COMPARATIVE ANALYSIS BETWEEN PERFORMANCE OF CONVENTIONAL EQUITY MUTUAL FUND AND SHARIA EQUITY MUTUAL FUND IN INDONESIA

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.