Putri, Alifa Andira (2019) Kinerja Reksa Dana Saham Syariah Menggunakan Metode Sharpe, Treynor, Jensen, Dan M2 (Studi Pada Reksa Dana Saham Syariah Yang Terdaftar Di Otoritas Jasa Keuangan). Sarjana thesis, Universitas Brawijaya.
Abstract
Dalam melakukan investasi, selain memperhatikan return yang diterima, investor harus mengetahui dengan baik risiko pada portofolio investasi yang akan dipilih. Salah satu cara dalam mengukur return dan risiko kinerja suatu portofolio investasi menggunakan metode Risk Adjusted. Terdapat 4 metode Risk Adjusted yang digunakan dalam penelitian ini, yaitu yaitu metode Sharpe, Treynor, Jensen, dan M2. Tujuan penelitian ini adalah untuk mengetahui kinerja reksa dana saham syariah selama 4 tahun terakhir dan dibandingkan dengan benchmark. Penelitian ini merupakan penelitian deskriptif. Populasi pada penelitian ini adalah seluruh reksa dana saham syariah yang aktif dan terdaftar di Otoritas Jasa Keuangan selama periode 2015 sampai dengan 2018. Metode pengambilan sampel pada penelitian ini menggunakan sampel jenuh, dengan jumlah 76 observasi. Penelitian ini menggunakan data sekunder yang diperoleh dari laporan yang telah dipublikasikan oleh Otoritas Jasa Keuangan, Bank Indonesia dan Dunia Investasi. Selama periode pengamatan (2015-2018) tidak terdapat reksa dana saham syariah yang konsisten bernilai positif dan berkinerja outperform. Terdapat reksa dana saham syariah yang memiliki kinerja terbaik diantara reksa dana saham syariah lainnya, hal tersebut dikarenakan memiliki posisi terbaik di setiap metodenya. Reksa dana saham syariah tersebut adalah Sucorinvest Sharia Equity Fund, sehingga layak dijadikan pilihan dalam berinvestasi.
English Abstract
In investing, in addition to paying attention to the returns received, investors must know well the risks in the investment portfolio to be chosen. One way to measure return and risk performance of an investment portfolio is by using the RiskAdjusted method. There are 4 Risk Adjusted methods used in this study, namely the Sharpe, Treynor, Jensen, and M2 methods. The purpose of this study was to determine the performance of Islamic stock mutual funds over the past 4 years and compared to benchmarks. This research is descriptive research. The population in this study were all Islamic stock mutual funds that were active and registered in the Financial Services Authority during the period 2015 to 2018. The sampling method in this study used saturated samples, with 76 observations. This study uses secondary data obtained from reports that have been published by the Financial Services Authority, Bank Indonesia and the World of Investment. During the observation period (2015-2018) there were no consistent Islamic stock mutual funds and outperform performance. There are Islamic stock mutual funds that have the best performance among other sharia equity funds, this is because they have the best position in each method. The sharia equity fund is Sucorinvest Sharia Equity Fund, so it is worth making an investment choice.
Other obstract
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| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | SKR/FEB/2019/175/051903654 |
| Uncontrolled Keywords: | Kinerja Reksa Dana Saham Syariah, Metode Sharpe, Metode Treynor, Metode Jensen, Metode M2. Performance of Sharia Stock Funds, Sharpe Method, Treynor Method, Jensen Method, M2 Method |
| Subjects: | 600 Technology (Applied sciences) > 658 General management > 658.1 Organization and financial management > 658.15 Financial management > 658.152 Management of financial operations |
| Divisions: | Fakultas Ekonomi dan Bisnis > Manajemen |
| Depositing User: | Nur Cholis |
| Date Deposited: | 24 Jul 2020 06:18 |
| Last Modified: | 21 Oct 2021 07:44 |
| URI: | http://repository.ub.ac.id/id/eprint/170013 |
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