Abstract:
This research objective is to compare the performance of conventional equity
mutual fund with the sharia equity mutual fund in Indonesia measured by Sharpe
Index, Treynor Index, and Jensen Index for the period of January 2016 – June 2018.
This study has applied purposive sampling and comparison methods that is
comparing, describing, and then testing the existence of one or more variables in
two or more different samples. The data was collected from Finacial Services
Authority, Infovesta, the official website of every investment managers and Bank
Indonesia official website. This study had 900 observation data from ten mutual
funds in 30 months period. The results of this study indicate that there is no
differences between the performance of conventional equity mutual fund and sharia
equity mutual funds measured by Sharpe Index, Treynor Index, and Jensen Index.
So the based on Sharpe Index, Treynor Index, and Jensen Index performance
measurement, there is no differences in the excess return of the mutual fund.
However, the result from the average performance measured by Sharpe Index and
Treynor Index indicates that conventional equity mutual fund have better
performance than sharia equity mutual fund, but vice versa from the result of
average performance measured by Jensen Index.
