STUDY OF PERFORMANCE
COMPARISON OF SHARIA SHARES IN INDONESIA AND MALAYSIA: SHARPE, TREYNOR AND
JENSEN MODELS
Yuni Utami �*, Victor
Prasetya�, R.A. Riyadi3
1Universitas Pancasakti
Tegal, Indonesia
2,3STIE Assholeh, Pemalang, Indonesia
1[email protected], 2[email protected],
3[email protected]
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ARTICLE
INFO |
ABSTRACT |
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Received: |
03-01-2022 |
This
study aims to analyze the differences in the performance of Islamic mutual
funds using the Sharpe, Trenor and Jensen models on
stock types of Islamic mutual funds in Indonesia and Malaysia for the
2017-2018 period. This research is descriptive with a quantitative approach.
The sample in this study is sharia equity mutual funds in Indonesia and
Malaysia in the 2017 - 2018 period. The data collection techniques used are
secondary data, with analysis techniques by measuring performance with the
Sharpe Trenor and Jensen models, and comparison
with the average difference test technique.-average. Based on the results of
the analysis of the two different tests on average, the results of
differences in the performance of shariah mutual funds in Indonesia and Malaysia
using the Sharpe, Trenor and Jensen models each
have a significance value of 0.001 with the Sharpe model, 0.041 with the Trenor model and 0.049 with the Jansen model. This shows
the level of difference in the performance of sharia mutual funds types of
shares in Indonesia and Malaysia for the 2017-2018 period. And from the test
results that the three methods used, the accuracy of the Sharpe model is
better than the Trenor model and Jansen model. |
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Accepted: |
16-01-2022 |
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Published: |
20-01-2022 |
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Keywords: |
mutual
fund performance, return, sharpe model, trenor model and jensen alpha |
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Corresponding
Author: Yuni Utami
E-mail: [email protected]
INTRODUCTION
Southeast Asia is one of the countries that
has a large Muslim population. Indonesia itself has a very large Muslim
population. This existence grows a large enough potential for Islamic
investment activities. So that Sharia mutual funds appear and grow in Indonesia
and Malaysia. Islamic mutual funds have promising market potential. However, in
fact, the growth of Islamic mutual funds in the Indonesian capital market
industry has not been able to attract public interest to invest in the mutual
funds sector. The development notes that currently, the development of the
investment industry, especially Islamic mutual funds, is experiencing a
positive trend. There is a positive relationship between mutual fund
performance and the country's level of development (Ferreira, Keswani, Miguel, & Ramos,
2013).
Figure 1. Sharia
Mutual Fund Development
Source:
Financial Services Authority, May 2019
Figure 1 shows
that each year the growth is significant. The Financial Services Authority
(OJK) estimates that the mutual fund industry will grow significantly this
year. mutual funds from previous years.
Within the
scope of ASEAN, Indonesia is the center of the economy, where more than 50% of
the GDP of the countries involved in ASEAN is Indonesia's GDP. However, in
terms of the development of Islamic financial instruments and capital markets,
Indonesia is a country that lags behind Malaysia in terms of experience and
intensity. The Malaysian Islamic stock exchange has registered more than 800
companies and 550 of them are on the top board, or are included in the more
liquid stock category. Malaysia is supported by a political situation that
adheres to an Islamic royal system, so that the Islamic equity and bond
products are the most supported and developed in this country. Malaysia was
also the first to establish an Islamic Capital Market in ASEAN, which began
with Islamic instruments that have existed since 1993, and then continued to
the establishment of the Islamic Stockbroking Company, BIMB Securities Sdn Bhd. To date, Malaysia has had a lot of progress in the
field of Islamic finance compared to Indonesia.
The Malaysian
Federation of Investment Managers (FIMM) stated that there were 228 mutual
funds in 2019 in Malaysia, the number has increased compared to 2016 with 201
Islamic mutual funds. Whereas in Indonesia, according to the OJK (Financial
Services Authority) the number of Islamic mutual funds as of January 2019 in
Indonesia was 223, this has increased significantly from 2016 of 136 sharia
mutual funds (https://money.kompas.com). These statistics show that Malaysian
sharia mutual funds are superior in quantity compared to Indonesian sharia mutual
funds, but in terms of NAV (fixed asset value) Malaysian sharia mutual funds
are inferior to NAV.
The model used
to measure mutual fund performance is the Sharpe, Treynor and Jensen model. The
Sharpe model shows that mutual fund performance in the future can be predicted
using two measures. In contrast to the Treynor model, the performance
measurement of mutual funds (mutual funds) uses risk measurement avarages. Beta shows return. In contrast to Treynor's Model
and Sharpe's mutual fund investment as long as the excess return is positive,
Jensen only accepts mutual fund investment if it can produce returns that
exceed the expected return or the minimum rate of return. Accept mutual fund
investment if it can produce returns that exceed expected. Return that is meant
is past avarage return, while expected return, which
is calculated using the capital asset pricing model (CAPM). With this, it will
be examined whether there are differences in the performance of Islamic mutual
funds using the Sharpe model, Treynor model and Jensen Alpha for Islamic mutual
funds types of shares in Indonesia and Malaysia. Based on this research, the
problem will be examined whether there are differences in the performance of
Islamic mutual funds using the Sharpe, Trenor and
Jensen models in Islamic mutual funds types of shares in Indonesia and Malaysia
for the two-year period, 2017-2018.
