scholarly journals Kinerja Reksa Dana Saham Dengan Menggunakan Metode Sharpe, Trenyor Dan Jensen Pada Periode Januari 2014 Sampai Desember 2015

2019 ◽  
Vol 2 (2) ◽  
Author(s):  
Methirana Dan Indra Widjaja
Keyword(s):  
Data Collection ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Return On Investment ◽  
Research Method ◽  
Stock Exchange ◽  
Investment Policy ◽  
Objective Performance ◽  
Equity Funds ◽  
Investment Manager

The purpose of the research is to analyze the types of equity funds in the stock market and analyze the performance of the funds equity method using sharpe, trenyor methods, and methods of jensen. The research method used is the method of data collection and processing of data by calculation in accordance with methods of sharpe, treynor method and methods of jensen. Method of data collection is composed of effective data from the website of the stock exchange. Calculation method consists of a method of sharpe, treynor method, and methods of jensen. The benefits of this comparison can give you an idea about the objective performance of mutual funds in Indonesia as one of the considerations for investors and potential investors in choosing the best mutual fund, and to an investment manager with the research expected to provide knowledge about the Investment Manager on the performance that they do. In addition to knowing the competition industry mutual funds in Indonesia so as to provide a reference for an investment manager as a determinant of investment policy to increase the return on investment and minimize risk. As well as for the community Provide knowledge and information on the performance of mutual funds in Indonesia.

scholarly journals ASPEK HUKUM REKSA DANA KONTRAK INVESTASI KOLEKTIF SEBAGAI TRUSTS [Legal Aspects of Mutual Funds in the Form of Collective Investment Contracts as Trusts]

Law Review ◽  
2020 ◽  
Vol 20 (2) ◽  
pp. 246
Author(s):  
Yosephus Mainake
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Stock Exchange ◽  
Legal Aspects ◽  
Comparative Approach ◽  
Legal Tradition ◽  
Anglo Saxon ◽  
Conceptual Approach ◽  
Investment Manager

<p><em>The Capital Market Law, which carries with it the trust institutions, contains provisions regarding collective investment contract mutual funds (RD KIK) that produce securities in the form of participation units, which are traded on the stock exchange. In RD KIK, there is a trust relationship between the unit holder of the custodian bank and the investment manager. The legal relationship in the concept of collective RD KIK is similar to what happens in trusts. In the Anglo-Saxon legal tradition, mutual funds are often referred to as unit trusts and/or investment trusts, where the sponsor acts as a settlor who hands over his assets to the trustee, the sponsor acts as the settlor in the trusts as well as the unit holder in a collective investment contract mutual fund. In connection with these problems, normative legal research is carried out using a statute approach, a conceptual approach and a comparative approach. The method used in analyzing this research is qualitative analysis. So, it can be seen that the role of the custodian bank and investment manager acts as a trustee, where the custodian bank is given the authority to carry out collective custody of the assets of the joint investment contract unit holder. The investment manager is given the power to manage or control the assets submitted by the sponsor or settlor in the concept of trusts law. Thus, it can be said that the RD KIK concept is similar to the idea of trusts because it fulfills the elements of trusts.</em></p><p><strong>Bahasa Indonesia Abstrak: </strong>Undang-Undang Pasar Modal yang membawa serta pranata <em>trust</em> di dalamnya terdapat ketentuan mengenai reksa dana kontrak investasi kolektif (RD KIK) yang melahirkan efek dalam bentuk unit penyertaan, yang diperdagangkan di bursa efek. Dalam RD KIK, terdapat hubungan kepercayaan antara pemegang unit penyertaan terhadap bank kustodian dan manajer investasi. Hubungan hukum dalam konsep RD KIK kolektif ini mirip yang terjadi dalam <em>trusts</em>. Dalam tradisi hukum Anglo Saxon, reksa dana sering kali disebut dengan <em>unit trusts</em> dan atau <em>investment trust</em>, yaitu sponsor bertindak sebagai settlor yang menyerahkan harta kebendaanya kepada <em>trustee</em>, sponsor sebagai <em>settlor</em> dalam <em>trusts</em> sama halnya dengan pemegang unit penyertaan dalam reksa dana kontrak investasi kolektif. Sehubungan dengan permasalahan tersebut, dengan ini dilakukan penelitian hukum normatif dengan menggunakan pendekatan undang-undang, pendekatan konseptual dan pendekatan perbandingan. Cara yang digunakan dalam menganalisis penelitian ini yakni analisis kualitatif. Maka dapat dilihat bahwa peran bank kustodian dan manajer investasi bertindak sebagai <em>trustee</em>, di mana bank kustodian diberi wewenang untuk melaksanakan penitipan kolektif terhadap harta pemegang unit kontrak investasi kolektif dan manajer investasi diberi wewenang untuk melakukan pengelolaan atau penguasaan terhadap harta yang diserahkan oleh sponsor atau settlor dalam konsep hukum <em>trusts</em>. Dengan demikian, dapat dikatakan bahwa konsep RD KIK mirip dengan konsep <em>trusts</em> karena telah memenuhi unsur-unsur <em>trusts</em>.</p><p><strong>Kata Kunci: Reksa Dana Kontrak Investasi Kolektif, <em>Trusts</em></strong></p>

