Pusparini, Lintang Aditya (2018) Analisis Kinerja Investasi Reksadana Saham dengan Menggunakan Metode Sharpe, Treynor dan Jensen (Studi pada Reksadana Saham yang Terdaftar di Otoritas Jasa Keuangan Tahun 2012-2017). Sarjana thesis, Universitas Brawijaya.
Abstract
Investasi merupakan bagian penting dalam pembangunan perekonomian Indonesia. Produk investasi yang mengalami perkembangan Tahun 2012 sampai 2017 adalah reksadana. Salah satu jenis reksadana yaitu reksadana saham. Seorang investor harus mengetahui risiko dan return pada investasi portofolio yang dipilih. Cara untuk mengetahuinya yaitu dengan mengevaluasi kinerja portofolio menggunakan metode Risk Adjusted. Terdapat 3 metode yang termasuk bagian dari Risk Adjusted yaitu metode Sharpe, Treynor, dan Jensen. Tujuan dari penelitian ini adalah memberikan kesimpulan performa kinerja reksadana saham berdasarkan metode Sharpe, Treynor, dan Jensen dan untuk memberikan informasi kinerja reksadana saham yang dibandingkan dengan kinerja IHSG. Penelitian ini termasuk ke dalam jenis penelitian kuantitatif deskriptif karena penelitian ini memberikan gambaran kinerja reksadana saham dengan investasi bebas risiko dan return pasar (IHSG) untuk memperoleh hasil kinerja reksadana saham mampu berkinerja positif dan outperform. Hasil penelitian ini menyimpulkan bahwa kinerja reksadana saham menurut metode Sharpe, Treynor, dan Jensen yang layak dijadikan dijadikan investasi selama periode pengamatan yaitu kinerja yang memiliki nilai positif. Tahun 2012 metode Sharpe dan Treynor terdapat 41 reksadana, dan Jensen terdapat 35 reksadana. Tahun 2013 metode Sharpe dan Treynor terdapat 6 reksadana, dan Jensen terdapat 11 reksadana. Tahun 2014 metode Sharpe dan Treynor terdapat 45 reksadana, dan Jensen terdapat 29 reksadana. Tahun 2015 metode Sharpe dan Treynor tidak ada reksadana yang positif, dan Jensen terdapat 2 reksadana. Tahun 2016 metode Sharpe dan Treynor terdapat 44 reksadana, dan Jensen terdapat 14 reksadana. Tahun 2017 metode Sharpe terdapat 41 reksadana, Treynor terdapat 36 reksadana, dan Jensen terdapat 42 reksadana.Selama periode pengamatan tidak ada reksadana yang konsisten berkinerja positif dan outperform. Hanya ada dua perusahaan yang memiliki kinerja terbaik di antara reksadana lainnya karena mampu berkinerja positif dan outperform selama 4 Tahun. Reksadana tersebut adalah RHB Alpha Sector Rotation dan BNP Paribas Infrastruktur Plus. Kedua reksadana tersebut layak dijadikan pilihan berinvestasi di tahun selanjutnya.
English Abstract
Investment is an important part of Indonesia's economic development. One of the investment products that continue to demand public investment during the year 2012 to 2017 are mutual funds. Mutual funds consist of various types and one of them is equity funds. An investor should know both return and risk in the portfolio will be selected. One way to find out is by evaluating the performance of a portfolio using the Risk Adjusted method, the method measures investment performance by using risk and return. There are 3 methods that are part of Risk Adjusted: Sharpe, Treynor, and Jensen methods. The purpose of this study is to conclude the performance of equity funds based on Sharpe, Treynor, and Jensen methods and to provide information on the performance of stock mutual funds compared to the performance of the JCI. This research belongs to the type of descriptive quantitative research because this study provides an overview of the performance of stock mutual funds with risk-free investment and market returns (JCI) to obtain the performance results of equity funds that are able to positive performance and underperform. The results of this study conclude that the performance of stock mutual funds according to Sharpe, Treynor, and Jensen methods that are worthy of being used as investments during the observation period is performance that has a positive value. In 2012 the Sharpe and Treynor methods contained 41 mutual funds, and Jensen had 35 mutual funds. In 2013 the Sharpe and Treynor methods had 6 mutual funds, and Jensen had 11 mutual funds. In 2014 the Sharpe and Treynor methods contained 45 mutual funds, and Jensen had 29 mutual funds. In 2015 the Sharpe and Treynor methods have no positive mutual funds, and Jensen has 2 mutual funds. In 2016 the Sharpe and Treynor methods contained 44 mutual funds, and Jensen had 14 mutual funds. In 2017 the Sharpe method has 41 mutual funds, Treynor has 36 mutual funds, and Jensen has 42 mutual funds. During the period of observation there were no consistently positive and outperform mutual funds. There are only two equity fund that have the best performance among other mutual funds because they are able to perform positively and outperform for 4 years. The mutual funds are RHB Alpha Sector Rotation and BNP Paribas Infrastruktur Plus. Both of these mutual funds deserve to be the choice of investing in the following year.
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | SKR/FIA/2018/1077/051900853 |
| Uncontrolled Keywords: | Reksadana Saham, Risiko dan Return Investasi, Kinerja Reksadana-Equity Funds, Risk and Return Investment, Mutual Fund Performance |
| Subjects: | 300 Social sciences > 332 Financial economics > 332.6 Investment |
| Divisions: | Fakultas Ilmu Administrasi > Ilmu Administrasi Bisnis / Niaga |
| Depositing User: | soegeng sugeng |
| Date Deposited: | 15 Aug 2019 01:48 |
| Last Modified: | 25 Oct 2021 03:43 |
| URI: | http://repository.ub.ac.id/id/eprint/165649 |
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