Analisis Komparatif Kinerja Reksa Dana Saham Konvensional Dan Reksa Dana Saham Syariah di Indonesia (Pendekatan Sharpe, Treynor, Jensen, dan M-Square)

Abstract

This study aims to analyze the comparison of stock mutual fund performance, namely between sharia stock mutual funds and conventional stock mutual funds in Indonesia. This study uses a quantitative approach that is comparative descriptive. The sample method used was purposive sampling so that 5 samples of sharia stock mutual funds and 15 samples of conventional stock mutual funds were selected. The research method used was the Shapiro-Wilk normality test to test the distribution of variable data as a basic assumption of normal distribution or not, then tested with an alternative t-test, namely the Mann-Whitney U-test. These two types of stock mutual fund performance are measured by the Sharpe method, the Treynor method, the Jensen method, and the Modigliani-Modigliani method (M Square). The results of the study show that there is a significant difference in the performance of Islamic stock mutual funds and conventional stock mutual funds using the Sharpe and Modigliani-Modigliani (M-Square) methods, where with the Sharpe method, conventional stock mutual funds are superior, while with the Modigliani-Modigliani (M-Square) method, and Islamic equity mutual funds are superior. Meanwhile, there is no significant difference in performance between sharia stock mutual funds and conventional stock mutual funds using the Treynor method and the Jensen method.