Analisis Perbandingan Risiko dan Tingkat Pengembalian Reksadana Syariah dan Reksadana Konvensional (Comparison of Risk and Level of Returns of Conventional Sharia and Consequences)

Journal of Accounting Fakultas Ekonomi Universitas Bangka Belitung, 2014

18 Pages Posted: 1 Jul 2019

See all articles by Abdul Gani Yazir

Abdul Gani Yazir

affiliation not provided to SSRN

Suhardi

Sekolah Tinggi Ilmu Ekonomi Pertiba Pangkalpinang

Date Written: April 10, 2014

Abstract

Indonesian Abstract: Penelitian ini bertujuan untuk mengetahui perhitungan risiko dan tingkat pengembalian PNM Amanah Syariah dan PNM Dana Sejahtera II dan untuk memberikan bukti empiris bahwa ada antara kinerja reksa dana syariah dan indeks syariah (indeks JII), antara kinerja reksa dana konvensional dan indeks konvensional indeks LQ45), dan juga antara kinerja reksa dana syariah dan reksa dana konvensional. Ini menggunakan metode deskriptif dengan studi banding dan menggunakan analisis statistik seperti independent sample t-test, paired sample t-test, dan analisis regresi sederhana untuk menguji hipotesis. Data dalam bentuk nilai aset bersih per unit partisipasi (NAV / unit), Indeks Harga Saham Gabungan (IHSG), Indeks Islam Jakarta (JII), Indeks LQ45 harian, suku bunga Sertifikat Bank Indonesia (SBI), dan Sertifikat Wadiah Bank Indonesia (SWBI) atau Sertifikat Bank Indonesia syariah (SBIS). Hasil hipotesis pertama menunjukkan bahwa dari tahun 2008 hingga 2010 rata-rata pengembalian reksa dana syariah dan indeks syariah JII identik atau serupa, tetapi rata-rata risiko variabel-variabel tersebut adalah sebaliknya. Hipotesis kedua menghasilkan bahwa dari tahun 2008 hingga 2010, pengembalian rata-rata reksa dana konvensional dan indeks LQ45 konvensional identik atau serupa, tetapi risiko rata-rata reksa dana konvensional dan indeks LQ45 konvensional adalah sebaliknya. Sementara hasil hipotesis ketiga dari 2008 hingga 2010 rata-rata pengembalian dan risiko reksa dana syariah dan reksa dana konvensional identik atau serupa kecuali pada tahun 2010, rata-rata risiko variabel tidak identik atau serupa. Berdasarkan angka indeks Sharpe, indeks Treynor, dan Indeks Jensen, hipotesis ketiga menunjukkan bahwa kinerja reksa dana syariah lebih baik daripada kinerja reksa dana konvensional. Kemudian, melalui model Jensen hipotesis ini juga menghasilkan kinerja reksa dana syariah lebih baik daripada kinerja pasar dan reksa dana konvensional sehingga dapat disimpulkan semakin tinggi kelebihan pengembalian pasar, semakin tinggi kelebihan pengembalian reksa dana portofolio dan sebaliknya, dengan mengasumsikan variabel lainnya konstan.

English Abstract: This study aims to determine risk calculation and rate of return PNM Amanah Sharia and PNM Dana Sejahtera II, and to provide empirical evidence that there are between the performance of sharia mutual fund and sharia index (JII index), between the performance of conventional mutual fund and conventional index LQ45 index), and also between the performance of sharia mutual fund and conventional mutual fund. It applies descriptive method with the comparative study and uses statistical analysis such as independent sample t-test, paired sample t-test, and simple regression analysis to test the hypotheses. Data is in the form of net asset value per unit of participation (NAV/unit), Combined Stock Price Index (IHSG), Jakarta Islamic Index (JII), daily LQ45 Index, the interest rate of Bank Indonesia Certificates (SBI), and Wadiah Certificate of Bank Indonesia (SWBI) or Certificate of Bank Indonesia sharia (SBIS). The results of the first hypothesis show that from 2008 to 2010 the average of return of sharia mutual fund and JII sharia index is identical or similar, but the average of the risk of those variables is vice versa. The second hypothesis yields that from 2008 to 2010 the average return of the conventional mutual fund and conventional LQ45 index is identical or similar, but the average risk of conventional mutual fund and conventional LQ45 index is vice versa. While the third hypothesis results from 2008 to 2010 the average of return and risk of sharia mutual fund and conventional mutual fund are identical or similar except in 2010, the average of the risk of the variables is not identical or similar. Based on Sharpe index figures, Treynor index, and Jensen Index, the third hypothesis indicates that the performance of sharia mutual fund is better than the performance of the conventional mutual fund. Then, through the Jensen model this hypothesis also yields the performance of sharia mutual fund is better than the market performance and the conventional mutual fund so that it can be concluded the higher the excess of market return, the higher the excess of return of mutual fund portfolio and vice versa, by assuming the other variables are constant.

Note: Downloadable document is in Indonesian.

Keywords: sharia Mutual Fund, Conventional Mutual Fund, sharia Index (JII Index), Conventional Index (LQ45 Index)

JEL Classification: G00

Suggested Citation

Yazir, Abdul Gani and Suhardi, Suhardi, Analisis Perbandingan Risiko dan Tingkat Pengembalian Reksadana Syariah dan Reksadana Konvensional (Comparison of Risk and Level of Returns of Conventional Sharia and Consequences) (April 10, 2014). Journal of Accounting Fakultas Ekonomi Universitas Bangka Belitung, 2014, Available at SSRN: https://ssrn.com/abstract=3369311 or http://dx.doi.org/10.2139/ssrn.3369311

Abdul Gani Yazir

affiliation not provided to SSRN

Suhardi Suhardi (Contact Author)

Sekolah Tinggi Ilmu Ekonomi Pertiba Pangkalpinang ( email )

Jl. Adyaksa No 9 Pangkalpinang
Pangkalpinang, Bangka Belitung 33000
Indonesia

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