Performance Analysis of Sharia and Conventional Mutual Funds During 2008 and 2013 Crisis Periods

Yudanto, Ambang Aries

doi:10.31092/jia.v1i1.69

Cited by 4 publications

(5 citation statements)

References 5 publications

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“…Relatively, the actively managed Tata Ethical Fund performed better in the first sub-period, by not generating a negative alpha, unlike the passive NSE Sharīʿah 500 index. Jensen's Alpha in the previous studies (Yudanto, 2017;Karim and Panetta, 2014;Setiawan and Oktariza, 2013;Munusamy and Natarajan, 2011;Singh and Das, 2013), are either not estimated through regressions like in this paper or are estimated on monthly frequencies (Elfakhani et al, 2005), and therefore, cannot be compared with the results in this paper. Jensen's Alpha of NSE Sharīʿah 50 is the weakest of the SCEIs.…”

Section: Investment Horizon and Market Volatilitymentioning

confidence: 80%

“…The evidence so far seems to be conflicting and inconclusive. Elfakhani et al (2005), Rizvi and Arshad (2014), Setiawan and Oktariza (2013), Yudanto (2017) and Boo et al (2017) show that there is no significant difference in the return performance between Islamic and non-Islamic funds. However, Ismail and Shakrani (2003) and Karim and Panetta (2014) show that Islamic Unit Trusts and Indices, respectively, perform better than their non-Islamic counterparts.…”

Section: Review Of Relevant Literaturementioning

confidence: 99%

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On being Sharīʿah compliant in equity investments: impact of investment horizon andmarket volatility

Nihar

Modekurti

2021

JIABR

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Purpose This paper aims to undertake a comprehensive comparative analysis of Sharīʿah-compliant equity investments (SCEIs) and their non-Sharīʿah counterparts, in India, conditioning for investment horizon and market volatility. Indirectly, it also investigates for time varying performance of SCEIs, and explicitly analyses the unsystematic risk and related adequacy of returns. Design/methodology/approach Testing for statistical significance of differences in risks and returns; analysing portfolio performance using conventional metrics, information ratio, and Jensen's Alpha; Estimating returns due to stock selection and market timing using Fama’s Net Selectivity and Treynor and Mazuy’s Models. Findings SCEIs in India do not significantly differ in their total risks and returns compared to their conventional counterparts. While their risk is lower in the monthly and quarterly investment horizons, their Jensen’s Alphas are positive only in the annual investment horizons. These findings hold, when market volatility is low. Market timing wipes out the superior returns that exist due to stock selection in SCEIs. Research limitations/implications Being Sharīʿah-compliant is beneficial only in longer investment horizons. Asset selection, not co-movement with the market, is key to excess returns to compensate for risks due to inadequate diversification. However, only cautious market timing can conserve them. Practical implications Though investors are not better-off in choosing ethical investments, they are not worse-off either. Being Sharīʿah-compliant is rewarding during less volatile markets. Originality/value This paper extends international literature on SCEIs, with evidence on the impact of investment horizon and market volatility on their returns and risks. Further, this paper is also a comprehensive analysis of Indian SCEIs, broadening the empirical evidence on a significant, non-Islamic and emerging market.

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Section: Investment Horizon and Market Volatilitymentioning

confidence: 80%

Section: Review Of Relevant Literaturementioning

confidence: 99%

On being Sharīʿah compliant in equity investments: impact of investment horizon andmarket volatility

Nihar

Modekurti

2021

JIABR

View full text Add to dashboard Cite

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“…Similarly, research (Syafrida et al, 2015) which states there is no significant difference between the performance of sharia and conventional instruments. The research was also carried out by (Yudanto, 2016) which revealed that there was no difference in the performance of sharia and conventional mutual funds in 2008. Research was also conducted (Hilman, 2017) which said there were no significant differences between sharia and non-sharia mutual funds.…”

Section: Research Findings and Discussionmentioning

confidence: 99%

Comparison of Risks, Returns and Performance Measurements of Sharia and Non-Sharia Mutual Funds in Indonesia

Prasetyo¹,

Athoillah²,

Yusup³

2019

JMSR

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Investment is a sacrifice to postpone current consumption by allocating a number of assets that are expected to earn benefits in the future. Islamic Sharia does not forbid Muslims to do it, even there is an indication that it is recommended. The main motivation is to be able to pay more alms in the future. One of investment instruments in Indonesia is Mutual Funds. Indonesia's predominantly Muslim population is one of the triggers for the development of sharia-based mutual funds. However, its development has not been as big as the existing potential market. One of the reasons is there is still a view in the community that sharia-based instruments provide lower returns than non-sharia. This study compares the risks and returns of mutual funds, between sharia and non-sharia based. Sampling of both used purposive sampling, where there were 6 sharia mutual funds and 8 non-sharia mutual funds. The study was conducted in 5 years. The results of the study were: (1) There was no significant difference between the risks of both; (2) There was no significant difference between the returns of both; (3) The performance of non-sharia mutual funds was more dominating than sharia mutual funds.

