Analisis Komparatif Kinerja ETF XIJI Berdasarkan Indeks JII Dan IHSG dengan Metode Sharpe, Treynor, dan Jensen
Abstract
Investing requires an in-depth understanding of the performance of each instrument, in this study using the XIJI ETF as a research object with the JII index as a benchmark representing Islamic stocks on the Indonesia Stock Exchange (IDX) and the Jakarta Composite Index (JCI) as a market return in performance appraisal in this study. The performance of the XIJI ETF can be seen from the results of the assessment using different returns value tests are sharpe, treynor, and Jensen performance different tests. This study aims to compare the performance of the XIJI ETF with the JII and JCI indexes. The data analysis technique used in this study used the Independent Sample T-Test in testing the hypothesis. The results of this study are that there is no significant difference in the performance of Sharpe, Treynor, and Jensen between the XIJI ETF and the JII index and the JCI except for the performance of the XIJI ETF Jensen and the JCI. In the different test of return values, it was found that there was no significant difference in the return of the XIJI ETF with the JII and JCI indexes. The results of the different tests of return values and the different tests of the performance of Sharpe, Treynor, and Jensen are similar, so that the XIJI ETF can be considered as a choice of investment instrument and it is hoped that this research can provide insight to investors and capital market practitioners in understanding the performance of the XIJI ETF and more informed investment decisions.