KONSISTENSI METODE SHARPE, TREYNOR, DAN JENSEN&rsquo
Investment is temporarily postponed consumption for greater future consumption. Two elements that investment are return and risk. One of the investment instrument is protected funds. Amid the uncertainty of global financial conditions, which resulted in price declines in stocks, bonds and other fina...
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| Main Authors: | , |
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| 格式: | Theses and Dissertations NonPeerReviewed |
| 出版: |
[Yogyakarta] : Universitas Gadjah Mada
2011
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| 主題: | |
| 在線閱讀: | https://repository.ugm.ac.id/89870/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=51040 |
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| 總結: | Investment is temporarily postponed consumption for greater future
consumption. Two elements that investment are return and risk. One of the
investment instrument is protected funds. Amid the uncertainty of global financial
conditions, which resulted in price declines in stocks, bonds and other financial
instruments, protected funds are expected to protect their initial investment while
still providing returns to investors. Evaluating the performance of mutual funds
generally have 2 approaches, namely measuring the level of mutual fund returns
and measures the level of risk-adjusted performance. Using risk-adjusted
performance, there are three methods commonly used by investment managers.
Yhe methods are Sharpe, Treynor and Jensen Performance Index. This study
examines whether there is consistency in measurement methods Sharpe, Treynor
and Jensen performance of protected funds in the period from January 2007 until
December 2009. From the results of calculations using the statistical test of
Kendall's W Test, can be seen that asympt.sig value is 0.319. Thus concluded
there was no consistency in protected mutual fund performance evaluation period
January 2007 to December 2009 using Sharpe index, Treynor index and Jensen's
Alpha index. |
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