Penilaian Kinerja Produk Reksadana dengan Menggunakan Metode Perhitungan Jensen Alpha, Sharpe Ratio, Treynor Ratio, M2, dan Information Ratio
Abstract: This research
determined the results of the performance of mutual fund products offered by
PTNISP Asset Management with Risk Adjusted Return calculation model. To perform
an assessment of the mutual funds, this research analyzed 6 of 8 mutual fund
products offered by PT NISP Asset Management during the years 2008 and 2009.
The data analysis methods used were Sharpe Ratio, Treynor Ratio, Jensen Ratio,
M2 or M-square measure and Information Ratio.The results of the research showed
that mutual funds offered by PT NISP Asset Management should be selected by the
investor.The results also showed that the performance of all mutual funds
offered by PT. NISP Asset Management that were analyzed performed well, but
there was only one mutual fund product rated to survive in times of crisis,
which was IndeksSahamProgresif. This mutual fundproduct is recommended for
investors who are looking to invest in PT. NISP Asset Management.
Keywords: Jensen Alpha, Sharpe Ratio, Treynor
Ratio, M2, Information Ratio,
Systematic risk, Total risk
Penulis: Magdalena Santosa,
Amelina Apricia Sjam
Kode Jurnal: jpmanajemendd120476
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