scholarly journals PENGUKURAN KINERJA REKSADANA SAHAM TERHADAP HARGA KOMODITAS MENGGUNAKAN BESARAN ALPHA JENSEN DAN CAPM

Media Ekonomi ◽  
2019 ◽  
Vol 26 (2) ◽  
pp. 103
Author(s):  
Robinsyah Anggalis Prasetiyo
Keyword(s):  
Crude Oil ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Time Series Data ◽  
Stock Exchange ◽  
Secondary Data ◽  
Poor Performance ◽  
Series Data ◽  
Equity Funds ◽  
Research Period

<em><em>This study aims to analyze the stock mutual funds that have the best performance and provide an overview to investors about stock mutual funds can be bought by investors. </em></em><em><em>The research methodology used is a quantitative method with the type of time series data and data sources derived from secondary data obtained from the Indonesia Stock Exchange. The research period from 2012 to 2016. Data analysis techniques used are using the Jensen model which explains that the performance of Mutual Funds can be seen from the amount of alpha of each Mutual Fund with the provisions that if a Mutual Fund has a positive alpha means it has good performance, vice versa Funds with negative alpha indicate poor performance. </em></em><em>The results of this study indicate that the performance of Coal, Gold, Nickel and Crude Oil on Equity Funds that manage Capital, Kapital Plus, and Consumption Plus mutual funds products based on the Jensen method each produces insignificant alpha and Jensen alpha values. This means that the performance of mutual funds Kapital, Kapital Plus, and Consumption Plus are not affected by the ups and downs of prices of Coal, Gold, Nickel and Crude Oil.</em>

scholarly journals PERBANDINGAN KINERJA REKSA DANA SAHAM DENGAN METODE SHARPE, TREYNOR, DAN JENSEN

2018 ◽  
Vol 11 (2) ◽  
pp. 93
Author(s):  
Ni Putu Ayu Darmayanti ◽  
Ni Putu Santi Suryantini ◽  
Henny Rahyuda ◽  
Sayu Ketut Sutrisna Dewi
Keyword(s):  
Performance Appraisal ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Stock Prices ◽  
Stock Exchange ◽  
Statistical Tests ◽  
Portfolio Performance ◽  
Market Mechanisms ◽  
Market Portfolio ◽  
Equity Funds

