ANALISIS PERBEDAAN KINERJA REKSA DANA SAHAM MENGGUNAKAN METODE SHARPE, TREYNOR, DAN JENSEN PADA PERIODE 2010-2014

SUDARSONO, HARY (2016) ANALISIS PERBEDAAN KINERJA REKSA DANA SAHAM MENGGUNAKAN METODE SHARPE, TREYNOR, DAN JENSEN PADA PERIODE 2010-2014. S1 thesis, Universitas Negeri Jakarta.

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Abstract

ABSTRACT HARY SUDARSONO. Analysis Of Differences In Equity Mutual Fund Performance Based On Sharpe’s, Treynor’s, And Jensen’s Methods In 2010-2014 Periods. Faculty Of Economy State University of Jakarta. 2016. This research aims to determine whether there is any difference in the performance of equity mutual funds in Indonesia using RVAR Sharpe’s, RVOL Treynor’s, and Jensen Alpha methods. In addition to determine how the level of risk affect the returns of mutual funds, beta value of mutual fund in 2010 until 2014 and how the equity fund performance on JCI as the benchmark. The data used is net asset value (NAV) of 35 mutual funds operating in the 2010 until 2014 period, SBI as risk free, and JCI as market risk. The analysis using the Kruskal-Wallis. The results show that risk positively effected the return of equity funds in the period 2010 until 2014, in addition the majority of mutual funds operating in the 2010 until 2014 period had performance below benchmark and there is no mutual funds performed better than JCI when viewed using each method, and Kruskal-Wallis test show there is no significant difference on the result of the performance of a portfolio of mutual funds during the period, or it can be said the same. Keywords: equity mutual fund, sharpe, treynor, jensen, JCI, risk, return

Item Type: Thesis (S1)
Additional Information: Pembimbing I: Dr. Hamidah, SE, M.Si ., Pembimbing II: Dra. Umi Mardiyati, M.Si
Subjects: Teknologi dan Ilmu-Ilmu Terapan (Technology and Applied Science) > Manajemen (Management and Auxiliary Service)
Teknologi dan Ilmu-Ilmu Terapan (Technology and Applied Science) > Manajemen (Management and Auxiliary Service) > Manajemen Umum (General Management) > Manajemen Keuangan (Financial Management)
Teknologi dan Ilmu-Ilmu Terapan (Technology and Applied Science) > Manajemen (Management and Auxiliary Service) > Manajemen Umum (General Management) > Manajemen Kontrol dan Kualitas (Control and Quality Management)
Divisions: Fakultas Ekonomi > S1 Manajemen
Depositing User: Budi Siswanto
Date Deposited: 15 Jan 2018 07:58
Last Modified: 15 Jan 2018 07:58
URI: http://repository.fe.unj.ac.id/id/eprint/2557

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