ANALISIS PENGUKURAN KINERJA REKSA DANA SAHAM DENGAN METODE SHARPE, TREYNOR DAN JENSEN

SARI, FEBY RATNA (2019) ANALISIS PENGUKURAN KINERJA REKSA DANA SAHAM DENGAN METODE SHARPE, TREYNOR DAN JENSEN. S1 thesis, Universitas Mercu Buana.

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Abstract

This study aims to determine the performance of stock Mutual Funds with the Sharpe, Treynor and Jensen methods and determine the comparison of the performance of stock Mutual Funds with benchmark performance in the study period. Benchmark performance in this study uses the CSPI. The object of this research is the NAV of Mutual Funds for Indonesian shares in the 2014-2018 period. The study population includes all equity funds listed and active on the Indonesia Stock Exchange from January 2014 to December 2018. The data collection technique used was purposive sampling technique and 10 stock Mutual Funds were obtained as a research sample. The results showed that there were consistent Mutual Funds that were the best with the three methods used. For the best method in this study is the Sharpe method by getting the Outperform 37 times. Keywords: Risk-Adjusted Return, Sharpe method, Treynor method, Jensen method. Penelitian ini bertujuan untuk mengetahui kinerja Reksa Dana saham dengan metode Sharpe, Treynor dan Jensen serta mengetahui perbandingan kinerja Reksa Dana saham dengan kinerja benchmark pada periode penelitian. Kinerja benchmark pada penelitian ini menggunakan IHSG. Obyek Penelitian ini adalah NAB Reksa Dana saham Indonesia dalam periode waktu 2014-2018. Populasi penelitian meliputi seluruh Reksa Dana saham yang terdaftar dan aktif pada Bursa Efek Indonesia periode Januari 2014 hingga Desember 2018. Teknik pengumpulan data yang digunakan adalah teknik purposive sampling dan diperoleh 10 Reksa Dana saham sebagai sampel penelitian. Hasil penelitian menunjukkan terdapat Reksa Dana saham yang konsisten menjadi yang terbaik dengan ketiga metode yang digunakan. Untuk metode terbaik dalam penelitian ini adalah metode Sharpe dengan mendapatkan predikat Outperform sebanyak 37 kali. Kata Kunci: Risk-Adjusted Return, metode Sharpe, Treynor, Jensen.

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