Evaluasi kinerja Reksadana saham di Bursa Efek Jakarta

HADI, Hendro Suseno, Prof.Dr. Eduardus Tandelilin, MBA

2004 | Tesis | S2 Manajemen

Penelitian ini mengevaluasi kinerja Reksa dana saham menggunakan metoda penilaian kinerja dari Sharpe, Treynor dan Jensen Measure. Hasil pengujian menggunakan paired sample t test menunjukkan hasil yang sama baiknya untuk kinerja reksa dana saham dan kinerja portfolio acak. Hasil uji kendalls tau b dan uji f menunjukkan terdapat ketidak sesuaian rangking dari metoda Sahrpe, Treynor dan Jensen Measure. Dan dari pengujian berdasarkan ukuran perusahaan menunjukkan kinerja kelompok reksa dana saham yg pengelolaan dananya besar lebih tinggi daripada yang pengelolaan dananya kecil.

The study is evaluated mutual funds performance using performance appraisal method from Sharpe Measure (SM), Treynor (TM) and Jensen Measure (JM). A paired sample t test result shows that the mutual funds outcomes are as good as performance of random portfolio. The outcome for Kendalls tau-b test and F test indicates that there is unconformity between a rank from Sharpe Method (SM), Treynor (TM) and Jensen Measure (JM). In the other test using company size shows performance group of mutual fund that manage a bigger fund is higher than the group with a less one.

Kata Kunci : Pasar Modal,Kinerja Reksadana, Performance Evaluation - Stock mutual funds - size.