METHODS
The research method uses a descriptive method with a quantitative approach.
And based on the data source, the data used is secondary data, namely Islamic
mutual funds types of stocks in Indonesia and Islamic mutual funds types of
shares in Malaysia during the 2017 to 2018 period using purposive sampling
technique. The analysis used in this study is as follows: statistics
descriptive, work measurement, and two difference test means. The initial step
in analyzing the data is as follows, namely calculating the Average Monthly
Return of the Equity Fund. The return from each mutual fund is calculated based
on the Net Asset Value (NAV). The first step used to calculate the average
monthly return is to calculate the return on Net Asset Value. the formula used
is as follows:
Where :
𝑅𝐷 �������������������� =
Mutual fund profit / return
𝑃𝑡����������������������� =
TLV in the measurement period
𝑃𝑡 − 1 ��������������� =
TLV in the period before measurement
������������������� The second step is to
calculate the stock mutual fund's average monthly return. The way to calculate
it is by dividing the number of accumulated returns during the observation
period by the number of observation periods. The formula used is as follows:
Where :
𝑅̅𝑑 ����� = average
monthly return of equity funds
∑𝑅𝑑��� = total monthly return on equity funds for a
period
𝑛 �������� = number of
calculation periods
������������������� Then by calculating the
average monthly return of stock mutual funds, the IHSG average monthly return.
The JCI average return index in this study serves as a comparison to state
mutual fund performance. The following is the formula and calculation of the
JCI monthly return:
Where :
𝑅𝑝1 ������������������� =
JCI market profit
𝐼𝐻𝑆𝐺𝑡 �������������� = JCI
in the measurement period
𝐼𝐻𝑆𝐺𝑡 − 1 ������� =
IHSG in the period before measurement
then calculate the Average Monthly BI rate. The BI rate is
determined by Bank Indonesia, in this study the BI rate has a function as a risk free rate.
Continued to calculate the performance with the Sharpe
Model to connect the amount of reward and the amount of risk. The comparison
between reward and risk is called the reward to variability ratio (R / V).
SRD ������������� =
Value Sharpe Ratio
Rp ��������������� = Average Mutual Fund return
Rf ���������������� =
Average risk-free investment return
σρ ��������������� = Standard deviation
Then proceed by
calculating mutual fund performance using the Treynor model using the following
formula:
The Treynor
model is stated as follows:
Information:
TRD ������������� = Mutual Fund Treynor Ratio Value
Rp ��������������� = Average return of the Mutual Fund
for period t
Rf ���������������� = Average risk-free investment return period t
βp ��������������� = Beta equation of multiple
linear regression lines
� Calculating mutual fund performance
using the Jensen model, namely by Jensen as follows:
Information:
α ������������������ = Jensen's intersection value
Rp ��������������� = average return of mutual funds
Rf ���������������� =
Average risk-free investment return
Rm �������������� =
Average market return (IHSG)
Expected return, in this
case is the minimum return expected by investors on stockj, because according
to Jensen this formula can be used for both portfolios and individual stocks.
The term minimum rate of return is used here to distinguish the term expected
return which means the same as the avarage return in the Treynor model and the
Sharpe model. Mutual fund returns based on NAV / unit are as follows:
Rp = (NABsell
� NABbuy) + dividen
/ NABbuy
Information:
Rp ��������������� ��������������=
Mutual fund return
Selling NAV �������������� = Net Asset
Value when selling (selling price)
Purchase NAB ��������� = Net Asset
Value when purchased (purchase price)
Dividend
������������������� = Share of profits
received in cash
RESULT
From the results of calculating the
performance using the Sharpe method for the period 2017 - 2018 it can be seen
and illustrated in the following graph:
Graph 1
Sharpe Model 2017
- 2018
From the graph above, it can be seen that the performance
of mutual funds using the Sharpe method in 2017. The performance of the highest
Shariah equity funds using the Sharpe method in 2017 was 0.07137, the lowest
was -1.73547 and the average mutual fund performance was Sharpe in 2017
amounted to -0.40744. As attached to the list attached to table 1 Meanwhile for
the 2018 period it can be seen that the performance of mutual funds using the
Sharpe method in 2018. The highest mutual fund performance using the Sharpe
method in 2018 was 8,60764 the lowest was -0.06936 and the average mutual fund
performance using the Sharpe method in 2018 was 0.95170. Can be seen in the
attachment table 2
Performance
with the Treynor method can be shown by looking at the chart below
Graph 2
Trend Model for the 2017 -
2018 Period
From the
graph above it can be seen that the performance of mutual funds using the Teynor method in 2017. The highest mutual fund performance
using the Teynor method in 2017 was 0.01091, the
lowest was -0.02251 and the average mutual fund performance using the Teynor method was in 2017 amounted to - 0.00644. as
attached in table 3. And it can be explained that the highest mutual fund
performance using the Teynor method in 2018 was
0.26297, the lowest was 0.04038 and the average mutual fund performance using
the Teynor method in 2018 was 0.10437. Can be seen in
