ANALISIS KINERJA REKSA DANA SAHAM MENGGUNAKAN METODE SHARPE,TREYNOR DAN JENSEN
Mutual Fund is one of developing investment instrument which goes simultaneously with Indonesian capital market growth. Sharia fund was made to accommodate various societies investment demand and objectives. Sharia fund is generally similar with conventional mutual funds. It is categorized as an ope...
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| Main Authors: | , |
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| 格式: | Theses and Dissertations NonPeerReviewed |
| 出版: |
[Yogyakarta] : Universitas Gadjah Mada
2012
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| 主題: | |
| 在線閱讀: | https://repository.ugm.ac.id/98843/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=55065 |
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| 機構: | Universitas Gadjah Mada |
| 總結: | Mutual Fund is one of developing investment instrument which goes
simultaneously with Indonesian capital market growth. Sharia fund was made to
accommodate various societies investment demand and objectives. Sharia fund is
generally similar with conventional mutual funds. It is categorized as an open
mutual fund in a form of Collective Investment Contract (CIC). The fundamental
difference between conventional mutual fund and sharia fund is on their
investment policy. Sharia fund�s investment policies, including portfolio selection
and its management strategy, have been adjusted to accord with the Islamic
principle.
Mutual fund performance measurement (especially for sharia fund) is an essential
stage which must be done by investors before they invest in that instrument. One
of the indicators to evaluate sharia fund performance is the successfulness of fund
managers strategy in managing sharia funds portfolio. It is normally reflected
from its Net Asset Value (NAV).
This research evaluates sharia equity funds performances (by comparing daily
NAV and its daily market return (Jakarta Islamic Index)) and conventional equity
funds performances (by comparing its daily NAV and IDX Composite Price Index)
using Sharpe Method (RVAR), Treynor Method (RVOL) and Jensen Method
(ALPHA). RVAR measures portfolio performance using total risk or deviation
standard as risk indicator. RVOL and ALPHA use systemic risks or beta as risk
indicator. Higher RVAR,RVOL, and ALPHA scores of a fund indicates a better
performance.
Sharia funds performances in 2009 is generally good compare to conventional
funds performances, as shown in the first position of its Treynor, Sharpe and
Jensen |
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