Wawasan Volume II – 1 Galuh Budi Astuti

ANALISIS PERBANDINGAN KINERJA REKSADANA SAHAM PERIODE PRA, SAAT DAN PASCAKRISIS KEUANGAN GLOBAL DENGAN METODE SHARPE

ABSTRACT

This study was performed to analyze the comparative performance of mutual fund shares before the period of crisis, in times of crisis and after the global financial crisis by using the Sharpe method to prove whether that stock mutual funds as one of the best alternative in investment. This research compares the performance of mutual fund shares for a period before and after the global financial crisis using data and statistical analysis and hypothesis testing. The data used are secondary data derived from Bapepam, Indonesia Stock Exchange and Bank Indonesia that published over the internet. The data that used in this research include monthly Net Asset Value (NAV) per unit, monthly Composite Stock Price Index and monthly BI rate respectively for the period December 2005 to June 2010. The entire population of this study is that mutual fund shares mutual Information Center listed at Bapepam-LK were 121 mutual funds and sampling techniques using the purposive sampling method. The steps of analysis 1) calculating the return and risk of stock mutual funds, 2) calculating the performance and risk of the stock market, 3) calculating the risk-free, and 4) calculating the performance of mutual fund shares by the method of Sharpe. The hypothesis test using the Wilcoxon test of difference thus obtained the following results 1) there is no difference in the performance of mutual fund shares for before (pre) financial crisis periods and in times of crisis periode, 2) there is no difference in the performance of mutual fund shares for after (post) crisisperiod and in times of crisis period, 3) there is no difference in the performance of mutual fund shares for before (pre) and after (post) the global financial crisis occurred. From these results it can be concluded that mutual funds deserve to be the best investment alternative, especially for investors who want high returns and willing to take risks but have limited funds.

Keywords: stock mutual funds, Sharpe method, global crisis

Halaman 14 – 27

 

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