KINERJA REKASADANA INDONESIA ( STUDI EMPIRIS MENGENAI KONSISTENSI MODEL PENGUKURAN KINERJA REKASA DANA SERTA SENSITIVITAS BENCHMARK DI BURSA EFEK JAKARTA)
SHUN'AN M. (Pembimbing: DR. EDUARDUS TANDELILIN, MBA.), DR. EDUARDUS TANDELILIN, MBA.
Isu utama yang di analisis dalam paper ini adalah konsistensi model pengukuran kinerja reksadana dan Sensitivitas Benchmark. Tiga model Pengukuran kinerja portofolio ( Sharpe Measure, Jensen Measure, dan Treynor Measures diperbandingkan untuk mengetahui apakah ketiganya menghasilkan Ranking yang secara statistik identik manakala diaplikasikan pada Reksadana Indonesia. Tinjauan terhadap lSU Sensitivitas Benchmark dilakukan dengan mengoperasianalisasikan tiga indeks sebagai Proxy pasar. Yaitu IHSG, LQ 45, dan rata-rata tertimbang dari keduanya. Relevan dengan penelitian-penilitian di negara maju, paper ini mencatat adanya Inkonsistensi Model dan kecenderungan Sensitivitas Benchmark dari ketiga Model Pengukuran Kinerja Portofolio diatas manakala diaplikasikan pada Reksadana Indonesia
This paper focuses on Mutual Funds performance analysis on Indonesian Market before and during turbulent period. Firstly we address the question of proper measure, different measures of performance (Sharpe Measure, Treynor Measure, and Jensen .Measure) are compared to know whether each of the three measures result in a same inferences about the performance (rank) of portfolios. Secondly, we take a close look to. Benchmark Sensitivity issue on Indonesian Market. This issue is analyzed with the help of single index, such asIHSG, LQ45, and multiple indices, that is equally weighted from those two benchmarks. In line with many studies held on American and European Markets, this paper also recorded the existence of performance Measure inconsistency and great Benchmark Sensitivity on Indonesian Market.
Kata Kunci : Mutual Funds, Performance Evaluation, Benchmark Sensitivity, Reksadana, Konsistensi Model, Sensitivitas Benchmark
