Analisis Konsistensi Kinerja Reksa Dana Saham di Indonesia dan Kemampuan Manajer Investasi dalam Hal Market Timing serta Stock Selection
This study aimed to evaluate the performance, consistency of mutual funds in Indonesia by doing some different measurements and also to analyze the ability of stock selection and market timing of investment managers. This study used 32 mutual funds which listed in BAPEPAM period 2009-2013. The metho...
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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2014
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| _version_ | 1826048422770114560 |
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| author | , FADHILAH RAHMATINA , Agus Setiawan, Dr., M.Soc.Sc., CMA |
| author_facet | , FADHILAH RAHMATINA , Agus Setiawan, Dr., M.Soc.Sc., CMA |
| author_sort | , FADHILAH RAHMATINA |
| collection | UGM |
| description | This study aimed to evaluate the performance, consistency of mutual funds in
Indonesia by doing some different measurements and also to analyze the ability of
stock selection and market timing of investment managers. This study used 32
mutual funds which listed in BAPEPAM period 2009-2013. The methode used to
analyze the performance of mutual funds was risk adjusted performance. This
study evaluated the performance consistency of mutual funds useing Kendall-W.
Treynor-Mazuy and Henriksson-Merton model was used to test timing and stock
selection ability of mutual fund managers. The results of this study indicate that
the performance of 28 % mutual funds in Indonesia during 2009 till 2013 was
outperform comparing the benchmark (IHSG). Kendall 's W Test results had value
of Kendall-W (0.334) that lower than 0,50. It showed there was little consistency
on performance of mutual fund shares in Indonesian by using Sharpe, Treynor and
Jensen index measurement. The results of the Treynor-Mazuy and Henriksson-
Merton methode showed that there were 10 mutual funds that have γ significant
positive and 3 mutual funds that have α significant positive. By doing mutual
funds individually analysis, there were investment managers who had ability of
market timming and stock selection on equity funds in Indonesia. |
| first_indexed | 2024-03-13T23:29:11Z |
| format | Thesis |
| id | oai:generic.eprints.org:130441 |
| institution | Universiti Gadjah Mada |
| last_indexed | 2024-03-13T23:29:11Z |
| publishDate | 2014 |
| publisher | [Yogyakarta] : Universitas Gadjah Mada |
| record_format | dspace |
| spelling | oai:generic.eprints.org:1304412016-03-04T07:55:52Z https://repository.ugm.ac.id/130441/ Analisis Konsistensi Kinerja Reksa Dana Saham di Indonesia dan Kemampuan Manajer Investasi dalam Hal Market Timing serta Stock Selection , FADHILAH RAHMATINA , Agus Setiawan, Dr., M.Soc.Sc., CMA ETD This study aimed to evaluate the performance, consistency of mutual funds in Indonesia by doing some different measurements and also to analyze the ability of stock selection and market timing of investment managers. This study used 32 mutual funds which listed in BAPEPAM period 2009-2013. The methode used to analyze the performance of mutual funds was risk adjusted performance. This study evaluated the performance consistency of mutual funds useing Kendall-W. Treynor-Mazuy and Henriksson-Merton model was used to test timing and stock selection ability of mutual fund managers. The results of this study indicate that the performance of 28 % mutual funds in Indonesia during 2009 till 2013 was outperform comparing the benchmark (IHSG). Kendall 's W Test results had value of Kendall-W (0.334) that lower than 0,50. It showed there was little consistency on performance of mutual fund shares in Indonesian by using Sharpe, Treynor and Jensen index measurement. The results of the Treynor-Mazuy and Henriksson- Merton methode showed that there were 10 mutual funds that have γ significant positive and 3 mutual funds that have α significant positive. By doing mutual funds individually analysis, there were investment managers who had ability of market timming and stock selection on equity funds in Indonesia. [Yogyakarta] : Universitas Gadjah Mada 2014 Thesis NonPeerReviewed , FADHILAH RAHMATINA and , Agus Setiawan, Dr., M.Soc.Sc., CMA (2014) Analisis Konsistensi Kinerja Reksa Dana Saham di Indonesia dan Kemampuan Manajer Investasi dalam Hal Market Timing serta Stock Selection. UNSPECIFIED thesis, UNSPECIFIED. http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=70863 |
| spellingShingle | ETD , FADHILAH RAHMATINA , Agus Setiawan, Dr., M.Soc.Sc., CMA Analisis Konsistensi Kinerja Reksa Dana Saham di Indonesia dan Kemampuan Manajer Investasi dalam Hal Market Timing serta Stock Selection |
| title | Analisis Konsistensi Kinerja Reksa Dana Saham di Indonesia dan Kemampuan Manajer Investasi dalam Hal
Market Timing serta Stock Selection |
| title_full | Analisis Konsistensi Kinerja Reksa Dana Saham di Indonesia dan Kemampuan Manajer Investasi dalam Hal
Market Timing serta Stock Selection |
| title_fullStr | Analisis Konsistensi Kinerja Reksa Dana Saham di Indonesia dan Kemampuan Manajer Investasi dalam Hal
Market Timing serta Stock Selection |
| title_full_unstemmed | Analisis Konsistensi Kinerja Reksa Dana Saham di Indonesia dan Kemampuan Manajer Investasi dalam Hal
Market Timing serta Stock Selection |
| title_short | Analisis Konsistensi Kinerja Reksa Dana Saham di Indonesia dan Kemampuan Manajer Investasi dalam Hal
Market Timing serta Stock Selection |
| title_sort | analisis konsistensi kinerja reksa dana saham di indonesia dan kemampuan manajer investasi dalam hal market timing serta stock selection |
| topic | ETD |
| work_keys_str_mv | AT fadhilahrahmatina analisiskonsistensikinerjareksadanasahamdiindonesiadankemampuanmanajerinvestasidalamhalmarkettimingsertastockselection AT agussetiawandrmsocsccma analisiskonsistensikinerjareksadanasahamdiindonesiadankemampuanmanajerinvestasidalamhalmarkettimingsertastockselection |