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 https://www.asianinstituteofresearch.org/JEBarchives/The-Influences-of-Interest-Rate%2C-Inflation-and-Market-Risk-on-the-Performance-of-Stock-Mutual-Funds-Through-to-the-Variables-Moderating-of-Stock-Index-LQ45-Registered-on-IDX-2016-2019

2020 ◽  
Vol 3 (4) ◽  
Author(s):  
Nur Anny Rahayu ◽  
◽  
Zainul Kisman ◽  
Dwi Sunu Kanto
Keyword(s):  
Regression Analysis ◽  
Interest Rate ◽  
Interest Rates ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Time Series Data ◽  
Market Risk ◽  
Stock Index ◽  
Series Data ◽  
Independent Variable

This study aims to determine the effect of interest rates, inflation and market risk on the performance of stock mutual funds with a stock index of lq45 as the moderating variable. The independent variable in this case is the interest rate (x1), inflation (x2), market risk (x3) and the dependent variable is the performance of stock mutual funds (y) and the stock index lq45 as the intervening variable (m). The type of research used is associative research, with a quantitative approach. This study takes all time series data that converts interest rates, inflation and market risk, stock index lq45 and the performance of stock mutual fund for the period 2016 to 2019. The number of research samples using saturated sampling techniques obtained is 40 samples. Data analysis used multiple regression analysis and moderated regression analysis using spss23. The results of the F test show that the lq45 index is able to moderate the independent variable interest rate, inflation, market risk together on the performance of stock mutual funds. The t test results show that the stock index lq45 is able to moderate the relationship between the variable interest rate and market risk on the performance of stock mutual funds, while the inflation variable cannot be moderated by the stock index lq45 on the performance of stock mutual funds.

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 Current Status of Mutual Fund Schemes in Nepal

2018 ◽  
Vol 10 (1) ◽  
pp. 85-95
Author(s):  
Dhaneshwar Rakhal
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Stock Exchange ◽  
Empirical Studies ◽  
Market Price ◽  
Secondary Data ◽  
Current Status ◽  
Business Studies ◽  
Asset Value ◽  
History Of

The development of the mutual fund industry is the greatest investment success story of the twentieth century in United States and this industry also emerged as the most dynamic segment of the Indian financial system on that time. But the history of mutual fund in Nepal started only with the establishment of "NCM Mutual Fund 2050" in 1993. Currently there are ten mutual fund schemes listed and traded in Nepal Stock Exchange that provide investment opportunities for investors in mutual funds market. In this context, the purpose of this paper is to provide necessary facts and figures related to the mutual fund schemes in Nepal based on secondary data. The paper includes mutual fund companies, development mutual funds and review of empirical studies on mutual funds as preliminary discussion, and includes current mutual fund schemes; funds sizes, maturity periods, market price, net asset value and dividend income of mutual fund schemes on analytical section.The Journal of Nepalese Business Studies Vol. X No. 1 December 2017, Page: 85-95

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 A STUDY ON INVESTORS PERCEPTION TOWARDS LARGE-CAP EQUITY ORIENTED MUTUAL FUNDS IN INDIA

2021 ◽  
Vol 9 (11) ◽  
pp. 116-125
Author(s):  
Prakash Yalavatti ◽  
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Secondary Data ◽  
Equity Fund ◽  
Aged People ◽  
Retail Investors ◽  
High Return ◽  
Equity Funds ◽  
Fund Investment ◽  
To Receive

The large-cap equity fund is one of the mutual fund schemes and fund mobilized under this scheme is invested in equity securities of large-capitalized companies. This scheme is highly preferred scheme for investment by those who want to receive reasonably high return with less risk. The present study analyzes the profile, perception and satisfaction level of retail investors in large-cap equity funds. This study is based on both primary and secondary data. The study concludes that the majority of the investors are mid-aged people and men investors are more than women. Most of the investors have graduation and belong to the small saving group. The investors have moderately satisfied with large-cap fund investment on an average basis.

scholarly journals Pengaruh Mekanisme Good Corporate Governance, Debt to Equity Ratio, Asset Growth terhadap Kinerja Perusahaan

