Analisis Pengukuran Kinerja Reksa Dana Saham dan Pembentukan Portofolio Optimal Pada Instrumen Reksa Dana Saham
Sembiring, Ade Wayne
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Limitation of knowledge and time that investors have makes mutual fund especially equity mutual fund becoming an interesting instruments for investors. Equity mutual fund has high risk, even though it proceeds high return. This research aim to compile an optimal portofolio that consists of equity mutual funds that has better performance than the IHSG performance (outperformed). A mutual fund is said to have performed exceptionally well when able to provide a higher rate of return and may reduce the risk. Performance evaluation use four years historical data during period of January 2010 until December 2013 by using some methods that are Sharpe, Treynor, Jensen, and M2 Methods. Then the outperformed equity mutual fund is considered to become candidate in compiling of optimal portofolio. For compiling the optimal portfolio, it applies Markowitz’s efficient frontier. The Result s show that among twenty equity mutual funds which are use as samples study, only fifteen equity mutual funds could be said as outperformed equity mutual fund pursuant to Sharpe’s, Treynor’s, Jensen’s, dan M2’s Measurement. And the results from that fourth measurement, the top five rank consistenly and successively reached by Panin Dana Maksima, Emco Mantap, Schroder Dana Prestasi, Batavia Dana Saham Optimal, and Schroder Dana Istimewa. From the fifth equity mutual funds only four of them are the component of optimal portfolio and allocating the funds at Panin Dana Maksima with the proportion of investment of 49.2%, Schoder Dana Prestasi with the proportion of investment of 16.29%, Emco Mantap with the proportion of investment of 25.19%, dan Batavia Dana saham Optimal with the proportion of investment of 9.3%.
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