ANALISIS PENGUKURAN KINERJA REKSA DANA SAHAM DI INDONESIA

Abstract

This study aimed to (1) Measure the amount of the performance of mutual fund shares based on net asset value (NAV), (2) valuating the magnitude of risk of mutual fund shares, and, (3) Measuring the return on mutual fund shares than the market rate of return. Research method used is descriptive method. Descriptive research method aims to determine the return characteristics of mutual fund shares studied in comparison with stock market returns (both JCI and LQ-45) and SBI rate in the period 2008 to 2010. The population in this study is that there are mutual fund shares on the Stock Exchange. As for the samples are mutual fund shares that is actively operating in the period of 2008 to 2010. The study is based on the average rate of return shows 9 out of 10 mutual fund shares gained positive results that indicate invest in mutual fund shares can provide benefits, except for Mega Mutual Fund Shares bear the loss with a negative return. Based on the level of risk where the standard deviation is used as a measure of the deviation indicates that 10 (ten) mutual fund shares has a smaller standard deviation which means it has a lower risk level of the market. Based on the comparative performance of the market performance and risk-free investment, compared with interest rates of Bank Indonesia, there are 6 (six) mutual fund shares which produces better performance. With the benchmark there LQ-45, there are 2 (two) mutual fund shares that have better performance, they are Panin Dana Maxima and Panin Dana Prima, and by JCI benchmark is only Panin Dana Maxima that produces the best performance. Based on the method of Sharpe and Jensen, there are 2 (two) mutual fund shares that are able to surpass the performance of JCI and LQ-45, they are mutual fund shares of Panin Dana Maxima dan Panin Dana Prima. Based on Treynor methods there are 3 (three) mutual fund shares which has better performance than the market, they are Panin Dana Maxima, Panin Dana Prima dan Manulife Saham Andalan mutual fund shares.