PERBANDINGAN KINERJA REKSA DANA SAHAM DAN IHSG, DENGAN MENGGUNAKAN METODE SHARPE RATIO (REWARD TO VARIABILITY) DAN METODE TREYNOR MODIFIKASIAN (REWARD TO DIVERSIFICATION)

Ratu Chaterine Fajri, 1116051065 (2014) PERBANDINGAN KINERJA REKSA DANA SAHAM DAN IHSG, DENGAN MENGGUNAKAN METODE SHARPE RATIO (REWARD TO VARIABILITY) DAN METODE TREYNOR MODIFIKASIAN (REWARD TO DIVERSIFICATION). Fakultas Ilmu Sosial dan Ilmu Politik, Universitas Lampung.

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Abstrak

ABSTRAK PERBANDINGAN KINERJA REKSA DANA SAHAM DAN IHSG, DENGAN MENGGUNAKAN METODE SHARPE RATIO (REWARD TO VARIABILITY) DAN METODE TREYNOR MODIFIKASIAN (REWARD TO DIVERSIFICATION) Oleh: Ratu Chaterine Fajri Penelitian ini bertujuan untuk mengetahui kinerja reksa dana saham yang memiliki nilai lebih tinggi dari kinerja IHSG (outperform), melalui dua metode sharpe ratio (reward to variability) dan treynor modifikasian (reward to diversification). Sampel dalam penelitian ini adalah empat puluh sembilan reksa dana saham yang beroperasi selama periode 2011-2013, serta tercatat di Bapepam yang ditentukan melalui metode purposive sampling. Teknik analisis data yang digunakan adalah dengan mengukur kinerja dimana risiko dihitung dengan menggunakan metode sharpe ratio (reward to variability) dan treynor modifikasian (reward to diversification). Hasil penelitian menunjukkan bahwa 89,80 persen reksa dana saham di Indonesia memiliki kinerja outperform, jika diukur menggunakan metode sharpe ratio (reward to variability). Sedangkan, jika diukur menggunakan metode treynor modifikasian (reward to diversification) diperoleh 26,53 persen reksa dana saham di Indonesia memiliki kinerja outperform. Perbedaan hasil tersebut disebabkan oleh tinggi atau rendahnya nilai yang tidak dapat didiversifikasi oleh portofolio. Maka, semakin tinggi nilai risiko yang tidak dapat didiversifikasi oleh portofolio, semakin buruk kinerja portofolionya. Oleh karena itu, pengukuran treynor modifikasian (reward to diversification) lebih efisien digunakan, karena risiko yang terdapat pada reksa dana mampu didiversifikasi. Kata Kunci : Reksa Dana Outperform, Metode Sharpe Ratio (Reward to Variability), Metode Treynor Modifikasian (Reward to Diversification) ABSTRACT PERFORMANCE COMPARISON OF STOCK MUTUAL FUNDS AND IHSG, BY USING SHARPE RATIO METHOD (REWARD TO VARIABILITY) AND TREYNOR MODIFICATION METHOD (REWARD TO DIVERSIFICATION) By: Ratu Chaterine Fajri This study aims to investigate performance of stock modal mutual funds whose ratio value higher than IHSG performance (outperform) through two methods, sharpe ratio (reward to variability) and treynor modification (reward to diversification). The sample in this study are forty nine stock mutual funds which operate during 2010 until 2013 period, as well as recorded in Bapepam which is decided by purposive sampling. Analysis technique in this research is using measure performance which the risk is calculated by using sharpe ratio (reward to variability) and treynor modification (reward to diversification). The results showed 89,80 percent mutual funds in Indonesia have outperformed performance, when it is measured using sharpe ratio method (reward to variability). Whereas, when it is measured using the method of treynor modification (reward to diversification) obtained 26,53 percent mutual funds outperformed performance in Indonesia. The difference in results is caused by high or low value that can not be diversified by portfolio. Thus, the higher value of risk that can not be diversified portfolio, the worse performance of the portfolio. Therefore, more efficient modification treynor measure used, because the risks inherent in mutual funds was able diversified. Keywords : Outperform Mutual Fund, Sharpe Ratio Method (Reward to Variability), Treynor Modification Method (Reward to Diversification)

Jenis Karya Akhir: Skripsi
Subyek:
Program Studi: Fakultas ISIP > Prodi Ilmu Administrasi Bisnis
Pengguna Deposit: 4355626 . Digilib
Date Deposited: 26 Jan 2015 03:34
Terakhir diubah: 26 Jan 2015 03:34
URI: http://digilib.unila.ac.id/id/eprint/6457

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