Perbandingan kinerja reksa dana syariah dengan reksa dana konvensional

The problems of the previous research is just partial evaluation for portfolio performance for examples; (1) comparation between shariah mutual funds with market indexs, or (2) comparation between shariah mutual funds with conventional mutual funds. This research use that two methods to investigate shariah portfolio performance with conventional portfolio performance furthermore can give comprehensive investigation portfolio performance for investors and potential investors making decision to invest or not invest in mutual funds. The objective of this research is to evaluate the balanced shariah mutual fund performance compared with the balanced conventional mutual fund performance during the bull market of 2004-2006. Mutual fund performance can be measured by using Jensen Index, Sharpe Index, Treynor Index, MM Index, and TT Index. The information about security selection and market timing ability can be measured by using Henriksson- Merton Model and Treynor-Mazuy Model. The statistic methods used to test hypothesis are one sample t-test, independent sample t-test, simple regression analysis, and multiple regression analysis. Finally, the results show that the conventional mutual funds have been able to outperform the shariah mutual funds, the shariah mutual funds have been able to outperform the shariah indexs (JII) and the conventional mutual funds have been able to outperform the conventional indexs (LQ45). This underperform of shariah mutual fund performance can be happened because portofolio managers do not have superiority skills in security selection and market timing and also the differences of each mutual fund attributes. The investigation of the data indicate that do not significantly results gives implication that investors and potential investors have the option to switch between these shariah mutual funds and conventional mutual funds depending on the market conditions and their personal preferences. Keywords: shariah mutual funds, conventional mutual funds, the shariah indexs (JII) the conventional indexs (LQ45)