ANALISIS KINERJA REKSA DANA SYARIAH SAHAM DENGAN METODE SHARPE DAN METODE TREYNOR PERIODE 2015-2017

Alfa Ikhmahtiyar, NIM. 11391009 (2018) ANALISIS KINERJA REKSA DANA SYARIAH SAHAM DENGAN METODE SHARPE DAN METODE TREYNOR PERIODE 2015-2017. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

The purpose of this study is to determine the performance of the Sharia Equity Fund using Sharpe and Treynor methods. The study also aimed to examine whether there is a significant difference between the Sharia Equity Fund performance with market performance based on the Sharpe and Treynor methods. This study aims to determine the performance of Islamic Mutual Funds in Indonesia, especially Mutual stocks type with study period from 2015 to 2017. The sampling technique used purposive sampling technique and gained 4 Sharia Equity Fund as samples. The variable in this study are return of Sharia Sharia Equity Fund, market returns, risk free rate return, beta and risk of Sharia Equity Fund. The results based on quantitative analysis shows that in 2015 only HPAM Syariah equity fund performing outperform. In 2016, based on Sharpe any 2 Sharia Equity Fund performing outperform, based on Treynor methode there are 1 Sharia Equity Fund performing outperform and 3 underperform. In 2017, based on Sharpe methods there are 2 Sharia Equity Fund performing outperform and 2 Sharia Equity Fund performing underperform. Statistical test results by Mann-Withney U Test showed that based Sharpe and Treynor in 2015 were significantly differences. Based on Sharpe method the result are significantly differences, but based Treynor method in 2016 were significantly not. Based on Shapre method in 2017 the results are identical so significantly no difference, but based Treymor method the result are difference.

Item Type: Thesis (Skripsi)
Additional Information / Pembimbing: Jauhar Faradis, S.H.I., MA
Uncontrolled Keywords: Sharia Funds Mutual Funds, Performance, Sharpe, Treynor
Subjects: Manajemen Keuangan Syariah
Divisions: Fakultas Ekonomi dan Bisnis Islam > Manajemen Keuangan Syariah (S1)
Depositing User / Editor: Drs. Mochammad Tantowi, M.Si.
Date Deposited: 11 Feb 2019 08:27
Last Modified: 11 Feb 2019 08:27
URI: http://digilib.uin-suka.ac.id/id/eprint/33027

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