PENILAIAN KINERJA REKSA DANA SAHAM DENGAN MENGGUNAKAN METODE PERHITUNGAN SHARPE RATIO, TREYNOR RATIO, JENSEN ALPHA, DAN M-SQUARE PERIODE 2016-2018

SARI, INDRI PUSPITA (2020) PENILAIAN KINERJA REKSA DANA SAHAM DENGAN MENGGUNAKAN METODE PERHITUNGAN SHARPE RATIO, TREYNOR RATIO, JENSEN ALPHA, DAN M-SQUARE PERIODE 2016-2018. S1 thesis, Universitas Mercu Buana.

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Abstract

The purpose of this study is to determine whether there is a difference between stock mutual fund returns with the Indeks Harga Saham Gabungan (IHSG) return, find out how well the four stock mutual fund performance so that it can be known whether there are differences in consistency of the four methods of calculating the performance of stock mutual funds the method The calculation used is the Sharpe Ratio, Treynor Ratio, Jensen Alpha, and M- Square methods. The population of this research is the equity funds registered in the Otoritas Jasa Keuangan (OJK) for the period of 2016-2018. Research data as much 26 mutual fund shares using purposive sampling method. The type of data used is secondary data and analysis tools used are the Wilcoxon signed rank test and the Kruskal-Wallis test. The results of the research based on the Wilcoxon signed rank test show that there is a significant difference between stock mutual fund returns and IHSG returns. Meanwhile, based on the Kruskal-Wallis Test, it shows that there are differences in the consistency of the calculation of the Sharpe Ratio, Treynor Ratio, Jensen Alpha, and M-Square methods and from the four methods the performance of Mutual Fund Shares using the Sharpe Ratio method produces the best method used by other methods. Keywords: Mutual Funds, Stock Mutual Fund Performance, Sharpe Ratio, Treynor Ratio, Jensen Alpha, M-Square Tujuan dari penelitian ini adalah untuk mengetahui ada tidaknya perbedaan antara return Reksa Dana Saham dengan return Indeks Harga Saham Gabungan (IHSG), mengetahui seberapa baik keempat kinerja Reksa Dana Saham sehingga dapat diketahui ada tidaknya perbedaan konsistensi dari keempat metode perhitungan kinerja Reksa Dana Saham. Adapun metode perhitungan yang digunakan yaitu metode Sharpe Ratio, Treynor Ratio, Jensen Alpha, dan M-Square. Populasi penelitian ini adalah Reksa Dana Saham yang terdaftar di Otoritas Jasa Keuangan (OJK) periode 2016-2018. Data penelitian sebanyak 26 Reksa Dana Saham dengan metode purposive sampling. Jenis data yang digunakan adalah data sekunder dan alat analisis yang digunakan adalah Uji Wilcoxon signed rank test dan Uji Kruskal-Wallis. Hasil penelitian berdasarkan Uji Wilcoxon signed rank test menunjukkan bahwa terdapat perbedaan yang signifikan antara return Reksa Dana Saham dengan return IHSG. Sedangkan, berdasarkan Uji Kruskal-Wallis menunjukkan bahwa terdapat perbedaan konsistensi perhitungan metode Sharpe Ratio, Treynor Ratio, Jensen Alpha, dan M-Square serta dari keempat metode tersebut kinerja Reksa Dana Saham dengan menggunakan metode Sharpe Ratio menjadi metode paling baik dibandingkan metode lainnya. Kata Kunci : Reksa Dana, Kinerja Reksa Dana Saham, Sharpe Ratio, Treynor Ratio, Jensen Alpha, M-Square Measure

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