ANALISIS KINERJA REKSADANA SAHAM SYARIAH DI INDONESIA DENGAN MENGGUNAKAN METODE SHARPE, TREYNOR DAN JENSEN - Karina Widiyanti, - (2018)
Pada tahun 2017, tingkat literasi masyarakat terhadap pasar modal syariah sebesar 0,02%, Selain itu dilihat dari data Nilai Aktiva Bersih (NAB) dan perkembangan jumlah reksa dana, reksa dana syariah cenderung lebih rendah apabila dibandingkan dengan reksa dana konvensional. Penelitian ini bertujuan untuk menganalisis kinerja reksa dana syariah saham di Indonesia yang diukur menggunakan Risk-Adjusted Return berdasarkan metode Sharpe, Treynor dan Jensen periode 2015-2017. Jenis Penelitian ini adalah deskriptif kuantitatif. Berdasarakan analisis data menggunakan metode Sharpe, Treynor dan Jensen pada tahun 2015 dari 11 sampel reksa dana tidak terdapat reksa dana syariah saham yang memiliki kinerja positif, dari ketiga metode ini terdapat reksa dana yang konsisten memiliki kinerja terbaik yakni Reksa Dana Manulife Syariah Sektoral. Pada tahun 2016 berdasarkan metode Sharpe dan Treynor terdapat 10 reksa dana syariah saham yang memiliki kinerja positif, sedangkan berdasarkan metode Jensen terdapat 9 reksa dana syariah saham yang memiliki kinerja positif, dari ketiga metode ini terdapat reksa dana yang konsisten memiliki kinerja terbaik yakni Reksa Dana Succorinvest Syariah Unggul. Pada tahun 2017 berdasarkan metode Sharpe terdapat 5 reksa dana syariah saham yang memiliki kinerja positif dengan kinerja terbaik diperoleh Reksa Dana Avirst Equity Amar Syariah, berdasarkan metode Treynor terdapat 4 reksa dana syariah saham yang memiliki kinerja positif dengan kinerja terbaik diperoleh Simas Syariah Unggul dan berdasarkan metode Jensen terdapat 3 reksa dana yang memiliki kinerja positif dengan kinerja terbaik diperoleh HPAM Syariah Ekuitas. Reksa dana yang konsisten memiliki kinerja outperform selama 2016-2017 yakni reksa dana HPAM Syariah Ekuitas dan Succorinvest Syariah Unggul. Penelitian ini memiliki implikasi penting bagi investor agar dapat memilih reksa dana syariah saham yang memiliki kinerja baik;---In 2017, the level of public literacy towards the Islamic capital market was 0.02%. In addition, from the data of Net Asset Value (NAV) and the development of the number of mutual funds, Islamic mutual funds tended to be lower when compared to conventional mutual funds. This study aims to analyze the performance of Islamic stock mutual funds in Indonesia measured using Risk-Adjusted Return based on Sharpe, Treynor and Jensen methods for the period 2015-2017. This type of research is quantitative descriptive. Based on data analysis using Sharpe, Treynor and Jensen methods in 2015 from 11 mutual fund samples there were no sharia mutual fund stocks that had a positive performance, from these three methods there were mutual funds that consistently had the best performance, Manulife Syariah Sectoral Mutual Funds. In 2016 based on the Sharpe and Treynor method there are 10 sharia mutual funds that have a positive performance, while based on the Jensen method there are 9 sharia mutual funds that have positive performance, of the three methods there are mutual funds that consistently have the best performance, Succorinvest Mutual Fund Superior Sharia. In 2017 based on the Sharpe method there are 5 sharia mutual funds that have a positive performance with the best performance obtained by Avirst Equity Amar Sharia Mutual Fund, based on Treynor method, there are 4 sharia mutual funds that have positive performance with the best performance obtained by Simas Syariah Excellent and based on methods Jensen has 3 mutual funds that have positive performance with the best performance obtained by HPAM Syariah Ekuitas. Mutual funds that consistently have outperform performance during 2016-2017 namely HPAM Syariah Equity and Succorinvest Syariah mutual funds. This study has important implications for investors to be able to choose stock Islamic mutual funds that have good performance.