ANALISIS PENGUKURAN KINERJA REKSA DANA SAHAM DENGAN METODE SHARPE, JENSEN, TREYNOR, M² DAN INFORMATION RATIO DI BURSA EFEK INDONESIA

Abstract

Abstrak

Penelitian ini bertujuan untuk menganalisis kinerja Reksa Dana saham dengan menggunakan metode Sharpe, Jensen, Treynor, M²  dan Information Ratio pada Bursa Efek Indonesia. Penelitian ini adalah penelitian deskriptif kuantitatif. Subjek penelitian sebanyak 68 Reksa Dana saham. Selama periode pengamatan (2013-2015) tidak ada Reksa Dana saham yang konsisten berkinerja outperform namun hanya ada dua Reksa Dana yang memiliki kinerja terbaik diantara Reksa Dana lainnya karena mampu outperform dari BI Rate dan IHSG selama 3 tahun. Reksa Dana tersebut adalah Dana Pratama Ekuitas dan Lautandhana Equity Progresif, oleh karena itu kedua Reksa Dana tersebut adalah Reksa Dana yang layak dijadikan pilihan berinvestasi di tahun 2016.

Kata kunci: Metode Sharpe, Treynor, Jensen, M2, Information Ratio, Outperform, Underperform

Abstract

This study aimed to analyze of portofolio performance share with Sharpe, Jensen, Treynor, M² and Information Ratio method in Indonesia Stock Exchange. The study was a quantitative descriptive study. The unit observation were 68 equity funds. During the observation period (2013-2015) there was no consistent performing equity funds can outperform but there is only two that has the best performance among all samples were able to outperform from other for 3 years. Best equity funds are Dana Pratama Ekuitas and Lautandhana Equity Progresif, therefore Dana Pratama Ekuitas and Lautandhana Equity Progresif are equity funds that is worthy of choice to invest in 2016.

Keywords: Sharpe Methods, Treynor Methods, Jensen Methods, M², Information Ratio Methods, Outperform, and Underperform