2018 ◽  
Vol 1 (2) ◽  
Author(s):  
Kartika Mirawati Tika Mirawati ◽  
Meina Wulansari
Keyword(s):  
Corporate Governance ◽  
Time Series Data ◽  
Stock Exchange ◽  
Empirical Studies ◽  
Secondary Data ◽  
Series Data ◽  
Independent Variables ◽  
Mining Companies ◽  
Good Corporate Governance ◽  
Asset Growth

This study aims to determine the effect of the mechanism of Good Corporate Governance, DER, Asset Growth on company performance (empirical studies on mining companies listed on the Indonesia, Thailand, Malaysia Stock Exchange period 2010-2017). This research is a quantitative research which aims to systematically explained about the facts and properties in an object in the study then merged between variables related to it by presenting secondary data from financial reports from mining companies in the countries of Indonesia, Malaysia and Thailand. The population used in this study were mining companies listed on the Indonesia, Malaysia and Thailand Stock Exchanges in the period 2013 to 2017. The samples used in this study were 15 mining companies in the countries of Indonesia, Malaysia and Thailand by using the Purpose Method. Sampling the objectives for obtaining a representative sample that matches the criteria that have been confirmed. In this study, the data analysis method used is the data panel (pooled data) which is a combination of time series data and data between individuals or cross sections in mining companies in Indonesia, Malaysia and Thailand. Research Results for mining companies in Indonesia The R square value of this model is 0.732 percent, meaning that the variation of the profit company's performance can be explained by the independent variables analyzed, namely the mechanism of Good Corporate Governance, DER, the remaining Asset Growth percent of 73.20 the remaining 26.80 percent is explained by other factors not included in this study. Furthermore, the R square value of this model of 0.731 percent means that the variation of the company's profit performance can be explained by the independent variables analyzed, namely the mechanism of Good Corporate Governance, DER, the remaining percent Asset Growth of 73.10 the remaining 26.90 percent is explained by other factors not included in this research .. and thailand country The R square value of this model is 0.849 percent which means that the variation of profit that can be explained by the independent variables analyzed are NIM, BOPO, CAR and NPL of 84.90 percent of the remaining 15.10 percent is explained by other factors that do not included in this study.

PENGARUH INFORMASI AKUNTANSI TERHADAP RETURN SAHAM (Studi Pada PerusahaanLQ-45 Di Bursa Efek Jakarta)

2016 ◽  
Vol 6 (2) ◽  
pp. 22
Author(s):  
Norsain ,
Keyword(s):  
Panel Data ◽  
Stock Returns ◽  
Stock Return ◽  
Time Series Data ◽  
Stock Exchange ◽  
Secondary Data ◽  
Financial Statements ◽  
Series Data ◽  
Return On Assets ◽  
Investment Returns

The use of financial information through the financial statements as a result of an accounting process in the company is an important information in analyzing investment returns in the long term. Through this analysis the investor will be able to assess the ability of a company's profitability, the quality of management performance, as well as future prospects of the company.               Data used in this study is panel data, which is a combination of cross section and time series data 45 company financial statements as sample the period 2010 to 2013. The data sources used mainly in this research is secondary data, including data in the form of documents and information relating to the object of a study published by the Indonesia Stock Exchange through the authority of Capital Market information Center accessed from the official website of the Stock Exchange.               Once the data is collected, the data were analyzed using Eviews program for this type of panel data. Beginning with the analysis of model selection, and then proceed with the classical assumption. The results of the study variables X1 Price Earning Ratio (PER), no effect on variable Y (stock returns), Variable X2 Price to Book Value (PBV) have a significant effect on the variable Y (stock returns), Variable X3 Return on Assets (ROA) significantly the variable Y (stock return). Simultaneously variable PER, PBV, ROA significant effect on the level of α = 10%.Keywords: PER, PBV, ROA, Stock Return

scholarly journals Debt to Equity Ratio (DER), Earning Per Share (EPS) Analysis of Company Value at PT Indosat, Tbk

