Open AccessAnalisis Kinerja Dan Potensi Pertumbuhan Return Portofolio Reksadana Saham Dan Reksadana Campuran
Author(s) -
Ferikawita M. Sembiring,
Titianingsih Madjan Madjan
Publication year - 2009
Publication title -
jurnal manajemen teori dan terapan/jurnal manajemen teori dan terapan
Language(s) - English
Resource type - Journals
eISSN - 2548-2149
pISSN - 1979-3650
DOI - 10.20473/jmtt.v2i2.2378
Subject(s) - capital asset pricing model , net asset value , composite index , mutual fund , econometrics , holding period return , stock (firearms) , economics , financial economics , business , investment performance , finance , composite indicator , return on investment , microeconomics , engineering , mechanical engineering , production (economics)
The purposes of this study are to analyze the performance of the stock mutual funds and composite mutual funds in Indonesia and to analyze the potency of the return growth of those mutual funds. This study used the monthly return (net asset value-NAV) of 7 stock mutual funds and 11 composite mutual funds, from January 2002 to December 2006*. The monthly composite index of the JSX is used as the proxy for market return. Jensen model is used as the tool to measure of the performance (indicated by Jensen alpha) and the potency of the return growth (indicated by beta). To get an accuracy of the analysis and to avoid bias beta problem, this beta has to be corrected with Fowler and Rorke model, adopted from Capital Asset Pricing Model (CAPM). The main results of this research explained that the performance and the potency of the return growth of the stock mutual funds are higher than the composite mutual funds, during the period of analysis.