EVALUATING PORTFOLIO PERFORMANCE OF ISLAMIC MUTUAL FUNDS; A STUDY OF DANAREKSA SYARI'AH BERIMBANG, BATASA SYARI'AH AND PNM SYARI'AH (From January 2003 Until March 2005)

MUZLIFATUL AZIZAH, NIM:01390740 (2005) EVALUATING PORTFOLIO PERFORMANCE OF ISLAMIC MUTUAL FUNDS; A STUDY OF DANAREKSA SYARI'AH BERIMBANG, BATASA SYARI'AH AND PNM SYARI'AH (From January 2003 Until March 2005). Skripsi thesis, UIN SUNAN KAIJAGA.

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	Text (EVALUATING PORTFOLIO PERFORMANCE OF ISLAMIC MUTUAL FUNDS; A STUDY OF DANAREKSA SYARI'AH BERIMBANG, BATASA SYARI'AH AND PNM SYARI'AH (From January 2003 Until March 2005)) BAB II, III, IV.pdf - Published Version Restricted to Registered users only Download (5MB)

Abstract

Islamic mutual fund is one of new alternative products, which is more potential in Indonesia. Because this product is still "young" and full of barriers concerned with the shari'a confom1ity, it needs more observation in order to be better in the future. Measuring its performance is an important way to evaluate this product. The relevance of the mutual funds as a source of financing will depend on the performance of the portfolio managers. In addition, the strength of the mutual fund industries is based on a record of good results achieved by fund managers. Good performance attracts new investments, bad performance results in redemption of units. To cover this issue, using three Islamic mutual funds (Batasa Syari'ah, PNM Syari'ah and Danareksa Syari'ah Berimbang), the author conducts a study to evaluate portfolio of this product from the January 3, 2003 until March 28, 2005. The essence of performance evaluation in investment is to compare the return obtained from some portfolio with the return that could have been obtained from comparable alternative. The measurement process must involve a relevant and obtainable alternative called the benchmark portfolio. Benchmark approved by Shari'ah Supervisory Board (DSN) to be benchmark of securities investing based on shari'ah is 30 equities included in Jakarta Islamic Index (JII). JII is launched by a joint effort of PT. Danareksa Investment Management (PT.DIM) and Jakarta Stock Exchange (JSX). Therefore, in this evaluation, the author applied JII as the benchmark. Meanwhile to measure performance of the portfolio, the author applies two traditional performance measures. First method is the measurement based on comparison of realized return obtained by portfolio and the benchmark. Second is measurement on the basis of risk adjusted return of Sharpe Ratio, Treynor Ratio, and Jensen's Alpha. Comparing return obtained from portfolio of Islamic funds and return obtained from the benchmark (JII), performance of Islamic mutual funds underperformed that of the benchmark. Nonetheless, its total risk notated by standard deviation is lower than that of the benchmark. This is evidence that the higher return, the higher risk. In contrast, involving risk adjusted return of Sharpe Ratio, Treynor Ratio, and Jensen's Alpha, Islamic funds are outperformed performance of JII. Using Sharpe and Treynor Ratio, three Islamic mutual funds can be ranked. The best of all is performance of Batasa Syari'ah (BASA). The second position is settled by portfolio of PNM Syari'ah (PNMS). And Danareksa Syari'ah Berimbang is in the third performance of all. However, Islamic mutual funds beat the benchmark (JII) during the period of measurement. The similar rankings indicate that portfolio of Islamic funds are well-diversified.

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