PENGUKURAN KINERJA REKSA DANA SAHAM DI INDONESIA DENGAN MENGGUNAKAN METODE SHARPE, METODE TREYNOR, DAN METODE JENSEN SELAMA PERIODS 2005-2009

• Main Authors: , Frieda Mutiara Ulibasa Harahap, , Prof. Marwan Asri, M.B.A., Ph.D.
• Format: Theses and Dissertations NonPeerReviewed
• Published: [Yogyakarta] : Universitas Gadjah Mada 2013
• Subjects: ETD
• Online Access: https://repository.ugm.ac.id/120401/; http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=60432
• Institution: Universitas Gadjah Mada

Mutual fund is formed to gather the fund from investor to be invested in a portfolio. This portfolio is managed by appointed investment manager. A portolio of a mutual fund could consist of equity/ stocks, bonds, money market instrument, or combination from equity/ stocks, bonds, and money market instruments. Investment manager, will do investment diversification to produce optimal return to the investor. The purpose of this thesis is to evaluate the performance of Stock/ Equity Funds that actively traded within the period of January 1, 2005 until December 31, 2009 using Sharpe, Treynor, and Jensen measurement. The next step is to determine the rank based on the result of each measurement and to calculate if there�s any correlation within ranks by using Spearman Corelation. Based on the calculation result done using Sharpe, Treynor, and Jensen measurement, the following Stock/ Equity Funds are included as the top five within period of 2005-2009: for year 2005 Dana Megah Kapital dan Citireksadana Ekuitas