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 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 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 A Comparative Study on Performance of Open and Close-ended Mutual Funds in Pakistan

2015 ◽  
Vol 1 (1) ◽  
pp. 300
Author(s):  
Waqas Ahmad ◽  
Muhammad Sohaib Roomi ◽  
Muhammad Ramzan ◽  
Muhammad Zia-ur-Rehman ◽  
Sajjad Ahmad Baig
Keyword(s):  
Financial Crisis ◽  
Comparative Study ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Portfolio Performance ◽  
Sample Period ◽  
Market Portfolio ◽  
Fund Industry ◽  
Mutual Fund Industry ◽  
Better Than

This paper is based on the comparison of Pakistani open-ended and close-ended mutual funds performance. That study focus on income, balance and equity schemes of open-ended and close-ended mutual funds. The performance of these funds evaluates using Sortino measure, Shrape measure, Treynor measure, Jenssen differtial measure and Inforamtion measure. The sample for the study consists of 73 funds from 2007 to 2012. Results show open-ended mutual funds performance is better than close-ended mutual funds. KSE (market portfolio) performance is grater over the all sample base mutual funds. Most risk adjusted funds returns are negative, which probably due to mutual fund industry set back by financial crisis during sample period.  

scholarly journals Testing Strong Form Market Efficiency of Jordanian Capital Market: Performance Appraisal of Mutual Funds a comparable study case with Saudi Arabia

2020 ◽  
Vol 16 (2) ◽  
pp. 3-15
Author(s):  
Mazen Bustanji
Keyword(s):  
Saudi Arabia ◽  
Performance Appraisal ◽  
Mutual Funds ◽  
Capital Market ◽  
Stock Exchange ◽  
Market Price ◽  
Strong Form ◽  
Monthly Data ◽  
Amman Stock Exchange ◽  
Modelling Techniques

This paper analyses the strong-form efficiency of the capital market in Jordan by evaluating the performance of mutual funds over the period from 2011 to 2016, and compare it with the situation in Saudi Arabia using the Jensen modelling techniques. These tests were applied on monthly data. Results from the study show that there is no evidence of the strong-form of efficiency in either the Amman Stock Exchange or in the Saudi Arabia capital market. Therefore, investors in the Amman Stock Exchange and Saudi Arabia capital market cannot predict stocks prices or returns in the short term; with regard to firms, it suggests that the securities of firms cannot outperform the market and present market price is to a certain extent a true reflection of the present situation of their securities, in addition there is lack number availability of the mutual funds in Jordan.

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 A comparative study of the performance of Saudi mutual funds

2016 ◽  
Vol 13 (4) ◽  
pp. 89-102 ◽  
Author(s):  
Ahmed El-Masry ◽  
Dalia A. El-Mosallamy
Keyword(s):  
Emerging Markets ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Emerging Market ◽  
Explanatory Power ◽  
Fund Performance ◽  
The Other ◽  
Equity Fund ◽  
Evaluation Measures ◽  
Market Portfolio

This study examines the performance of 21 Saudi mutual funds using the CAPM and downside CAPM D-CAPM models over the period 2005-2011. Initially equity fund performance is examined against two benchmarks TASI and the GCCI Islamic index utilizing the traditional beta and CAPM performance evaluation measures. The evaluation is then replicated utilizing the downside beta and other tests of funds’ performance derived from the CAPM in the down side framework. The results indicate that the downside beta could be more relevant in terms of its higher explanatory power than the traditional beta and thus CAPM in the downside framework could be more relevant to report on funds’ performance in this emerging market. After exploring the aggregate performance by forming two fund portfolios; one representing the average Islamic mutual fund and the other is the average conventional fund, to examine the performance of the Islamic mutual funds portfolio compared to its conventional peers and to the overall market, the study finds, on average, Islamic mutual funds in outperform conventional mutual funds and the market portfolio. The study concludes that it is equally important for practitioners in emerging markets, to report performance using both CAPM measures and D-CAPM measures and if differences exist, then the D-CAPM could be the superior measure because of its suitability to the asymmetrical distribution of returns existing in emerging markets in general.

An Empirical Study on the Performance of Select Large Cap Equity Mutual Funds in India

2015 ◽  
Vol 2 (1) ◽  
Author(s):  
Samyabrata Das
Keyword(s):  
Mutual Funds ◽  
Asset Management ◽  
Mutual Fund ◽  
Human Element ◽  
Risk Return ◽  
Equity Mutual Funds ◽  
Equity Funds ◽  
Managed Funds ◽  
Opening Up ◽  
Fund Return

Since the opening up of the economy in the early 1990s, Indian mutual fund industry has witnessed fabulous quantitative growth. Funds which invest a larger proportion of their corpus in companies with large market capitalization are called large cap funds. Actively managed funds make use of a human element, such as a single manager, comanagers or a team of managers, to actively manage a fund's portfolio. The main objective of the study is to analyse the performance of select actively managed large cap equity funds in the line of risk-return parameters. This study is based on fourteen funds from twelve Asset Management Companies. All the funds are ranked under seven performance measures, namely, fund return, fund standard deviation, Sharpe Ratio, Treynor Ratio, return from systematic investment plan (SIP), Jensen Alpha, and RSQ, for five different time periods of 1-year, 3-year, 5-year, 7-year, and 10-year.

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