<p>Reksa dana saham merupakan reksa dana yang menawarkan keuntungan yang tinggi namun juga memiliki risiko yang tinggi karena dipengaruhi oleh fluktuasi yakni penurunan harga saham yang dipengaruhi mekanisme pasar di bursa efek. Oleh karena itu para calon investor harus memiliki pengetahuan dalam memilih reksa dana mana yang akan dipilih. Dalam penelitian ini ingin membandingkan antara metode pengukuran kinerja Treynor, Sharpe, dan Jensen. Tujuan dari penelitian ini adalah untuk mengetahui ranking kinerja reksa dana saham yang dihasilkan menggunakan  ketiga metode tersebut, membandingkan kinerja reksa dana saham dengan suatu standar pengukuran (<em>benchmark</em>) yaitu kinerja IHSG, dan kemudian untuk mengetahui ada atau tidaknya perbedaan ranking yang dihasilkan oleh ketiga metode tersebut. Berdasarkan hasil penilaian kinerja dengan metode Sharpe, jika dibandingkan dengan IHSG sebagai <em>benchmark</em>, sebanyak 17 (18,5 persen)  reksa dana memiliki kinerja yang <em>outperform</em> atau kinerjanya di atas kinerja portofolio pasar. Sisanya sebanyak 75 reksa dana ditemukan <em>underperform</em> atau kinerjanya di bawah portofolio pasar. Hasil penilaian kinerja dengan metode Treynor dan Jensen, sebanyak 33 (35,87 persen) reksa dana memiliki kinerja yang <em>outperform</em> atau kinerjanya di atas kinerja portofolio pasar. Sisanya sebanyak 59 reksa dana ditemukan <em>underperform. </em>Reksa dana yang <em>outperform</em> dapat dipertimbangkan oleh investor sebagai alternatif investasi. Dari hasil pengujian statistik mengenai perbedaan ranking kinerja reksa dana dengan menggunakan metode Sharpe, Treynor, dan Jensen, dapat disimpulkan bahwa ketiga metode penilaian kinerja tidak menghasilkan ranking kinerja yang berbeda-beda secara signifikan</p><p> </p><p><em>Equity funds are mutual funds that offer high profits but also have a high risk because they are influenced by fluctuations in the decline in stock prices which are influenced by market mechanisms on the stock exchange. Therefore, potential investors must have knowledge in choosing which mutual fund to choose. In this study wanted to compare the performance measurement methods of Treynor, Sharpe, and Jensen. The purpose of this study was to determine the ranking performance of equity funds generated using these three methods, compare the performance of equity funds with a benchmark standard, namely the JCI performance, and then to find out whether or not there are ranking differences generated by these three methods. . Based on the results of the performance evaluation with the Sharpe method, when compared with the JCI as a benchmark, as many as 17 (18.5 percent) mutual funds have outperformed performance or performance above the market portfolio performance. The results of the performance appraisal with the Treynor and Jensen methods, as many as 33 (35.87 percent) mutual funds have outperformed performance or performance above the market portfolio performance. Mutual funds that are outperformed can be considered by investors as an alternative investment. From the results of statistical tests regarding differences in the ranking of mutual fund performance using the Sharpe, Treynor, and Jensen methods, it can be concluded that the three methods of performance appraisal do not produce performance ratings that differ significantly.</em><em></em></p>

scholarly journals Analisis Securities Selection Skill dan Market Timing Ability Pada Kinerja Reksadana Syariah Campuran Di Bursa Efek Indonesia

2017 ◽  
Vol 2 (3) ◽  
pp. 215
Author(s):  
Marta Dwi Yana ◽  
Nur Indah Riwajanti ◽  
Fita Setiati
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Stock Exchange ◽  
Market Timing ◽  
Sharpe Ratio ◽  
Continuous Training ◽  
Financial Service Authority ◽  
Purposive Sampling ◽  
Timing Ability ◽  
Investment Manager

