Analysis of the Performance of Islamic Mutual Funds in Indonesia by using Sharpe, Treynor and Jensen the Period 2010-2012

Abstract

Mutual fund is defined as a vehicle used to collect funds from public investors to be invested in the portfolio securities by the Investment Managers. Mutual funds have unique characteristics that are different from other investment instruments.The purpose of this study is: 1) Knowing how the performance of Islamic mutual funds using Sharpe, Treynor, and Jensen. 2) Determine the performance of the Islamic mutual fund rating that has been assessed using the method of Sharpe, Treynor, and Jensen. 3) To know the proper Islamic mutual funds used as investment instruments.This study uses secondary data published by Bapepam dan LK, IDX, and Indonesian Central Bank. Samples were taken using purposive sampling, with the criteria that: 1) Mutual funds that Islamic operation in 2010 until 2012 and is still listed in Bapepam and LK. 2) Still active until December 2012. 3) Mutual funds sharia issued monthly net asset value per month during 2010 to 2012. And 4) is not included in the types of mutual funds structured. Based on these criteria the number of samples studied by 25 Islamic mutual funds. Test samples using analytical methods of Sharpe, Treynor and Jensen, with the help of Microsoft Excel.Overall analysis of the results each year with the performance of the three methods resulted in two mutual funds that are worthy of investment options, namely mutual funds MNC islamic funds and mutual funds shariah mandiri investa funds, both mutual funds because it provides measurement results are always positive during the years 2010 to in 2012. Results of this study support previous research that says that the acquisition of a positive return indicates that mutual funds can provide benefits to the owners of mutual funds, while negative returns indicate that the fund suffered a loss that can not provide benefits to the owners of capital funds.

Keywords : Mutual Funds, Sharpe, Treynor, Jensen.