Comparative Analysis of the Performance between Sharia and Conventional Equity Mutual Funds Using Sharpe and Treynor Method


Authors : Mahardika Agustinus

Volume/Issue : Volume 6 - 2021, Issue 11 - November

Google Scholar : http://bitly.ws/gu88

Scribd : https://bit.ly/3rp3ekV

This study aims to determine the performance comparison between sharia and conventional equity mutual funds for the period 2016-2020 used Sharpe and Treynor methods. The samples in this study are sharia and conventional equity mutual funds that have managed funds between 100-500 billion Rupiah, and managed by the same Investment Manager. This type of research is descriptive quantitative research with comparison. The research method used is the Independent Sample t-Test and Mann Whitney u-Test. Furthermore, data processing is carried out using the Eviews 10 application. The results showed that there was a significant difference between the average return of sharia and conventional equity mutual funds using the Sharpe method, while using the Treynor method, there was no significant difference. Thus, it is hoped that this research can be one of the considerations for investors in choosing equity mutual funds to invest in accordance with the risk profile and expected rate of return of each investor.

Keywords : Equity Mutual Funds, Independent Sample T-test, Mann Whitney U-test, Sharpe, and Treynor.

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