EVALUATION PERFORMANCE OF EQUITY FUNDS BY SHARPE,
TREYNOR, JENSEN, MODIGLIANI, SORTINO, AND EROV
(Case Study Equity Funds Listed in Securities and Exchange
Commission (BAPEPAM) Period 2010 – 2012)
By:
Arfian Fidya Utama
ID: 109081100003
MANAGEMENT DEPARTMENT
INTERNATIONAL CLASS PROGRAM
FACULTY OF ECONOMICS AND BUSINESSES
STATE ISLAMIC UNIVERSITY SYARIF HIDAYATULLAH
JAKARTA
1434 H /2013
i
EVALUATION PERFORMANCE OF EQUITY FUNDS BY SHARPE,
TREYNOR, JENSEN, MODIGLIANI, SORTINO, AND EROV
(Case Study Equity Funds Listed in Securities and Exchange
Commission (BAPEPAM) Period 2010 – 2012)
THESIS
Submitted to faculty of Economics and Business in Partial Recruirements for
Acquiring the Bachelor Degree of Economics
By:
Arfian Fidya Utama
ID: 109081100003
MANAGEMENT DEPARTMENT
INTERNATIONAL CLASS PROGRAM
FACULTY OF ECONOMICS AND BUSINESSES
STATE ISLAMIC UNIVERSITY SYARIF HIDAYATULLAH
JAKARTA
1434 H /2013
iii
CURRICULUM VITAE
PERSONAL DATA
Name : Arfian Fidya Utama
Date of Birth : Tangerang, March 26th 1991
Address : JL. Inpres VI / 29 RT/RW 001/001
Gaga,Larangan, Kota Tangerang
Religion : Islam
Phone : 0813-8641-5623
Email : [email protected]
EDUCATIONAL BACKGROUND
1. 1996 – 1997 : TK Al- fiah
2. 1997 – 2003 : SDN Kreo 4
3. 2003 – 2006 : SMP Negeri 11 Tangerang
4. 2006 – 2009 : SMA Hang Tuah 1 Jakarta
5. 2009 – 2013 : UIN Syarif Hidayatullah Jakarta
iv
ABSTRACT
The aim of the research is about the performance evaluation on equity funds based on
Sharpe, Treynor, Jensen, Modigliani (M2), Sortino, and EROV measurement, it is
also to explain the performance of equity funds (or investment funds) so it can be a
consideration factor in the investment decision. To invest on equity funds, investors
should be compare composition of knowing their investment policy and measurement
of their performances.
The methods of measurement used in evaluating equity funds performances are 6
methods of Risk-Adjusted Ratio Performance Measures, they are The Sharpe
Measurement (RVAR), The Treynor Measurement (RVOL), Jensen's Differential
Return (Alpha), Modigliani (M2), Sortino, and Exceess Return on VaR (EROV).
Coefficient determination is used to know which equity fund has the best
diversification. The sample is in 44 mutual funds with 3 years periods from 2010 to
2012. Benchmark for equity funds is needed to be a performance comparison is JCI.
The results based on 6 methods shows the different appraisals and ranks. However, in
general, there's only one equity fund that has the best or optimal performance, which
Is Panin Dana Maksima.
Keyword: Performance evaluation, Equity Funds, Risk Adjusted Ratio Method.
v
ABSTRAK
Tujuan dari penelitian ini adalah tentang evaluasi terhadap kinerja reksa dana
saham berdasarkan Sharpe, Treynor, Jensen, Modigliani (M2), Sortino, dan
pengukuran EROV, juga untuk menjelaskan kinerja reksa dana saham (atau dana
investasi) sehingga dapat menjadi faktor pertimbangan dalam pengambilan
keputusan investasi. Untuk berinvestasi di reksa dana saham, investor harus
membandingkan mengetahui kebijakan komposisi investasi dan pengukuran kinerja
mereka.
Metode pengukuran yang digunakan dalam mengevaluasi reksa dana saham adalah
6 metode Risk-Adjusted Pengukuran Kinerja, mereka adalah Sharpe (RVAR),
Treynor (RVOL), Jensen (Alpha), Modigliani (M2), Sortino, dan Exceess Return On
VaR (EROV). Koefisien determinasi digunakan untuk mengetahui reksa dana saham
mana yang memiliki diversifikasi terbaik. Sampel adalah 44 reksa dana dengan
periode 3 tahun 2010-2012. Benchmark untuk reksa dana saham yang dibutuhkan
untuk menjadi perbandingan kinerja IHSG.
Hasil berdasarkan 6 metode menunjukkan penilaian yang berbeda dan jajaran.
