Abstract:
This research objective is to analyze the factors affecting the performance of
sharia mutual funds in Indonesia for the period of 2012 – 2016, which included
market timing ability, stock selection ability, inflation, and interest rate (BI rate).
This study has applied purposive sampling method and panel data regression
where the data was collected from the official website of every investment
managers and Bank Indonesia. This study had 60 observations from six mutual
funds in five years semi-annually. This research adopted quantitative research
with common model and those data have been tested by normality,
autocorrelation, multicollinearity, and heteroscedasticity test. An empirical
evidence of this research indicates that stock selection ability, market timing
ability, inflation and interest rate (BI rate) have a partially significant influence on
the performance of sharia mutual funds. Simultaneously, all of them also has
significant effect to the performance of sharia mutual funds, which described by
the value of 58.01% and the remaining 41.99% is explained by another factor that
excluded in this research. Furthermore, stock selection ability was chosen as the
most significant factor which influences the performance of sharia mutual funds
which being proxied by Sharpe ratio.