<p><em></em><em>Abstract:</em></p><p><em>This research aims to measure the performance of the investment manager of Sharia mutual fund by analyzing his securities selection skill and market timing ability based on Treynor-Mazuy and Henriksson-Merton model. The population in this research are 93 mutual funds listed in Indonesian Stock Exchange from 2014 to 2016. The samples are 13 Sharia’s mutual fund taken by using purposive sampling techniques. This research uses regression method. The results show that the Sharpe Ratio indicates out of thirteen mutual funds, there are only four mutual funds that performed well, while nine other mutual funds were underperformed. The result based on the model of Treynor-Mazuy and Henriksson-Merton indicate that the investment managers did not have the securities selection skill and market timing ability. It is suggested that Financial Service Authority should hold continuous training for the investment managers and should issue a new certification specifically for the investment manager by increasing the standard of competence.</em></p><p>Abstrak:</p><p>Penelitian ini bertujuan untuk mengukur kinerja manajer investasi reksadana syariah dengan menganalisis <em>securities selection skill</em> dan <em>market timing ability </em>berdasarkan model Treynor-Mazuy dan Henriksson-Merton. Populasi dalam penelitian ini adalah 93 reksadana yang terdaftar di Bursa Efek Indonesia dari tahun 2014 sampai 2016. Sampelnya adalah 13 reksa dana syariah yang diambil dengan teknik purposive sampling. Penelitian ini menggunakan metode regresi. Hasil penelitian analisis Sharpe Ratio menunjukkan dari tiga belas reksa dana, hanya ada empat reksadana yang berjalan baik, sementara sembilan reksa dana lainnya kinerjanya kurang. Sedangkan berdasarkan model Treynor-Mazuy dan Henriksson-Merton menunjukkan bahwa manajer investasi tidak memiliki keahlian pemilihan sekuritas dan kemampuan waktu pasar. Selanjutnya, disarankan agar Otorita Jasa Keuangan mengadakan pelatihan terus menerus bagi manajer investasi dan perlu mengeluarkan sertifikasi baru khusus untuk manajer investasi untuk meningkatkan standar kompetensi.</p><p><em><br /></em></p>

scholarly journals ANALISIS RISK DAN RETURN REKSADANA SAHAM DIBANDINGKAN DENGAN PORTFOLIO SAHAM SECARA ACAK

2017 ◽  
Vol 9 (1) ◽  
Author(s):  
Mirna Mirna ◽  
Oktafalia Marisa Muzammil
Keyword(s):  
Key Words ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Research Method ◽  
Stock Exchange ◽  
Normality Test ◽  
Kolmogorov Smirnov ◽  
Stock Portfolio ◽  
Descriptive Method ◽  
Fund Return

<p>The research was conducted on the data listed in Indonesia Stock Exchange (BEI) in 2008-2010. This research aims to determine the risk and return’s difference between Mutual Funds Risk and Portfolio shares listed on the Stock Exchange. The research method used in this research is descriptive method using Kolmogorov Smirnov normality test and Non parametric: Mann Whitney. The results obtained by SPSS output is there is no difference between the shares of the Mutual Fund Return Portfolio randomly selected stocks, meanwhile there is a difference between the risk of stock mutual funds with random stock portfolio.</p><p> </p><p>Key Words- Mutual Funds Risk, Mutual Funds Return, Stock Exchange</p>

scholarly journals ANALYSIS OF THE PERFORMANCE OF INDONESIAN MUTUAL STOCK FUNDS USING SHARPE, TREYNOR, JENSEN AND M2 METHOD PERIOD 2010 – 2019

2021 ◽  
Vol 2 (1) ◽  
pp. 1-9
Author(s):  
Andreas Andreas ◽  
Sautma Ronni Basana
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Market Performance ◽  
Composite Index ◽  
Equity Mutual Funds ◽  
Equity Funds

This study examines the performance of equity mutual funds using Sharpe, Treynor, Jensen, and M2. The sample used in this study is 57 stock mutual funds in 2015 – 2019 and 29 stock mutual funds in 2010 – 2019. The performance of stock mutual funds will be compared with LQ – 45 and IHSG to find out whether they underperform or outperform on market performance. The results showed that when seen in years 2015 - 2019 with the benchmark LQ - 45, 11 equity funds outperformed by using Sharpe, Treynor, and M2, and 12 mutual funds stocks outperformed by using a Jensen. Using the Composite Index as the benchmark, it is found that four equity funds outperformed by using Sharpe, M2, and 5 equity funds outperformed by using Treynor and Jensen from 57 samples of mutual fund shares. From the performance of the year 2010 - 2019, it is found that the 10 equity funds outperformed by using Sharpe and M2, and 15 equity funds outperformed by using Treynor and Jensen with LQ – 45 as the benchmark. The Composite Index found that 0 of stock mutual funds outperformed by using Sharpe and M2, while 3 mutual funds outperformed using Treynor and 2 mutual funds outperformed using Jensen from 29 stock mutual funds samples.

