Hamzah, Amal (2014) Analisis Perbandingan Kinerja Reksa Dana Syariah Dan Reksa Dana Konvensional Jenis Saham Pada periode 2008-2012. S2 thesis, Universitas Mercu Buana Jakarta-Menteng.
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Abstract
The objective of this research is to evaluate the performance of shariah equity funds compared to performance of conventional equity funds can provide the result of comprehensive portfolio performance to support investors and potential investors to make decision to invest or not invest in mutual funds. This research focused to performance comparison between shariah and conventional equity funds during 2008-2012 periods. Fund performance measured by return and risk (beta portfolio and the standard deviation, Sharpe index, Treynor index, Jensen's Alpha, Modigliani and Modigliani (MM) model and Treynor and Treynor (TT) model. The ability of Investment Manager to security selection and market timing measured by using Henriksson-Merton model and Treynor-Mazuy model. The statistic method used to hypothesis test is independent T Test. The results of this research show that there are no significant differences of performance between shariah and conventional equity funds. Keywords: Islamic mutual funds, conventional mutual fund, the Sharpe index, Treynor index, index of Jensen's Alpha, Modigliani and Modigliani model, Treynor and Treynor model, Security Selection, Market Timing Ability. Tujuan dari penelitian ini adalah untuk mengevaluasi kinerja dari reksa dana syariah dibandingkan dengan reksa dana konvensional supaya dapat memberikan hasil evaluasi kinerja portofolio yang komprehensif guna mendukung pembuatan keputusan investor atau investor potensional untuk berinvestasi atau tidak berinvestasi pada suatu portofolio reksa dana. Penelitian ini memfokusan pada perbandingan kinerja reksa dana jenis saham syariah dan reksa dana jenis saham konvensional pada periode 2008-2012. Kinerja reksa dana dapat diukur dengan return dan risiko (beta portofolio dan standar deviasi), indeks Sharpe, indeks Treynor, indeks Jensen’s Alpha, Modigliani and Modigliani (MM) model dan Treynor and Treynor (TT) model. Kemampuan Manajer Investasi dalam pemilihan sekuritas dan waktu pemasaran yang tepat diukur dengan menggunakan model Henriksson-Merton dan model Treynor-Mazuy. Metode statistik yang digunakan untuk menguji hipotesis adalah Independent T Test. Hasil dari penelitian ini menunjukan tidak adanya perbedaan kinerja yang signifikan antara reksa dana jenis saham syariah dengan reksa dana jenis saham konvensional. Kata kunci: reksadana syariah, reksadana konvensional, indeks Sharpe, indeks Treynor, indeks Jensen’s Alpha, Modigliani and Modigliani Model, Treynor and Treynor Model, Security Selection, Market Timing Ability.
| Item Type: | Thesis (S2) |
|---|---|
| Call Number CD: | CDT-551-14-039 |
| Call Number: | TM/51/15/062 |
| NIM/NIDN Creators: | 55111110032 |
| Uncontrolled Keywords: | Islamic Mutual Funds, Conventional Mutual Fund, Tjhe Sharpe Inde, Treynor Index Of Jensens Alpha, MKU, Manajemen keuangan |
| Subjects: | 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum |
| Divisions: | Pascasarjana > Magister Manajemen |
| Depositing User: | Admin Perpus UMB |
| Date Deposited: | 21 May 2015 09:18 |
| Last Modified: | 29 Jun 2022 02:48 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/13865 |
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