Pengujian konsistensi Sharpe, Treynor dan Jensen Measure untuk evaluasi kinerja Reksadana Saham dibandingkan investasi portofolio individu di Bursa Efek Jakarta

YUSRIALIS, Prof. Eduardus Tandelilin, Ph.D

2006 | Tesis | Magister Ekonomika Pembangunan

Penelitian ini bertujuan untuk mengukur kinerja dan mengetahui ada tidaknya konsistensi (kesesuaian) metode pengukuran kinerja reksadana saham dan kinerja portofolio individu yaitu Sharpe, Treynor dan Jensen measure. Sampel adalah 15 reksadana saham dan 300 saham dalam bentuk random portfolio yaitu 10 saham (30 portofolio) dan 15 saham (20 portofolio) yang terdaftar di Bursa Efek Jakarta sebelum Januari 2003 sampai dengan Desember 2005. Alat analisis yang digunakan adalah Sharpe, Treynor dan Jensen measure untuk mengukur kinerja portofolio, Kendall’s W test untuk menguji konsistensi model Sharpe, Treynor dan Jensen dalam menilai kinerja reksadana saham dan portofolio individu secara acak. Hasil penelitian menunjukkan terdapat kesesuaian ketiga model Sharpe, Treynor dan Jensen measure untuk menilai kinerja reksadana saham dan portofolio indvidu secara acak (10 dan 15 saham). Kinerja reksadana saham lebih baik dari pada kinerja portofolio 10 saham dan kinerja portofolio 15 saham berdasarkan nilai rata-rata Sharpe measure. Kinerja portofolio 10 saham lebih baik dari pada kinerja portofolio 15 saham dan kinerja reksadana saham berdasarkan nilai rata-rata Treynor dan Jensen measure. Kinerja portofolio 15 saham lebih baik dibandingkan kinerja portofolio 10 saham berdasarkan nilai ratarata Sharpe measure.

This research attempt to measure the performance and to detect the consistency Equity fund performance index method and individual portfolio performance with Sharpe, Treynor and Jensen measure. Sample are 15 Equity fund and 300 shares in random portfolio with 10 shares (30 portfolio) and 15 shares (20 portfolio) registered at Jakarta Stock Exchanges before Januarys 2003 until with Decembers 2005. Analysis used Sharpe, Treynor and Jensen measure to portfolio performance measure, Kendall's W test to the consistency test models Sharpe, Treynor and Jensen in evaluate Equity fund performance and individual portfolio randomly. The results shows have consistency Sharpe, Treynor and Jensen measure to Equity fund performance evaluate and indvidual portfolio randomly (10 and 15 shares). According Sharpe measure mean index is equity fund performance better than 15 shares portfolio performance and 10 shares portfolio performance. According Treynor and Jensen measure mean index the 10 shares portfolio performance better than 15 shares portfolio performance and equity fund performance. According Sharpe measure mean index 15 shares portfolio performance better than 10 shares portfolio performance.

Kata Kunci : Kinerja Portofolio,Portofolio Acak, Consistency, Portfolio performance, Evaluate, Random portfolio