scholarly journals FAKTOR INTERNAL YANG BERPENGARUH TERHADAP KINERJA REKSADANA SYARIAH DI INDONESIA PERIODE 2014-20171)

2020 ◽  
Vol 6 (1) ◽  
pp. 114
Author(s):  
Farah Faadilah ◽  
Puji Sucia Sukmaningrum
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Coefficient Of Determination ◽  
Expense Ratio ◽  
Turnover Ratio ◽  
Equity Funds ◽  
Endogenous Variables ◽  
Negative Effect ◽  
Fund Size ◽  
Positive Effect

This study aims to determine the effect of fund size, expense ratio and turnover ratio. The data used in this research is the net asset value data and shariah mutual fund prospectus of 4 shariah equity funds for the period 2014-2017. This study describes using multiple linear regression test to prove the relationship between exogenous and endogenous variables. The result of the test shows that partially fund size and positive effect is not significant on the performance of Islamic stock mutual funds, the expense ratio has no significant negative effect on the performance of Islamic equity mutual funds, while the turnover ratio has a significant positive effect on the performance of sharia mutual funds. While simultaneously fund size, expense ratio and turnover ratio have a significant influence with the coefficient of determination of 25,06%% while the remaining 74,94%  influenced by other variables not included in this study.Keywords: Sharia Mutual Funds Performance, Turnover Ratio, Cash Flow, Expense Ratio

scholarly journals Evaluation of Mutual Funds Performance And Consistency test over the use of Performance Sizing Methods

2020 ◽  
Vol 5 (6) ◽  
pp. 650-656
Author(s):  
Eka Kusumawati ◽  
Ega Bagja Nugraha
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Sharpe Ratio ◽  
Superior Performance ◽  
Ratio Method ◽  
Surveillance Period ◽  
Consistency Test ◽  
Asset Value ◽  
Equity Funds ◽  
Coefficient Of Concordance

The development of mutual fund industry in Indonesia has increases every year. From those several types of equity funds, the Net Asset Value (NAV) of mutual funds has increased by quite high number from year to year compared to other types. This research was assess the performance of mutual funds and examine those several consistency over the use of performance sizing methods from Sharpe ratio, Treynor index and Jensen's Alpha methods. Current problem who was stumbled was how the performance of stock mutual funds was measured by the Sharpe ratio, Treynor index and Jensen's Alpha methods and whether there has consistency over its performance by using it. The recent sample was 37 mutual funds that were registered at BAPEPAM-LK and still operating in Indonesia from January 2009 to October 2013. Performance evaluations used Sharpe ratio method, Treynor index and Jensen's Alpha. As for assess those consistency of the use performance sizing methods was done by Kendall coefficient of concordance (W) test. The result over this research said that Panin Dana Maksima and Panin Dana Prima are the best mutual funds, this could be seen during these surveillance period which found that mutual fund has superior performance above the market. The result of consistency test over those performance of stock mutual funds using Kendall W's concordance coefficient found that there has consistency or harmony when evaluated the performance of equity funds by using Sharpe Ratio, Treynor Index and Jensen's Alpha methods during those period.

scholarly journals ANALISIS PERBANDINGAN KINERJA REKSADANA SAHAM MENGGUNAKAN METODE SHARPE DAN TREYNOR PADA REKSADANA SAHAM

Equity ◽  
2019 ◽  
Vol 21 (1) ◽  
pp. 49
Author(s):  
Clara Bella ◽  
Yul Tito Permadhy
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Sampling Method ◽  
Stock Exchange ◽  
Market Performance ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Equity Fund ◽  
Consistent Performance ◽  
Descriptive Method

This study aims to determine the comparison of stock mutual fund performance using sharpe method and treynor method. The research method used in this research is descriptive method with quantitative approach. The object of this study using all mutual fund shares listed on the Indonesia Stock Exchange period 2013-2016. The technique of determining the sample using purposive sampling method so that 66 mutual funds were chosen as research sample. The results of this study explain that there are differences in the results of the performance of stock mutual funds using sharpe method and treynor method on mutual fund shares listed on the Indonesia Stock Exchange (BEI) where each performance value fluctuates in the period 20132016. The results show that only a few stock mutual funds are above market performance by using sharpe method and treynor method during the period 2013-2016. The results show that only one stock mutual fund that has consistent performance above market performance during the period 2013-2016 using the sharpe method of equity fund Sam Equity Fund.