Namun, secara umum, hanya ada satu reksa dana saham yang memiliki yang terbaik
atau optimal kinerja yang adalah Panin Dana Maksima.
Kata Kunci : Evaluasi Performa, Reksa Dana Saham, Metode Risk-Adjusted Rasio.
viii
LIST OF CONTENNT
COVER PAGE IN .............................................................................................. i
SHEET STATEMENT AUTHENTICITY SCIENTIFIC WORKS ................... ii
CURICULUM VITAE ........................................................................................ iii
ABTSRACT ........................................................................................................ iv
ABSTRAK .......................................................................................................... v
PREFACE ........................................................................................................... vi
LIST OF CONTENT ..........................................................................................viii
LIST OF TABLE ................................................................................................ xi
LIST OF PICTURE ............................................................................................ xii
LIST OF APPENDIX ......................................................................................... xiii
CHAPTER I INTRODUCTION
1.1 Background ............................................................................................ 1
1.2 Problem Formulation ............................................................................. 10
1.3 Purpose of The Research ....................................................................... 10
1.4 The Benefits of This Research ............................................................... 11
CHAPTER II LITERATURE REVIEW
2.1 Investment.............................................................................................. 13
2.1.1 Understanding Mutual Funds ...................................................... 13
2.1.2 Type of Investment ...................................................................... 14
2.1.3 Purpose of Investment ................................................................. 15
ix
2.2. Mutual Funds ........................................................................................ 16
2.2.1 Understanding Mutual Funds ...................................................... 16
2.2.2 Form, Nature, and Types Mutual Funds ...................................... 18
2.2.2.1 Mutual Funds Based on Legal Forms .............................. 18
2.2.2.2 Mutual Funds Based on Character................................... 18
2.2.2.3 Mutual Funds by Type of Investment .............................. 21
2.2.3 Portfolio Management of Mutual Funds ..................................... 23
2.2.4 Benefits of Mutual Funds ............................................................ 23
2.2.5 Mutual Funds Investment Risk .................................................... 27
2.2.6 Mutual Fund Performance Measurement Model ......................... 31
2.2.7 Benchmark ................................................................................... 38
2.3 Previous Research .................................................................................. 38
2.4 Framework ............................................................................................. 42
2.5 Hypothesis ............................................................................................. 44
CHAPTER III RESEARCH METHODOLOGY
3.1 The Scope of Research .......................................................................... 45
3.2 Sampling Methods ................................................................................ 45
3.3 Data Collection Method ........................................................................ 48
3.4 Data Analysis Methods ......................................................................... 48
3.5 Theoritical Hypothesis ........................................................................... 54
3.6 Research Operational of Variables ....................................................... 56
CHAPTER IV ANALYSIS AND DISCUSSION
4.1 Descriptive Statistics Analysis .............................................................. 64
x
4.2 Analysis Performance of Equity Funds ................................................. 69
4.3 Performance Comparisons Monthly Equity Funds with Risk-Adjusted
Return Methods .................................................................................... 92
4.4 Hypothesis Testing ................................................................................ 98
4.4.1 Normality Test Data ...................................................................... 99
4.4.2 Comparations Test Different Equity Funds Return with Benchmark
Return ..........................................................................................101
4.4.3 Comparations Test The Result of Performance of Equity Funds By
Measurement Model Index Sharpe, Treynor, Jensen, Modigliani,
Sortino, and EROV .....................................................................102
CHAPTER V CONCLUSIONS AND IMPLICATIONS
5.1 Conclusion ...........................................................................................105
5.2 Implication ...........................................................................................106
RERFERENCES .................................................................................................107
APPENDIX .........................................................................................................110
xi
LIST OF TABLE
Table 1.1 Type of NAV Mutual Funds on October 29th
, 2010 ............................. 2
Table 1.2 Industrial Development of Mutual Funds 1996-2012 .......................... 5
Table 2.1 Summary of Previous Research ........................................................... 41
Table 3.1 Equity Funds to Study Sample ............................................................. 46
Table 3.2 Research Variable, Operational Definition and Formulation .............. 62
Table 4.1 Descriptive Statistics Average Monthly Equity Fund Indonesia Years
2010-2012 ........................................................................................... 66
