EVALUASI KINERJA REKSADANA SAHAM PERIODE PENELITIAN TAHUN 2009 - 2012 DENGAN MENGGUNAKAN METODE SHARPE, TREYNOR DAN JANSEN ALPHA
Investment is a term that is always in connection with financial, economic, and how to manage both. However, in doing investment, other than the expected profit there is also risk. One of the investment instruments is equity - mutual fund. An investor has to posses certain planning towards the profi...
| Main Authors: | , |
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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2013
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| _version_ | 1826047429037785088 |
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| author | , Lucia Wahyuningrum , Prof. Dr. Eduardus Tandelilin, MBA. |
| author_facet | , Lucia Wahyuningrum , Prof. Dr. Eduardus Tandelilin, MBA. |
| author_sort | , Lucia Wahyuningrum |
| collection | UGM |
| description | Investment is a term that is always in connection with financial, economic, and how
to manage both. However, in doing investment, other than the expected profit there is
also risk. One of the investment instruments is equity - mutual fund. An investor has
to posses certain planning towards the profit which will be obtained, when he is doing
investment in equity-mutual fund. Hence, other than potential and most-advantageous
profit from equity-mutual fund, investor also has to be warned of its associated risk.
In need of information regarding equity�mutual fund performance and its potential
risk, research is conducted on the performance of equity�mutual fund, by calculating
and evaluating its performance using three methods, those are: Sharpe, Treynor and
Jensen, which then is compared by four benchmarks: IHSG (Indeks Harga Saham
Gabungan/Jakarta Composite Index), Index LQ45, Index BIS27 and Index Kompas
100. This is conducted as a means to calculate performance of risk-based equitymutual
fund investment. It is also conducted in this research, a testing towards mutual
fund�s performance rank consistency, along with Kendall W�s method.
It is concluded in this research that calculation using Sharpe, Treynor and Jensen�s
methods which are compared with four benchmarks shows that the performances of
48 equity-mutual fund generally is poor or underperformed. Nonetheless, in this
research it appears that one equity-mutual fund is always outperformed in all
calculation methods and benchmarks. From the facet of performance rank
consistency, it could be concluded that there is a consistency in the performance rank
between three calculation methods. This could also indicate that the fund manager has
conducted proper portfolio diversification. |
| first_indexed | 2024-03-13T23:10:44Z |
| format | Thesis |
| id | oai:generic.eprints.org:125461 |
| institution | Universiti Gadjah Mada |
| last_indexed | 2024-03-13T23:10:44Z |
| publishDate | 2013 |
| publisher | [Yogyakarta] : Universitas Gadjah Mada |
| record_format | dspace |
| spelling | oai:generic.eprints.org:1254612016-03-04T08:39:59Z https://repository.ugm.ac.id/125461/ EVALUASI KINERJA REKSADANA SAHAM PERIODE PENELITIAN TAHUN 2009 - 2012 DENGAN MENGGUNAKAN METODE SHARPE, TREYNOR DAN JANSEN ALPHA , Lucia Wahyuningrum , Prof. Dr. Eduardus Tandelilin, MBA. ETD Investment is a term that is always in connection with financial, economic, and how to manage both. However, in doing investment, other than the expected profit there is also risk. One of the investment instruments is equity - mutual fund. An investor has to posses certain planning towards the profit which will be obtained, when he is doing investment in equity-mutual fund. Hence, other than potential and most-advantageous profit from equity-mutual fund, investor also has to be warned of its associated risk. In need of information regarding equity�mutual fund performance and its potential risk, research is conducted on the performance of equity�mutual fund, by calculating and evaluating its performance using three methods, those are: Sharpe, Treynor and Jensen, which then is compared by four benchmarks: IHSG (Indeks Harga Saham Gabungan/Jakarta Composite Index), Index LQ45, Index BIS27 and Index Kompas 100. This is conducted as a means to calculate performance of risk-based equitymutual fund investment. It is also conducted in this research, a testing towards mutual fund�s performance rank consistency, along with Kendall W�s method. It is concluded in this research that calculation using Sharpe, Treynor and Jensen�s methods which are compared with four benchmarks shows that the performances of 48 equity-mutual fund generally is poor or underperformed. Nonetheless, in this research it appears that one equity-mutual fund is always outperformed in all calculation methods and benchmarks. From the facet of performance rank consistency, it could be concluded that there is a consistency in the performance rank between three calculation methods. This could also indicate that the fund manager has conducted proper portfolio diversification. [Yogyakarta] : Universitas Gadjah Mada 2013 Thesis NonPeerReviewed , Lucia Wahyuningrum and , Prof. Dr. Eduardus Tandelilin, MBA. (2013) EVALUASI KINERJA REKSADANA SAHAM PERIODE PENELITIAN TAHUN 2009 - 2012 DENGAN MENGGUNAKAN METODE SHARPE, TREYNOR DAN JANSEN ALPHA. UNSPECIFIED thesis, UNSPECIFIED. http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=65630 |
| spellingShingle | ETD , Lucia Wahyuningrum , Prof. Dr. Eduardus Tandelilin, MBA. EVALUASI KINERJA REKSADANA SAHAM PERIODE PENELITIAN TAHUN 2009 - 2012 DENGAN MENGGUNAKAN METODE SHARPE, TREYNOR DAN JANSEN ALPHA |
| title | EVALUASI KINERJA REKSADANA SAHAM PERIODE PENELITIAN TAHUN 2009 - 2012 DENGAN MENGGUNAKAN METODE SHARPE, TREYNOR DAN JANSEN ALPHA |
| title_full | EVALUASI KINERJA REKSADANA SAHAM PERIODE PENELITIAN TAHUN 2009 - 2012 DENGAN MENGGUNAKAN METODE SHARPE, TREYNOR DAN JANSEN ALPHA |
| title_fullStr | EVALUASI KINERJA REKSADANA SAHAM PERIODE PENELITIAN TAHUN 2009 - 2012 DENGAN MENGGUNAKAN METODE SHARPE, TREYNOR DAN JANSEN ALPHA |
| title_full_unstemmed | EVALUASI KINERJA REKSADANA SAHAM PERIODE PENELITIAN TAHUN 2009 - 2012 DENGAN MENGGUNAKAN METODE SHARPE, TREYNOR DAN JANSEN ALPHA |
| title_short | EVALUASI KINERJA REKSADANA SAHAM PERIODE PENELITIAN TAHUN 2009 - 2012 DENGAN MENGGUNAKAN METODE SHARPE, TREYNOR DAN JANSEN ALPHA |
| title_sort | evaluasi kinerja reksadana saham periode penelitian tahun 2009 2012 dengan menggunakan metode sharpe treynor dan jansen alpha |
| topic | ETD |
| work_keys_str_mv | AT luciawahyuningrum evaluasikinerjareksadanasahamperiodepenelitiantahun20092012denganmenggunakanmetodesharpetreynordanjansenalpha AT profdreduardustandelilinmba evaluasikinerjareksadanasahamperiodepenelitiantahun20092012denganmenggunakanmetodesharpetreynordanjansenalpha |