the attachment table 4. Whereas with the Jensen Model can be seen from Figure 3
below
Graph 3
�Jensen Model 2017 � 2018 period
From the graph above it can be explained that from the data above,
it can be seen that the performance of mutual funds using the Jensen method in
2017. The highest performance of the Shariah equity funds using the Jensen
method in 2017 was 0.01354, the lowest was -0.01835 and the average The average
performance of mutual funds using the Jensen method in 2017 was -0.00276. And
from the data above, it can be seen that the performance of mutual funds using
the Jensen method in 2018. The highest mutual fund performance using the Jensen
method in 2018 was 0.01778, the lowest was -0.00644 and the average performance
of the sharia stock mutual funds with the Jensen method in 2018 amounted to
0.01049. While the results of the two-difference test for the performance of
Islamic equity mutual funds are as follows:
Table 1
�Differences in the Performance of Sharia
Mutual Funds Using the Sharpe Model
From the data above, it can be seen that the average
performance of sharia mutual funds using the Sharpe model in Indonesia in
2017-2018 is 0.12954733. Meanwhile, the average performance of share types of
Islamic mutual funds using the Sharpe model in share types of Islamic mutual
funds in Malaysia in 2017-2018 is -0.486891. Based on the results of the
two-difference test analysis using SPSS, the significance value was obtained of
0.001 <0.05. By using the Sharpe model in Islamic mutual funds for the 2017-2018
period.
Table 2
Sharia Mutual Fund Performance
Differences Using the Treynor Model
From the data above, it can be seen that the average
performance of Islamic mutual funds using the Treynor model in Indonesia in
2017-2018 is 0.05577000. Meanwhile, the average performance of share types of
Islamic mutual funds using the Treynor model in Islamic mutual funds for stocks
in Malaysia in 2017-2018 is 0.01131500. Based on the results of the
two-difference test analysis using SPSS, it was obtained a significance value
of 0.041 <0.05. By using the treynor model in
Islamic mutual funds for the 2017-2018 period
Table 3
Differences in Sharia Mutual Fund
Performance Using the Jensen Model
From the data above, it can be seen that the average
performance of Islamic mutual funds using the jensen
model in stock type Islamic mutual funds in Indonesia in 2017-2018 is
0.00428625. Meanwhile, using the jensen model in
Islamic mutual funds, the type of shares in Malaysia in 2017-2018 is -0.001919.
Based on the results of the analysis using SPSS, it was obtained a significance
value of 0.049 <0.05. By using the jensen model in
Islamic mutual funds for the 2017-2018 period.
CONCLUSION
Based on the research results, several
conclusions can be drawn: Based on the results of the analysis, a significance
value of 0.001 <0.05 is obtained. By using the Sharpe model, a significance
value of 0.041 <0.05 was obtained using the Treynor model and a significance
value of 0.049 <0.05 was obtained using the Jensen model in the type of
Islamic mutual funds. From the results of the different test above, it can be
concluded that the Medel Sharpe has the difference in
performance is more significant compared to the trenor
model and jensen model, although all three are still
in the significant category because there are differences in performance.
So it can be concluded that all three models
can measure mutual funds performance, but for mutual funds performance as measured by Medel
Sharpe has the highest level of significance when compared to the Treynor Model
and Jensen Model. The results of this study are in accordance with research
conducted by (Basuki & Khoiruddin, 2018) which proves that the performance of
Islamic mutual funds in Indonesian stocks is superior to Malaysia, but is not
in accordance with research conducted by (Putra & Mawardi, 2016), (Huda, Nazwirman, & Hudori, 2017) which proves that No There is a
significant difference in the return of Islamic equity funds.
Further research is suggested to invest in
Islamic mutual fund companies, the coverage of Islamic mutual funds is very
broad, especially with the Indonesian economy which is not completely based on
finance. Therefore, companies need to develop a strategy that is broader in
scope in increasing the value of the mutual fund products themselves, so that
they can compete with financial companies in Southeast Asia in the field of
Islamic investment.
Investors who want to invest in mutual funds
should first consider the past performance of the mutual funds and should
understand well the prospects for mutual funds to maximize the expected return.
It is also hoped that other models can be added to the calculation of mutual
fund performance, such as the 𝑀2 method and the Information Ratio, so
that it can be compared with. Future researchers can also replace existing
benchmarks with others such as the LQ-45 and JII indices to produce more
accurate ones.
REFERENCES
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Khoiruddin, Moh. (2018). Comparative Performance Islamic
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performance: A cross-country study. Review of Finance, 17(2), 483�525. Google Scholar
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Nazwirman, & Hudori, Khamim. (2017). Analisis Perbandingan Kinerja Reksa
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