• ISSN: 2301-3567 (Print), 2972-3981 (Online)
    • Abbreviated Title: J. Econ. Bus. Manag.
    • Frequency: Quarterly
    • DOI: 10.18178/JOEBM
    • Editor-in-Chief: Prof. Eunjin Hwang
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HOME > Archive > 2014 > Volume 2 Number 1 (Feb. 2014) >
JOEBM 2014 Vol.2(1): 74-80 ISSN: 2301-3567
DOI: 10.7763/JOEBM.2014.V2.102

Islamic and Conventional Equity Fund Rating Performance withalReturn, Sharpe, Modified Snail Trail, and Morningstar Rating Groundwork

A. F. Hartono, S. Soekarno, and S. M. Damayanti

Abstract—This research aims to assess the performance of equity fund in Indonesia, Islamic and Conventional, whether they can outperform the market. The samples used in this research are 36 equity funds which have been established prior to January 2008. The performance measurement methods are rating based on return, Sharpe index, Modified Snail Trail, and Morningstar. This research finds that the performance of Islamic equity fund does not differ significantly compared to market and conventional equity fund based on return and Sharpe Index. The finding in high rating portfolio is quite obvious, high return and Sharpe Index rating portfolios produce the highest expected return of 1.09% in 5 years. Meanwhile, modified snail trail method shows 1% expected return, and the lastly, Morningstar rating indicates 0.64% return. These portfolios, except for Morningstar rating, outperform to benchmark portfolios namely, equally weighted portfolio and minimizing risk portfolio in all of three categories.

Index Terms—Conventional equity fund, islamic equity fund, modified snail trail, morningstar rating, sharpe index.

The authors Are with the School of Business and Management, Bandung Institute of Technology, Jl. Ganesha 10, Bandung, 40132, West Java, Indonesia (e-mail: antonia.febe@sbm-itb.ac.id, subiakto@sbm-itb.ac.id, sylvianamaya@sbm-itb.ac.id).

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Cite:A. F. Hartono, S. Soekarno, and S. M. Damayanti, "Islamic and Conventional Equity Fund Rating Performance withalReturn, Sharpe, Modified Snail Trail, and Morningstar Rating Groundwork," Journal of Economics, Business and Management vol. 2, no. 1, pp. 74-80, 2014.

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