Analisis Kinerja dan Kemampuan Market Timing pada Reksa Dana Saham di Indonesia Periode 2007-2010
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Institusion
STIE Indonesia Banking School
Author
Irrizqi, Rachmat Wijaya Kusuma
Subject
HD28 Management. Industrial Management
Datestamp
2020-09-29 03:36:34
Abstract :
This research aim to evaluate the performance and test the market timing ability of the mutual funds in Indonesia. This study used 14 mutual funds that are active during the period 2007 to 2010. In this study, the measurement of the performance of mutual funds can be analyzed with risk-adjusted measures method by Sharpe, Treynor and Jensen Index. To know there is or not of market timing ability used model developed by Henriksson-Merton (1981). Market timing ability represent size measure ability of fund manager for its changing at the right time. The research results obtained showed that the majority of mutual funds that were observed to provide better performance than the performance of the market as a comparison. It can be concluded that the three methods of measurement of investment funds that have been made, overall, there were nine fund managers that are above the results of the market. The results showed that there is only one fund manager who statistically significant had market timing ability of mutual fund, there is Makinta Mantap. Keywords : mutual funds, portfolio perfomance, market timing.
This research aim to evaluate the performance and test the market timing ability of the mutual funds in Indonesia. This study used 14 mutual funds that are active during the period 2007 to 2010. In this study, the measurement of the performance of mutual funds can be analyzed with risk-adjusted measures method by Sharpe, Treynor and Jensen Index. To know there is or not of market timing ability used model developed by Henriksson-Merton (1981). Market timing ability represent size measure ability of fund manager for its changing at the right time. The research results obtained showed that the majority of mutual funds that were observed to provide better performance than the performance of the market as a comparison. It can be concluded that the three methods of measurement of investment funds that have been made, overall, there were nine fund managers that are above the results of the market. The results showed that there is only one fund manager who statistically significant had market timing ability of mutual fund, there is Makinta Mantap. Keywords : mutual funds, portfolio perfomance, market timing.
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