018) Factors affecting return on deposit (ROD) of Sharia banks in Indonesia. Business: Theory and Practice 19: 166-176. https://doi.org/10.3846/btp.2018.17
Waridah W, Mediawati E (2016). Analisis Kinerja Reksadana Syariah. Riset Akuntansi dan Keuangan (4): 1077-1086.
Zulkafli AH, Ahmad ZMEE (2017) The Performance of socially responsible investments in Indonesia: a study of the Sri Kehati Index (SKI). Gadjah Mada International Journal of Business 19 (1): 59-76. https://doi.org/10.22146/gamaijb.17959
Andi D, Kartini D (September 25, 2017) Bunga turun, reksadana pendapatan tetap untung http://investasi.kontan.co.id/news/bunga-turun-reksadana-pendapatan-tetap-untung
Arifin Z (2017) Testing for persistence in Sharia mutual fund performance in Indonesia. Review of Integrative Business and Economics Research7 (1): 104-115.
Beer FM, Estes JP, Munte HJ (2011) The performance of faith and ethical investment products: an empirical investigation of the last decade. Journal of the Academy of Business and Economics 30: 101-124.
BI (2018) BI Rate http://www.bi.go.id/id/moneter/bi-rate/data/Default.aspx
Brandi JT (2002) Sharpe/Treynor performance attribution model: a practitioner’s approach to using the Sharpe and Treynor reward to risk ratios. Journal of Pension Planning and Com-pliance28 (2): 1-22.
Ferruz L, Gómez-Bezares F, Vargas M (2010) Portfolio theory, CAPM and performance measures. In: Lee C-F, Lee A, Lee J (Eds). Handbook of Quantitative Finance and Risk Management. Springer US, 267-281. https://doi.org/10.1007/978-0-387-77117-5_17
Hilman L (2017) Performance of Sharia equity funds and conventional equity funds, which one is better? Paper presented at the The 3rd International Conference on Economics & Banking 2017 (3rd ICEB).
Ismal R (2009) Model of Islamic monetary operation for liquidity management in Islamic banking: case of Indonesia 2000–2009. Gadjah Mada International Journal of Business11 (2): 149-165. https://doi.org/10.22146/gamaijb.5528
Jensen MC (1967) The performance of mutual funds in the period 1945–1964. Journal of Finance 23 (2): 389-416. https://doi.org/10.1111/j.1540-6261.1968.tb00815.x
Kidd D (2011a) Measures of risk-adjusted return: let’s not forget Treynor and Jensen. Investment Performance Measurement Feature Articles(1).
Kidd D (2011b) The sharpe ratio and the information ratio. In-vestment Performance Measurement Feature Articles1: 1-4.
Kontan (2017) Nilai Aktiva Bersih [Net Asset Value] https://pusatdata.kontan.co.id/reksadana/
Lakaba A, Robiyanto R (2018) Evaluasi kinerja saham bertanggungjawab sosial (Studi pada saham-saham yang masuk perhitungan indeks SRI-Kehati). Jurnal Organisasi Dan Manajemen 14 (2): 94-106.
Lestari WR (2015) Kinerja Reksadana Saham Syariah dan Reksadana Saham Konvensional. Jurnal Magister Manajemen 1: 116-128.
Loeis HP, Prijadi R (2015) Ambiguity towards Multiple historical performance information signals: evidence from Indonesian open-ended mutual fund investors. Indonesian Capital Market Review 7 (2): 92-101. https://doi.org/10.21002/icmr.v7i2.4846
Markowitz HM (1952) Portfolio selection. Journal of Finance 7 (1): 77-91.
Markowitz HM (1959) Portfolio selection: efficient diversification of investments. New York: John Wiley & Sons, Inc.
Nadifa A (2016) Analisis Kinerja Reksa Dana Saham Dengan Menggunakan Metode Sharpe, Treynor, Jensen dan Information Ratio. Jurnal Universitas Islam Indonesia.