scholarly journals Studi Komparatif Kelayakan Usaha Pembuatan Dendeng Itik dengan Kerupuk Itik Di Kabupaten Hulu Sungai Utara (Studi Kasus: Usaha Pembuatan Dendeng Itik "Dhandy" dengan Kerupuk Itik "Mama Irfan" di Kecamatan Amuntai Tengah

2019 ◽  
Vol 4 (1) ◽  
pp. 224-238
Author(s):  
Susanti Dewi
Keyword(s):  
Comparative Analysis ◽  
Quantitative Analysis ◽  
Data Collection ◽  
Small Businesses ◽  
Return On Investment ◽  
Research Method ◽  
Technical Aspects ◽  
Financial Feasibility ◽  
Management Aspect ◽  
Financial Aspect

       The purpose of this study is (i) identifying the non-financial feasibility of duck and duck cracker making business in terms of market, technical aspects and management aspects (ii) analyzing and (iii) comparing the financial feasibility of making duck and duck crackers in Central Amuntai District. The research was carried out on the "Dhandy" duck jerky in Antasari Village and "Mama Irfan" duck crackers in Kota Raden Hulu Village, Amuntai Tengah District, Hulu Sungai Utara Regency in May - August 2013. The research method used was case studies and data collection with interviews. Qualitative analysis of market, technical and management aspects is processed descriptively. Quantitative analysis uses investment criteria, namely analysis of present net value / NPV, return on investment / IRR, Net B / C ratio and return period of investment, the results of the two analyzes are followed by comparative analysis. The results of the non-financial aspects showed that the "Dhandy" jerky duck and "Mama Irfan" duck crackers viewed from the market or technical aspects were worth the effort. However, viewed from the management aspect, the two businesses are not feasible because they are still in the scale of small businesses, family efforts and implementation are still traditional. The financial aspect of the "Dhandy" duck jerky business is worth showing the NPV value of Rp.5,950,594, - the IRR of 12.92%, net B / C of 1.22 and the pay back period of 4,5024 years. Whereas the "Mama Irfan" duck cracker business is also worthy of the NPV value of Rp. 31,874,247, -, the IRR is 51.93%, net B / C is 2.71 and the pay back period is 2.4716 years. Comparative analysis shows that the "Mama Irfan" duck cracker making business is more feasible compared to the "Dhandy" duck jerky making business. The purpose of this study is (i) identifying the non-financial feasibility of duck and duck cracker making business in terms of market, technical aspects and management aspects (ii) analyzing and (iii) comparing the financial feasibility of making duck and duck crackers in Central Amuntai District. The research was carried out on the "Dhandy" duck jerky in Antasari Village and "Mama Irfan" duck crackers in Kota Raden Hulu Village, Amuntai Tengah District, Hulu Sungai Utara Regency in May - August 2013. The research method used was case studies and data collection with interviews. Qualitative analysis of market, technical and management aspects is processed descriptively. Quantitative analysis uses investment criteria, namely analysis of present net value / NPV, return on investment / IRR, Net B / C ratio and return period of investment, the results of the two analyzes are followed by comparative analysis. The results of the non-financial aspects showed that the "Dhandy" jerky duck and "Mama Irfan" duck crackers viewed from the market or technical aspects were worth the effort. However, viewed from the management aspect, the two businesses are not feasible because they are still in the scale of small businesses, family efforts and implementation are still traditional. The financial aspect of the "Dhandy" duck jerky business is worth showing the NPV value of Rp.5,950,594, - the IRR of 12.92%, net B / C of 1.22 and the pay back period of 4,5024 years. Whereas the "Mama Irfan" duck cracker business is also worthy of the NPV value of Rp. 31,874,247, -, the IRR is 51.93%, net B / C is 2.71 and the pay back period is 2.4716 years. Comparative analysis shows that the "Mama Irfan" duck cracker making business is more feasible compared to the "Dhandy" duck jerky making business.

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