ANALISIS PENGARUH KEBIJAKAN ALOKASI ASET, PEMILIHAN SAHAM, DAN TINGKAT RISIKO TERHADAP KINERJA REKSA DANA SAHAM DI INDONESIA (Periode 2006-2008)

NURCAHYA, GINTING PRASETYA ENKA (2010) ANALISIS PENGARUH KEBIJAKAN ALOKASI ASET, PEMILIHAN SAHAM, DAN TINGKAT RISIKO TERHADAP KINERJA REKSA DANA SAHAM DI INDONESIA (Periode 2006-2008). Other thesis, Fakultas Ekonomi.

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    Abstract

    Mutual fund is one of indirect instrument of investment through investment companies, call financial intermediary. Before investing at mutual funds, investors should understand the performance of mutual fund by investment managers. This research aims to analyze the performance of equity mutual funds in Indonesia by observing their asset allocation policy (passive activities), stock selection (active activities), and risk level (market conditions). Descriptive and verificative methods were performed in this research. Secondary data relating to mutual funds performance analysis were used. These set of data were collected from the websites: www.bi.go.id, www.finance.yahoo.com, www.portalreksadana.com, www.lps.go.id, and www.bapepamlk.depkeu.go.id. This study uses pooled data, the data choosing with purposive sampling. Sample use in this research is 63 items of equity mutual funds by the period of January 2006 until December 2008. We apply performance measures with investment return measures method and risk adjusted measures methods. The Sharpe Ratio (Sharpe, 1992) was used to determine performance of mutual funds under investigation. Multiple linear regression analysis is used as a model of statistical equations. Asset Class Factor Model (Sharpe, 1992) was used to analyze the impact of asset allocation policy, Treynor and Mazuy (1966) model was used to analyze the impact stock selection, and risk level measured by using Beta mode (single index model). The results show that asset allocation policy, stock selection, and risk level have positive influence toward the performance of equity mutual funds. It indicates that mutual funds performance is determined by those activities of investment managers and market return condition. Keywords: Mutual funds performance, asset allocation policy, stock selection, risk level.

    Item Type: Thesis (Other)
    Subjects: H Social Sciences > H Social Sciences (General)
    Divisions: Fakultas Ekonomi
    Fakultas Ekonomi > Akuntansi
    Depositing User: Lutvi Satriyo Putro
    Date Deposited: 15 Jul 2013 17:23
    Last Modified: 15 Jul 2013 17:23
    URI: https://eprints.uns.ac.id/id/eprint/4555

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