The Impact of Tracking Error and Risk on Islamic Index Mutual Fund Performance in Indonesia

ABSTRAK

Penelitian ini bertujuan untuk menganalisis pengaruh tracking error dan risiko terhadap kinerja reksa dana indeks syariah di Indonesia. Penelitian ini melakukan pengujian analisis regresi linier berganda pada lima sampel dengan menggunakan data nilai aktiva bersih dan return JII dan reksa dana indeks syariah yang terdaftar pada Otoritas Jasa Keuangan sampai Desember 2019. Hasil pengujian menunjukkan bahwa tracking error tidak memiliki pengaruh signifikan terhadap kinerja reksa dana indeks syariah dan tingkat risiko berpengaruh positif dan signifikan terhadap kinerja reksa dana indeks syariah.

Kata kunci: Kinerja reksa dana indeks syariah, Tracking error, Risiko, Analisis regresi linier berganda.

ABSTRACT

This study aims to analyze the impact of tracking error and risk on Islamic index mutual fund performance in Indonesia. This study ran multiple linear regression analyses on five samples using the net asset values and returns of JII and Islamic index mutual funds that are listed in the Financial Services Authority using data until December 2019. The result showed that tracking error had no significant effect on the performance of Islamic index mutual funds, while the level of risk had a significant positive effect on the performance of Islamic index funds.

Keywords: Islamic index mutual fund performance, Tracking error, Risk, Multiple linear regression analysis.

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