ANALYSIS OF FACTORS AFFECTING THE PERFORMANCE OF SHARIA MUTUAL FUNDS IN INDONESIA

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.