ANALISIS KINERJA REKSA DANA DENGAN MENGGUNAKAN MODEL SHARPE, TREYNOR DAN JENSEN

Abstract

The purpose of this research is to find out the performance of mutual fund to the benchmark by using Sharpe, Treynor and Jensen model. This research applies secondary data which has been provided by the Financial Service Authority (OJK), Indonesia Stock Exchange (IDX), and Bank Indonesia (BI). The sample collection has been carried out by using purposive sampling technique. Based on the determined criteria, the samples are 38 stocks of mutual funds. The measurement of mutual fund performance and its benchmark are carried out by using Sharpe, Treynor, and Jensen model. Meanwhile, the Kruskal Wallis different test is used to find out whether differences are exist or not on the result of the measurement of model. The result of this research shows that most of the mutual fund stocks which have been studied are unable to generate the performance above its benchmark which is Composite Stock Price Index (CSPI). Moreover, the result of the research has concluded that there is no different of the result of the performance measurement of mutual fund stocks which has been done by using Sharpe, Treynor and Jensen model.

Keywords: Mutual Fund, Performance of Stock Mutual Fund, Sharpe, Treynor and Jensen Model.