Analisis Perbandingan Kinerja Reksadana Konvensional dengan Reksadana Syariah Berdasarkan Risk and Return

Abstract

The purpose of this study is to examine whether there is a difference between the performance of conventional mutual funds and Islamic mutual funds as measured using the Sharpe, Treynor, and Jensen methods. This research is a quantitative study that uses secondary data in the form of BI rate, JCI, JII and Net Asset Value of conventional equity mutual funds and Islamic stock mutual funds for the 2017-2020 period. By using purposive sampling method, forty-five consisting of thirty conventional stock mutual funds and fifteen Islamic stock mutual funds were selected as research samples. This research uses a different test analysis technique (T-Test) independent sample t-test. The results of the analysis show that using the Sharpe method results probability 0.278 > 0.05. It means, there is no significant difference between the performance of conventional equity mutual. Using the Treynor method results probability 0.403 > 0.05. It means,  there is no significant difference between the performance of conventional equity mutual. Using the Jensen method results probability 0.050 = 0.05. It means, there is no significant difference between the performance of conventional equity mutual funds. It is recommended for investors who prioritize Islamic law in investing to choose Islamic stock mutual funds that are supported by better performance than conventional stock mutual funds.

Abstrak

Penelitian ini bertujuan untuk menguji apakah terdapat perbedaan anatara kinerja reksa dana konvensional dan reksa dana syariah yang diukur dengan menggunakan metode Sharpe, Treynor, dan Jensen. Penelitian ini merupakan penelitian kuantitatif yang menggunakan data sekunder berupa BI rate, IHSG, JII dan Nilai Aktiva Bersih reksa dana saham konvensional dan reksa dana saham syariah periode 2017-2020. Dengan menggunakan metode purposive sampling, empat puluh lima reksadana yang terdiri dari tiga puluh reksa dana saham konvensional dan lima belas reksa dana saham syariah terpilih sebagai sampel penelitian. Penilitian ini menggunakan teknik analisis uji beda (Uji-T) independent sample t-test. Hasil analisis menunjukkan bahwa menggunakan metode Sharpe menghasilkan probabilitas 0,278 > 0,05. Artinya, tidak terdapat perbedaan yang signifikan antara kinerja reksa dana saham konvensional. Menggunakan metode Treynor menghasilkan probabilitas 0,403 > 0,05. Artinya, tidak terdapat perbedaan yang signifikan antara kinerja reksa dana saham konvensional. Menggunakan metode Jensen menghasilkan probabilitas 0,050 = 0,05. Artinya, tidak terdapat perbedaan yang signifikan antara kinerja reksa dana saham konvensional. Disarankan bagi investor yang yang mengutamakan syariat Islam dalam berinvestasi memilih reksa dana saham syariah yang didukung kinerja yang lebih baik daripada reksa dana saham konvensional.