2020 ◽  
Vol 1 (3) ◽  
pp. 83-87
Author(s):  
Desi Ratnasari ◽  
Puji Muniarty
Keyword(s):  
Firm Value ◽  
Time Series Data ◽  
Stock Exchange ◽  
Secondary Data ◽  
Financial Statement ◽  
Series Data ◽  
Independent Variables ◽  
Company Value ◽  
Equity Ratio ◽  
The Relationship

This study aims to analyze the effect of independent variables on the dependent variable. The independent variables are Debt to Equity Ratio (DER) and Earning Per Share (EPS) while the dependent variable is the Company Value at PT Indosat, Tbk for the period 2004-2018. The sample in this study over the past 15 years, namely from the period 2004-2018. The data used in this study is to use the company's financial statement data published on the Indonesia Stock Exchange (IDX) website and the company's official website. The data used are secondary data and the method used is regression analysis that is Time series data with the help of SPSS version 20.0 to get a picture of the relationship between one variable and another. The results showed that DER has no effect and no significant effect on firm value, EPS has no effect and no significant effect on firm value, DER and EPS simultaneously have no effect and no significant effect on firm value. The influence of DER and EPS on Company Value is 36.4% while the remaining 63.6% is influenced by other factors not included in the research model.

scholarly journals Effect of Good Corporate Governance, DER, Asset Growth Mechanism on Company Performance

2018 ◽  
Vol 1 (2) ◽  
pp. 48-59
Author(s):  
Abdul Rahim ◽  
Kartika Mirawati ◽  
Juhasdi Susono
Keyword(s):  
Corporate Governance ◽  
Time Series Data ◽  
Stock Exchange ◽  
Empirical Studies ◽  
Secondary Data ◽  
Series Data ◽  
Company Performance ◽  
Mining Companies ◽  
Good Corporate Governance ◽  
Asset Growth

This study aims to determine the effect of the mechanism of Good Corporate Governance, DER, Asset Growth on company performance (empirical studies on mining companies listed on the Indonesia, Thailand, Malaysia Stock Exchange period 2010-2017). This research is quantitative research which aims to systematically explain about the facts and properties in an object in the study then merged between variables related to it by presenting secondary data from financial reports from mining companies in the countries of Indonesia, Malaysia, and Thailand. The samples used in this study were 15 mining companies in the countries of Indonesia, Malaysia, and Thailand. In this study, the data analysis method used is the data panel (pooled data) which is a combination of time series data and data between individuals or cross sections in mining companies in Indonesia, Malaysia, and Thailand. This research indicates that the variation of the profit company's performance can be explained by the independent variables analyzed

scholarly journals IHSG dan Dinamikanya: Sebuah Analisis atas Pengaruh Variable Makroekonomi

2019 ◽  
Vol 1 (1) ◽  
pp. 21-40
Author(s):  
Michael Alexander Santoso ◽  
Apriani Dorkas Rambu Atahau ◽  
Robiyanto Robiyanto
Keyword(s):  
Crude Oil ◽  
Time Series Data ◽  
Stock Exchange ◽  
Composite Index ◽  
Oil Price ◽  
Series Data ◽  
Crude Oil Price ◽  
Macroeconomic Variables ◽  
Analysis Technique ◽  
Dow Jones Industrial Average

Purpose- This research aimed to study the effect of macroeconomic variables: Dow Jones Industrial Average, USD/IDR, and World Crude Oil Price towards Jakarta Composite Index (JCI) during the period of 2005-2016. Methods- This research using the daily closing prices of Dow Jones Industrial Average (JCI), USD/IDR, World Crude Oil Price, and Jakarta Composite Index, the GARCH (1,1) The data analysis technique used in this study is Generalized Autoregressive Conditional Heteroscedasticity (GARCH). The reason for choosing the GARCH analysis technique is that this study uses time series data which is often abnormal and cannot be normalized. Finding- Analysis show that Dow Jones Industrial Average and world crude oil price has a positive significant effect on the JCI while USD/IDR has a negative significant effect on JCI. Implication- The findings imply the importance to consider macroeconomic variables when investing at Jakarta Stock Exchange

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