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“…In 2010, there were 48 sharia mutual funds are operating, while conventional mutual funds are 564. In the three-year intervals, which is 2013, the increase in sharia mutual funds did not occur significantly, where the number of sharia mutual funds in 2013 only reached 7.90% of the total number of mutual funds operating both sharia mutual funds as well as conventional (Yudanto, 2017). Meanwhile, in the same year there were 92.15% conventional mutual funds.…”

Section: Development Of Islamic Mutual Funds In Indonesiamentioning

confidence: 91%

Analysis of Islamic Mutual Funds Development in Indonesia and Legal Protection Urgency for Its Unit Participation Holders

Pradana

2022

J-HES

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Reksadana syariah merupakan salah satu produk investasi yang paling diminati oleh masyarakat. Hal ini dapat dilihat dari perkembangan yang cukup menjanjikan dengan aset sebesar Rp39,71 triliun per Agustus 2021. Meski demikian, perkembangan reksadana syariah masih tertinggal jika dibandingkan dengan sektor keuangan konvensional. Selain itu, reksadana memiliki risiko tinggi dan imbal hasil tidak terjamin. Tujuan penelitian ini adalah menganalisis perkembangan reksadana syariah dibandingkan reksadana konvensional sejak tahun 2010 hingga Agustus 2020 serta urgensi perlindungan hukum bagi pemilik unit penyertaan. Penelitian ini menggunakan metode penelitian kepustakaan yang bersumber dari berbagai jurnal ilmiah, buku dan informasi yang bersumber dari Peraturan Otoritas Jasa Keuangan (OJK) serta Peraturan Bapepam terkait reksadana. Jumlah reksadana dan Nilai Aktiva Bersih (NAB) digunakan sebagai parameter pembanding dari kedua jenis reksadana. Berdasarkan data, jumlah reksadana syariah tumbuh cukup baik dari tahun 2010 hingga Agustus 2021. Begitu pula dengan NAB reksadana syariah yang cenderung meningkat dari tahun 2010 hingga Agustus 2021, meskipun pada Agustus 2021 NAB reksadana syariah turun menjadi 7,32% dari seluruh dana kelola reksadana. Beberapa faktor yang menjadi penyebab lambatnya perkembangan reksadana syariah di Indonesia antara lain rendahnya pengetahuan dan kepercayaan masyarakat terhadap reksadana syariah, serta kurangnya dukungan pemerintah dan regulasi investasi syariah. Salah satu upaya yang dapat dilakukan untuk meningkatkan kepercayaan masyarakat terhadap reksadana syariah ialah adanya jaminan dan perlindungan hukum terhadap aset yang diinvestasikan. Perlindungan hukum dapat dicapai dengan memastikan bahwa setiap tahapan proses investasi, meliputi tahap pra kontrak, tahap kontrak, maupun tahap pasca kontrak, telah sesuai dengan peraturan yang berlaku di Indonesia.AbstractSharia mutual funds are one of the most in-demand investment products for the public in Indonesia. This can be seen from the promising development with assets of 39.71 Rupiah trillion as of August 2021. However, the development of Islamic mutual funds is still lagging compared to the conventional financial sector. In addition, mutual funds carry high risk and unguaranteed returns. The purpose of this study is to analyze the development of sharia mutual funds compared to conventional mutual funds from 2010 to August 2020 and the urgency of legal protection for owners of investment units. This study is based on the literature study which originates from various scientific journals, books and information obtained from the Financial Services Authority (OJK) Regulations and Bapepam Regulations related to mutual funds. Based on data, the number of sharia mutual funds grew well from 2010 to August 2021. Likewise, the NAV of sharia mutual funds tends to increase from 2010 to August 2021. Several factors have contributed to the slow development of Islamic mutual funds in Indonesia, including low public knowledge and trust, as well as the lack of government support and regulation of Islamic investments. One of the efforts that can be made to increase public trust in sharia mutual funds is the guarantee and legal protection of the assets invested. Legal protection can be achieved by ensuring that every stage of the investment process, including the pre-contract stage, contract stage, and post-contract stage, complies with the regulations in force in Indonesia.

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Performance Analysis of Sharia and Conventional Mutual Funds During 2008 and 2013 Crisis Periods

Cited by 4 publications

References 5 publications

On being Sharīʿah compliant in equity investments: impact of investment horizon andmarket volatility

On being Sharīʿah compliant in equity investments: impact of investment horizon andmarket volatility

Comparison of Risks, Returns and Performance Measurements of Sharia and Non-Sharia Mutual Funds in Indonesia

Analysis of Islamic Mutual Funds Development in Indonesia and Legal Protection Urgency for Its Unit Participation Holders

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