OJK, FS. A (2017a) Statistik Pasar Modal 2016 (Capital Market Statistics 2016). In F. S. A. OJK (Ed.). Jakarta, Indonesia.
OJK, FSA (2017b) Statistik Pasar Modal 2017 (Capital Market Statistics 2017). In FSA OJK (Ed). Jakarta, Indonesia.
Pangestuti IRD, Wahyudi S, Robiyanto R (2017) Performance Evaluation of equity mutual funds in Indonesia period of 2012-2014. Jurnal Keuangan dan Perbankan 21 (4): 527-542.
Pilotte EA, Sterbenz FP (2006) Sharpe and Treynor Ratios on Treasury Bonds. Journal of Business 79 (1): 149-180. https://doi.org/10.1086/497409
Pratomo EP, Nugraha U (2009) Reksa Dana: Solusi Perencanaan Investasi di Era Modern. Jakarta: Gramedia Pustaka Utama.
Qomariah N, Sari MI, Budiarti DA (2016) Perbandingan Kinerja Reksadana Syariah dan Reksadana Konvensional (Pada Reksadana Saham dan Reksadana Pendapatan Tetap Yang Terdaftar di BEI Periode 2010-2014). Jurnal Keuangan dan Perbankan 20 (3): 417-427.
Robiyanto R (2017) Performance evaluation and risk aversion rate for several stock indices in Indonesia Stock Exchange. Jurnal Manajemen dan Kewirausahaan 19 (1): 60-64. https://doi.org/10.9744/jmk.19.1.60-64
Robiyanto R (2018) Performance evaluation of stock price indexes in the Indonesia Stock Exchange. International Research Journal of Business Studies 10 (3): 173-182. https://doi.org/10.21632/irjbs.10.3.173-182
Robiyanto R, Wahyudi S, Pangestuti IRD (2017) The volatility – variability hypotheses testing and hedging effectiveness of precious metals for the Indonesian and Malaysian capital markets. Gadjah Mada International Journal of Business 19 (2): 167-192. https://doi.org/10.22146/gamaijb.26260
Sahri S, Seto AA, Syahyuni (2015) Comparative performance analysis of Sharia mutual funds in Indonesia Stock Exchange and Malaysia Exchange. International Seminar FEUM 2015 Reorienting Economics & Business in The Context of National and Global Development, 80-96.
Sharpe WF (1966) Mutual fund performance. Journal of Business 39 (1): 119-138. https://doi.org/10.1086/294846
Sukmana R, Febriyati NA (2016) Islamic banks vs conventional banks in Indonesia: an analysis on financial performances. Jurnal Pengurusan 47: 81-90. https://doi.org/10.17576/pen-gurusan-2016-47-07
Sunarsih U, Andriyanto (2015) Analysis of the performance of Islamic mutual funds in Indonesia by using Sharpe, Treynor and Jensen the Period 2010-2012. Research Journal of Finance and Accounting (6): 125-133.
Treynor JL (1965) How to rate management of investment funds. Harvard Business Review 43 (1): 63-75.
Triyono D, Robiyanto R (2017) The effect of foreign stock indexes and Indonesia’s macroeconomics variables toward Jakarta Composite Stock Price Index (JCI). Advanced Science Letters 23 (8): 7211-7214. https://doi.org/10.1166/asl.2017.9332
Wahyudi S, Nofendi D, Robiyanto R, Hersugondo H (2018) Factors affecting return on deposit (ROD) of Sharia banks in Indonesia. Business: Theory and Practice 19: 166-176. https://doi.org/10.3846/btp.2018.17
Waridah W, Mediawati E (2016). Analisis Kinerja Reksadana Syariah. Riset Akuntansi dan Keuangan (4): 1077-1086.
Zulkafli AH, Ahmad ZMEE (2017) The Performance of socially responsible investments in Indonesia: a study of the Sri Kehati Index (SKI). Gadjah Mada International Journal of Business 19 (1): 59-76. https://doi.org/10.22146/gamaijb.17959