Analisis Kausalitas Dan Kinerja Reksa Dana Saham Konvensional Dan Syariah Di Indonesia Dengan Menggunakan Risk-Adjusted Performance Periode 2011- 2014
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Institusion
STIE Indonesia Banking School
Author
Kusumo, Cahyo
Subject
HD28 Management. Industrial Management
Datestamp
2024-07-17 01:30:56
Abstract :
The Purpose of this research is : 1.) to examine the monthly performance of conventional and sharia stock mutual funds in Indonesia during 2011 ?2014 using risk-adjusted performance method, established for periode 2011-2014 listed in Financial Services Authority, and 2.) to understand the long-term relationship between market return (JKSE) and NAB conventional and sharia stock mutual funds The risk-adjusted methods that used in this research are 1.) Sharpe Ratio, 2.) Treynor Ratio, 3.) Jensen-alpha Ratio, 4.) M-Square, and 5.) Sortino Ratio. And, to understand the long-term relationship used Johansen cointegration test. Keywords : Conventional and Sharia stock mutual funds, JKSE, risk-adjusted performace method
The Purpose of this research is : 1.) to examine the monthly performance of conventional and sharia stock mutual funds in Indonesia during 2011 ?2014 using risk-adjusted performance method, established for periode 2011-2014 listed in Financial Services Authority, and 2.) to understand the long-term relationship between market return (JKSE) and NAB conventional and sharia stock mutual funds The risk-adjusted methods that used in this research are 1.) Sharpe Ratio, 2.) Treynor Ratio, 3.) Jensen-alpha Ratio, 4.) M-Square, and 5.) Sortino Ratio. And, to understand the long-term relationship used Johansen cointegration test. Keywords : Conventional and Sharia stock mutual funds, JKSE, risk-adjusted performace method
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