Image of Analisis penilaian kinerja reksa dana syariah campuran menggunakan risk- adjusted return method : Studi komparasi Indonesia dan Malaysia (periode november 2004 - Mei 2007)

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Analisis penilaian kinerja reksa dana syariah campuran menggunakan risk- adjusted return method : Studi komparasi Indonesia dan Malaysia (periode november 2004 - Mei 2007)

This research aims to give the overview of asset allocation ? Islamic mutual funds? performance in Indonesia and Malaysia for the period November 2004 ? May 2007 using risk-adjudted return method. This performance measurement method consider the risk and return factors of portfolio. In performance measurement using risk-adjusted return, methods used in this research are Sharpe Ratio, Treynor Index, Jensen Index, and Modigliani Ratio. This research is using sampels consist of 4 Indonesia Islamic Mutual Funds and 18 Malaysia Islamic Mutual Funds whereas all of the sampels are asset allocation type which consist of equity mutual fund and fixed income mutual fund. For benchmark, Indonesia Islamic Mutual Fund use Sertifikat Wadiah Bank Indonesia (SWBI) as risk-free asset and Jakarta Islamic Index (JII) as Islamic Investment Market. Otherwise, Malaysia Islamic Mutual Fund use Government Investment Issue (GII) as risk-free asset and Kuala Lumpur Shariah Index (KLSI) as market instrument. The results show that in daily performance of Indonesia Islamic Mutual Funds are relatively better than Malaysia for Sharpe Ratio and Modigliani Ratio but Malaysia Islamic Mutual Funds are relatively better for Treynor Index and Jensen Index. This case shows that in daily, Indonesia Islamic Mutual Funds are relatively better individually than Malaysia has. But, when we consider the market sensitivity, the Malaysia Islamic Mutual Funds are better than Indonesia. In longer period, Malaysia Islamic Mutual Funds have better performance than Indonesia. It means that Indonesia Mutual Fund market relatively more active which is more get return in the short term period.Ada Tabel

Ketersediaan

Call NumberLocationAvailable
6109PSB lt.2 - Karya Akhir1
Penerbit Jakarta Departemen Akuntansi FAkultas Ekonomi UI.,
Edisi -
Subjek Return on investment
Performance measurement
Capital markets
Islamic finance
Mutual funds
ISBN/ISSN -
Klasifikasi -
Deskripsi Fisik xiii, 101 p. : diagr. ; 30 cm.
Info Detail Spesifik -
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