Performance Comparison between Conventional and Sharia Mutual Funds in Indonesia


Authors : Nanang, Bambang Santoso Marsoem

Volume/Issue : Volume 4 - 2019, Issue 11 - November

Google Scholar : https://goo.gl/DF9R4u

Scribd : https://bit.ly/37aHRqV

The purpose of the research conducted is to determine the differences between the performance of Conventional Mutual Funds and Sharia Mutual Funds for the period of 2018. The performance variables used were mutual fund return, Treynor Ratio, Sharpe Ratio and Alpha Jensen. The method used was the Independent Sample t-Test for normally distributed data and the Mann-Whitney u-Test for data that were not normally distributed. The data normality test was performed using the Kolmogorov Smirnov test which resulted in the conclusions that the mutual fund returns, the Sharpe Ratio and Jensen Alpha had normal distributed data while the Treynor Ratio for existing data was not normally distributed. The significance level in this study used a probability number of 5% with the Initial Hypothesis (Ho) that if the estimated value of probability is above 5% then nothing shows the difference performance between Conventional Mutual Funds and Sharia Mutual Funds. The results of tests conducted in this study produced probability values above 5% in the study conducted with variable returns, Treynor Ratio, Sharpe Ratio and Alpha Jensen. The conclusion from this study is that Ho was accepted and there is no difference between Conventional Mutual Funds and Sharia Mutual Funds.

Keywords : Independent Sample t-Test, Mann-Whitney uTest, Kolmogorov Smirnov Test, Sharia Mutual Funds, Sharpe Ratio.

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