GDL

Comparison Analysis of The Performance of The Conventional Equity Mutual Funds with The Performance of Sharia Equity Mutual Funds During The COVID-19 Pandemic in Indonesia

Tugas Akhir, 014 / 2021 / ABS
Undergraduate Theses from JBPTPPOLBAN / 2023-04-18 12:32:44
Oleh : Ivo Agesti Dwiyanti - 185211013 (ivo.agesti.abs18@polban.ac.id)
Dibuat : 2023-04-18, dengan 4 file

Keyword : Jensen Alpha, Kinerja, Reksa Dana Saham, Return, Sharpe Ratio, Trynor Ratio
Subjek : Equity Mutual Funds, Jensen Alpha, Performance, Return, Sharpe Ratio, Trynor Ratio

Tujuan studi ini membandingkan kinerja dari reksa dana jenis saham konvensional dengan reksa dana jenis saham syariah pada masa pandemi COVID-19 (Corona Disease 2019) di Indonesia berdasarkan return, Sharpe Ratio dan Treynor Ratio serta Jensen Alpha. Benchmark yang digunakan dalam pengukuran kinerja adalah IHSG (Indeks Harga Saham Gabungan) serta ISSI (Indeks Saham Syariah Indonesia). Pembahasan dan analisis penelitian ini diselesaikan secara deskriptif dan analitik. Populasi studi ini ialah produk dari reksa dana jenis saham konvensional dan reksa dana jenis saham syariah dengan denominasi Rupiah yang terdaftar pada OJK (Otoritas Jasa Keuangan) serta aktif selama Maret 2020 hingga Juni 2021. Dari populasi tersebut data yang diperoleh Nilai Aktiva Bersih dan Unit Penyertaan dari laman resmi OJK. Teknik pengambilan sampel adalah insidental sampling (secara kebetulan ditemukan dan sesuai dengan sumber data yang tersedia untuk kebutuhan dalam penelitian ini). Ukuran sampel yang diperoleh ialah 229 produk reksa dana jenis saham konvensional serta 46 produk reksa dana jenis saham syariah berlandaskan pada informasi Nilai Aktiva Bersih serta Unit Penyertaan yang lengkap di halaman resmi OJK. Pengolahan data dengan bantuan software Microsoft Excel dan SPSS (Statistical Product and Service Solutions). Secara analisis deskriptif pada masa pandemi COVID- 19, rata- rata kinerja return, Sharpe Ratio dan Treynor Ratio serta Jensen Alpha reksa dana jenis saham konvensional secara berurutan sebesar 18,57%,- 0,162, 0,024 serta- 0, 644. Disisi lain rata- rata kinerja dari reksa dana jenis saham syariah di masa pandemi COVID- 19 berdasarkan return, Sharpe Ratio, dan Treynor Ratio serta Jensen Alpha secara berurutan sebesar 22,88%,- 0,750, 0,156 serta- 0,389. Secara analisis analitik tidak ditemukan perbedaan yang berarti antara kinerja dari reksa dana jenis saham konvensional dengan reksa dana jenis saham syariah berdasarkan return, Sharpe Ratio dan Treynor Ratio serta Jensen Alpha pada masa pandemi COVID-19 di Indonesia.

Deskripsi Alternatif :

The objective of this study is to compare the performance of conventional equity mutual funds with the performance of sharia equity mutual funds during the pandemic Corona Disease 2019 (COVID-19) in Indonesia based on returns, Sharpe Ratio, Treynor Ratio and Jensen Alpha. The benchmarks used in measuring performance are the ICI (Indonesia Composite Index) and ISSI (Indonesia Sharia Stock Index). The discussion and analysis of this research are completed descriptively and analytically. The population of this study is the product of conventional equity mutual funds and sharia equity mutual funds with Rupiah denomination registered with the FSA (Financial Services Authority) and active during March 2020 to June 2021. From this population the data obtained are Net Asset Value and Units of Participation from the FSA official website. The sampling technique is incidental sampling (found by chance and in accordance with available data sources for the needs of this study). The sample size obtained is 229 conventional equity mutual fund products and 46 sharia equity mutual fund products based on the complete Net Asset Value and Participation Unit information on the FSA official page. Data processing with the help of Microsoft Excelsoftware and SPSS (Statistical Product and Service Solutions). In descriptive analysis during the COVID-19 pandemic, the average performance return, Sharpe Ratio, Treynor Ratio and Jensen Alpha conventional equity mutual funds is 18.57%, - 0.162, 0.024 and - 0.644. On the other hand, the average performance of sharia equity mutual funds during the COVID-19 pandemic based on returns, Sharpe Ratio, Treynor Ratio and Jensen Alpha respectively, is 22.88%, - 0.750, 0.156 and - 0.389. Analytical analysis found no significant difference between the performance of conventional equity mutual funds and sharia equity mutual funds based on returns, Sharpe Ratio, Treynor Ratio and Jensen Alpha during the COVID-19 pandemic in Indonesia.

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