PERFORMANCE ANALYSIS OF ISLAMIC MUTUAL FUND AND CONVENTIONAL MUTUAL FUND LISTED IN OTORITAS JASA KEUANGAN IN INDONESIA

Abstract

This study will describe the performance analysis of stock mutual funds in two different market conditions, namely when market conditions are bullish and market conditions are bearish. In addition, this study also compares the performance results of stock mutual funds with benchmark performance (IHSG and LQ45) to find out which equity funds include outperform or underperform. This research will be conducted on stock mutual funds listed on the Indonesia Stock Exchange and operating in 2014 until 2017. The research methods used in this study are Sharpe, Treynor and Jensen methods. The results of this study indicate that the average stock mutual fund in bullish conditions has an outperform performance with the Jensen method, while the average stock mutual fund in bearish conditions has a performance with the Treynor method. In the bullish conditions the best performing mutual funds are Archipelago Equity Growth, while in the bearish condition the best performing equity fund is the GAP Value Fund. The results of this study also show that there are differences between the performance of equity funds with Sharpe, Treynor, and Jensen methods.

Keywords

• Islamic mutual funds
• conventional mutual funds
• Sharpe method
• Treynor method
• Jensen method