THE ANALYSIS OF RISK - ADJUSTED MEASURE AND MANAGER ABILITY ON SYARIAH MUTUAL FUND PERFORMANCE IN INDONESIA FROM 2009 – 2013

Abstract

An alternative of investment that provides some advantages: cheap, liquid, easy, managed to professionally, can be doing in mutual fund. An investor will normally decide on a high return equity mutual fund that can be known form Nett Asset Value. This research aims to analyze the performance of syariah mutual fund in Indonesia from 2009–2013 using Risk-Adjusted Measure (Sharpe,Treynor, Jensen) and Manager Ability (Stock Selection Skill & Market Timing Ability). The data used quartally data from five (5) syariah mutual fund in Indonesia that published in Bapepam website. The researcher calculated the performance measures of mutual fund and ranks them according to the results. The rank obtained by performing both risk-adjusted measure and manager ability, implying that funds are well diversified. The rankings reveal that all analyzed funds outperformed the market on a risk-adjusted basis. The result show that Sharpe, Treynor and Market Timing has significant influence to performance of syariah mutual fund performance and Jensen has negative significant influence to performance of syariah mutual fund. Furthermore, the capability of the four independent variables to explain performance of syariah mutual fund as dependent variable is 13,2% while the rest of 86,8% explained by other variables.