KISWANTO, JONI (2011) KONSISTENSI RISK-ADJUSTED PERFORMANCE SEBAGAI PENGUKUR KINERJA REKSADANA SAHAM DI INDONESIA PERIODE TAHUN 2006 - 2010. S2 thesis, Universitas Mercu Buana Jakarta-Menteng.
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Abstract
This research aims to analyze the consistency of Sharpe index, Treynor index, and Jensen index as measures of risk-adjusted performance for mutual fund in Indonesia during period of time 2006 to 2010. The research’s methods were ranking test and the correlation test. The result of ranking test indices different sequence of performance index among Sharpe, Treynor, and Jensen. The same ranking exist between Sharpe and Treynor, and Sharpe and Jensen, just in several mutual fund. The result of performance ranking correlation test indices significant strong positive correlation between Sharpe and Treynor, weak significant positive correlation between Sharpe and Jensen, and very weak significant positive correlation between Treynor and Jensen. This means that Sharpe index,Treynor index,and Jensen index are inconsistent measures of mutual fund performance in Indonesia during period of time 2006 to 2010. Keywords: risk-adjusted performance, Sharpe, Treynor, Jensen Penelitian ini bertujuan untuk menganalisis konsistensi indeks Sharpe, indeks Treynor, dan indeks Jensen sebagai pengukur kinerja reksadana saham di Indonesia periode tahun 2006 sampai dengan 2010. Metode penelitian yang digunakan adalah uji peringkat dan uji korelasi. Berdasarkan hasil uji peringkat diketahui bahwa indeks Sharpe, Treynor, dan Jensen memberikan urutan peringkat yang berbeda-beda. Kesamaan peringkat pada indeks Sharpe dan Treynor serta pada indeks Sharpe dan Jensen hanya terjadi pada beberapa reksadana. Berdasarkan hasil uji korelasi diketahui terdapat korelasi positif yang kuat dan signifikan antara peringkat kinerja berdasarkan indeks Sharpe dan indeks Treynor, korelasi positif signifikan namun lemah antara peringkat kinerja berdasarkan indeks Sharpe dan indeks Jensen, dan korelasi positif signifikan namun sangat lemah antara peringkat kinerja berdasarkan indeks Treynor dan Jensen. Dengan demikian indeks Sharpe, Treynor, dan Jensen terbukti tidak konsisten sebagai pengukur kinerja reksadana saham di Indonesia periode tahun 2006 sampai dengan 2010. Kata kunci: risk-adjusted performance, Sharpe, Treynor, Jensen
| Item Type: | Thesis (S2) |
|---|---|
| Call Number CD: | CDT-551-11-092 |
| NIM/NIDN Creators: | 55107120080 |
| Uncontrolled Keywords: | Risk-Adjusted Performance, Sharpe, Treynor, Jensen, MKU, manajemen keuangan, tesis manajemen |
| Subjects: | 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum |
| Divisions: | Pascasarjana > Magister Manajemen |
| Depositing User: | Admin Perpus UMB |
| Date Deposited: | 07 Aug 2015 10:05 |
| Last Modified: | 16 Jul 2022 07:09 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/22038 |
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