ANALISIS PENGUKURAN KINERJA, MARKET TIMING DAN SELECTIVITY REKSA DANA SAHAM DI INDONESIA PERIODE 2006 - 2010
| Main Authors: | , Univer Immanuel, , Prof. Dr. Sukmawati Sukamulja |
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| Format: | Thesis NonPeerReviewed |
| Terbitan: |
[Yogyakarta] : Universitas Gadjah Mada
, 2012
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| Subjects: | |
| Online Access: |
https://repository.ugm.ac.id/98375/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=53505 |
Daftar Isi:
- These days, mutual funds has become a main vehicle for investor who has lack of ability come to investing in Indonesian capital market. Along with growing of mutual funds, a lot of studies has been done. Previous studies of fund performance measurement and market timing and selectivity measurement in several countries, found different findings. Existence of this differences encourage to doing a study of equity funds performance measurement and market timing and selectivity measurement in Indonesian equity funds. This study using traditional risk-adjusted return, consists of Sharpe Ratio, Treynor Ratio, dan Jensen Alpha in measuring equity funds performance. Indeks Harga Saham Gabungan is used as a benchmark. Treynor-Mazuy and Henriksson- Merton model is used to measure market timing and selectivity. The results show that in overall equity funds have outperform performance. In individual, there are 6 equity funds have outperform performance based on Sharpe Ratio, 9 equity funds have outperform performance based on Treynor Ratio, and 9 equity funds have outperform performance based on Jensen Alpha. Result from market timing measurement finds that there is an evidence of market timing capabilites on largely of equity funds, otherwise there is a lack of evidence of selectivity capabilites in equity fund managers.