Analysis of Investment Performance of Islamic Mutual Funds in Indonesia Using Sharpe, Treynor and Jensen Methods

Abstract

Indonesia as the largest Muslim country in the world is a very important market for the development of the Islamic finance industry. Sharia mutual funds are one of the non-banking Islamic financial products, which can be used as an investment alternative for investors. This study aims to analyze the performance of Fixed Income Sharia Mutual Funds and Mixed Sharia Mutual Funds using the Sharpe, Treynor and Jensen methods. The type of research used in this study is a type of descriptive research and the Sharpe, Treynor and Jensen performance measurement method with the Microsoft Excel application. The research population is Fixed Income Sharia Mutual Funds and Mixed Sharia Mutual Funds for the 2017-2019 period. The research sample consisted of 20 mutual funds with 10 fixed income Islamic mutual funds and 10 mixed Islamic mutual funds using a purposive sampling technique. The results of this study indicate that in the 2017-2019 period using the Sharpe method there were 5 Fixed Income Sharia Mutual Funds that consistently had outperformed performance while Mixed Sharia Mutual Funds did not consistently have outperformed. Based on the Treynor method, there is 1 mutual fund that consistently outperforms, and the Jensen method, there are 2 Fixed Income Sharia Mutual Funds that consistently outperform while Mixed Islamic Mutual Funds all consistently outperform. There was 1 Fixed Income Sharia Mutual Fund that consistently outperformed during the study period, namely Bahana Sukuk Syariah.