Sundoro, Satyo Panji Jogo (2018) Analisis Perbandingan Kinerja Keuangan Reksa Dana Syariah di Indonesia dan di Arab Saudi dengan Metode Sharpe, Treynor dan Jensen (Studi pada Reksa Dana Saham Syariah yang Terdaftar di Otoritas Jasa Keuangan dan Capital Market Authority Periode 2014 – 2016). Sarjana thesis, Universitas Brawijaya.
Abstract
Penelitian ini bertujuan untuk menganalisis kinerja reksa dana saham Syariah di Indonesia dan Arab Saudi diukur dengan menggunakan metode Sharpe, Treynor dan Jensen serta mengetahui perbandingan kinerja reksa dana saham Syariah menggunakan kinerja benchmark masing-masing negara yaitu Indonesia dan Arab Saudi periode 2014 – 2016. Jenis penelitian ini adalah komparatif dengan menggunakan pendekatan kuantitatif. Populasi penelitian meliputi seluruh reksa dana saham Syariah yang terdaftar dan masih aktif pada Otoritas Jasa Keuangan (OJK) dan Capital Market Authority (CMA) periode 2014 – 2016. Teknik pengambilan sampel menggunakan Teknik purposive sampling dan diperoleh 15 reksa dana saham Syariah Indonesia dan 42 reksa dana saham Syariah Arab Saudi sebagai sampel penelitian. Variabel dalam penelitian ini adalah return portofolio, resk free rate dan return market. Metode analisis data menggunakan metode Sharpe, Treynor dan Jensen. Berdasarkan analisis data menggunakan metode Sharpe tahun 2014 dan 2016 kinerja reksa dana saham syariah Indonesia memiliki kinerja positif lebih baik dibandingkan kinerja reksa dana saham syariah Arab Saudi yang memiliki kinerja negatif. Hal ini terjadi perbedaan ditahun 2015 yang menunjukkan kinerja reksa dana saham syariah Indonesia memiliki kinerja negatif sama halnya dengan kinerja reksa dana saham syariah Arab Saudi yang meiliki kinerja negatif. Menurut metode Treynor ditahun 2014 reksa dan saham syariah Indonesia dan Arab Saudi memiliki kinerja positif. Berbeda dengan tahun 2015 menunjukkan kinerja reksa dana saham syariah Indonesia dan Arab Saudi sama-sama memiliki kinerja yang negatif. Tahun 2016 menunjukkan bahwa kinerja reksa dana saham syariah Indonesia memiliki kinerja yang positif dan lebih baik dibandingkan Arab Saudi yang memiliki kinerja negatif. Untuk metode Jensen pada tahun 2014 kinerja reksa dana saham syariah Indonesia memiliki kinerja positif sedangkan Arab Saudi memiliki kinerja negatif. Untuk periode selanjutnya yaitu 2015 dan 2016 kinerja reksa dana saham syariah Indonesia dan Arab Saudi sama-sama memiliki kinerja yang negatif. Dari keseluruhan hasil yang ditunjukkan, menunjukkan bahwa kinerja reksa dana saham syariah di Indonesia lebih banyak memiliki kinerja yang positif dibandingkan Arab Saudi dengan ketiga metode dan periode 2014 – 2016. Ada beberapa saran dalam penelitian ini, terutama bagi pemerintah supaya dapat meningkatkan daya minat masyarakat dalam berinvestasi reksa dana syariah sehingga dapat meningkatkan investasi reksa dana syariah di masing-masing negara.
English Abstract
This study aims to analyze the performance of Sharia mutual funds between Indonesia and Saudi Arabia. This study were using Sharpe, Treynor and Jensen methods in order to compare the performance of Sharia equity funds using the performance of Indonesia and Saudi Arabia period 2014-2016. This study was using quantitative approach. The population of this study includes all equity funds provided and the population are still active in the Otoritas Jasa Keuangan (OJK) and the Capital Market Authority (CMA) for the period 2014 - 2016. The sampling technique used was purposive sampling technique and obtained 15 Indonesian Syariah equity funds and 42 Saudi Arabian equity funds as research samples. The variables used in this study are portfolio return, free rate return and market return. Data analysis using Sharpe, Treynor and Jensen methods. The merger of data using the Sharpe method in 2014 and 2016 the performance of Indonesian Islamic equity funds has a positive performance better than the financial performance of Saudi Arabia that showed a negative performance. It was different in 2015 that showed Indonesia's sharia financial performance had a negative performance with Saudi Arabia's financial reputation which had negative work. According to the Treynor method in 2014 Indonesian and Saudi Arabian mutual funds and stocks have positive performance. In contrast to 2015, showing the performance of Indonesian and Saudi Arabian Islamic equity funds both have negative performance. In 2016 shows that the performance of Indonesian Islamic equity funds has a positive and better performance than Saudi Arabia which has a negative performance. For the Jensen method in 2014 the performance of Indonesian Islamic equity funds has a positive performance while Saudi Arabia has a negative performance. For the next period of 2015 and 2016 the performance of Indonesian and Saudi Arabian Islamic equity funds both had negative performance. From the separate results, it shows that the performance of Islamic finance in Indonesia has more positive performance than Saudi Arabia in terms of the method and the period 2014 – 2016. There are suggestions in this study especially for the government to be able to increase the public interest in investing in Islamic mutual funds so they can increase Islamic mutual fund investment in each country.
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | SKR/FIA/2018/1005/051811737 |
| Subjects: | 300 Social sciences > 332 Financial economics > 332.6 Investment > 332.63 Specific forms of investment > 332.632 Securities, real estate, commodities > 332.632 7 Investment company securities |
| Divisions: | Fakultas Ilmu Administrasi > Ilmu Administrasi Bisnis / Niaga |
| Depositing User: | Budi Wahyono Wahyono |
| Date Deposited: | 28 May 2019 02:04 |
| Last Modified: | 18 Oct 2021 02:14 |
| URI: | http://repository.ub.ac.id/id/eprint/165254 |
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