Analisis Kinerja Reksa Dana dengan Menggunakan Metode Sharpe, Treynor dan Jensen untuk Periode 2008-2012

Abstract

The purpose of this study is (1) To analyze the performance of individual mutual funds (equity funds, fixed income funds and mixed funds) based on the method of Sharpe (2) To analyze the performance of individual mutual funds (equity funds, fixed income funds and mixed funds) based on the method of Treynor (3) To analyze the performance of individual mutual funds (equity funds, fixed income funds and mixed funds) based on the method of Jensen, and (4) Knowing the relation of old age mutual funds in rank to the method of Sharpe, Treynor and Jensen. Based on the method of Sharpe, Treynor and Jensen the best performance of equity funds is Panin Dana Maksima. Based on the method of Sharpe and Treynor the best performance of fixed income funds and mixed funds is Reksadana Danamas Stabil dan Reksa Dana Danamas Fleksi. Based on the method of Jensen the best performance of fixed income funds and mixed funds is Mandiri Investa Dana Utama and Panin Dana Unggulan. The relationship between old age mutual fund rating method with Sharpe, Treynor and Jensen is the longer the age mutual fund better then the performance of new mutual funds

Tujuan penelitian ini adalah (1) Menganalisis kinerja masing-masing reksa dana (reksa dana saham, reksa dana pendapatan tetap dan reksa dana campuran) berdasarkan metode Sharpe (2) Menganalisis kinerja masing-masing reksa dana (reksa dana saham, reksa dana pendapatan tetap dan reksa dana campuran) berdasarkan metode Treynor (3) Menganalisis kinerja masing-masing reksa dana (reksa dana saham, reksa dana pendapatan tetap dan reksa dana campuran) berdasarkan metode Jensen dan (4) Mengetahui hubungan lama umur reksa dana dengan peringkat pada metode Sharpe, Treynor dan Jensen. Berdasarkan metode Sharpe, Treynor dan Jensen kinerja reksa dana saham terbaik adalah Panin Dana Maksima. Berdasarkan metode Sharpe dan Treynor kinerja reksa dana pendapatan tetap dan campuran terbaik adalah Reksadana Danamas Stabil dan Reksa Dana Danamas Fleksi. Berdasarkan metode Jensen reksa dana pendapatan tetap dan campuran terbaik adalah Mandiri Investa Dana Utama dan Panin Dana Unggulan. Hubungan antara lama umur reksa dana dengan peringkat pada metode Sharpe, Treynor dan Jensen adalah semakin lama umur reksa dana maka semakin baik kinerja dari reksa dana tersebut.