Table 4.2 Performance Equity Funds Based Sharpe Ratio Method .................... 71
Table 4.3 Performance Equity Funds Based Treynor Ratio Method .................. 74
Table 4.4 Performance Equity Funds Based Jensen Alpha Ratio Method ......... 78
Table 4.5 Performance Equity Funds Based Modigliani Index .......................... 82
Table 4.6 Performance Equity Funds Based Sortino Ratio Method ................... 86
Table 4.7 Performance Equity Funds Based EROV Ratio Method .................... 90
Table 4.8 Performance Comparisons Monthly Equity Funds with Six Model of
Measurement Years January 2010 – December 2012 ......................... 92
Table 4.9 Testing by Kolmogorov-Smirnov Return of Equity Funds and Return
Benchmark .......................................................................................... 99
Table 4.10 Kolmogorov-Smirnov Test Performance Measurement Model........100
Table 4.11 Result of Mann-Whitney Test ...........................................................101
Table 4.12 Kruskall-Wallis Test .........................................................................103
Table 4.13 Chi- Square .......................................................................................103
xii
LIST OF PICTURE
Picture 2.1 Framework .......................................................................................... 43
Picture 4.1 Best ten Sharpe Ratio Method ............................................................ 72
Picture 4.2 Best ten Treynor Ratio Method .......................................................... 76
Picture 4.3 Best ten Jensen Ratio Method ............................................................. 80
Picture 4.4 Best ten Modigliani Ratio Method...................................................... 84
Picture 4.5 Best ten Sortino Ratio Method ........................................................... 87
Picture 4.6 Best ten EROV Ratio Method ............................................................ 91
Picture 4.7 Average Return of Performance of Six Indicators.............................. 94
xiii
Table of Appendix
Appendix I List Sample of Equity Funds ........................................................110
Appendix II Descriptive Statistic of Equity Funds ..........................................112
Appendix III Comparisons Six Indicator Methods ...........................................114
Appendix IV Risk Adjusted Method Six Indicators .........................................116
Appendix V Result of Testing Hypothesis ......................................................124
1
CHAPTER I
INTRODUCTION
1.1. Background
The economic situation in Indonesia is still not stable, people are faced
with various options on how to invest their own funds in order to gain optimal
results. In Indonesia there are a variety of investment options with varying
degrees of risk and returns that can be given, but the obstacle is how to choose the
right investments according with the ability of each investor because not all
investors have the same knowledge, funds and time for each the investment
choices.
Mutual fund is one of the alternative investments in the capital market for
the society especially small investors. Mutual fund is designed as a place to
collect funds from the society who has limited capital, knowledge and time.
Mutual fund is the familiar instrument in the Indonesian capital market.
Understanding of mutual funds in the Capital Market Law No. 8 Years
1995 is a place used to collect funds from the public investors to be invested in
portfolio securities by investment managers. Portfolio itself is a collection of
securities such as stocks, bonds, SBI, time deposits, government securities and
money market securities. Before investing in mutual funds we need to know what
types of Mutual Funds in accordance with our investment objectives and needs.
The types of mutual funds available in Indonesia there are four categories based
2
insturment, namely money market funds, fixed income funds, equity funds and
balanced funds.
Each type of mutual fund has different cirteria. Fixed income funds 80
percent of its investment portfolio in effects in the form of debt securities such as
bonds. Money market mutual funds portfolio investment in money market
instruments such as SBI. Equity fund whose investment portfolio consists of
stock. Balanced funds are investment instruments can be shaped stock and bonds
or in combination with other instruments. Each type of mutual Funds also have
different performance as seen from the Net Asset Value (NAV) any type of
mutual fund. Performance for each type NAV of mutual fund seen from as at
October 29th
, 2010 that is registered with Securities and Exchange Commission
(Bapepam) can be seen in Table 1.1 below:
Table 1.1
Type of NAV Mutual Funds on October 29th,
2010
No Type of Mutual Funds Net Asset Value (NAV)
1 Fixed Income Funds 22.941.696.480.467,07
2 Money Market Funds 7.494.940.770.221,47
3 Equity Funds 40.115.204.202.815,39
4 Balanced Funds 15.794.027.804.413,38
Total 86.345.869.257.917,10
Source : Bapepam.go.id
Phenomena in Table 1.1 shows each type of NAV mutual fund on
October 29th
,2010. Tabel 1.1 shows that the highest NAV is the type of Equity
fund that have the highest risk among the types of Other Mutual funds. means
investors are more interested in investing into equity funds.
3
According Pratomo and Ubaidullah (2000:73), compared to money market
mutual funds and fixed-income funds, equity funds providing growth potential for
greater investment value, so does the risk. Equity funds become an attractive
alternative for investors who understand the potential for long-term stock
investments, so that the funds are used to invest in fund for long-term needs,
investors should also understand and be willing to accept the risks that accompany
investments.
Mutual funds were first introduced in Indonesia precisely on 7 September
1995 with a form of the Company and are covered by PT. BDNI. Prestige of
mutual funds in the publlic continues to grow as one of the prospective investment
alternatives. This is evidenced by the development of a number of mutual funds in
Indonesia amounted to only 25 mutual funds in 1996, and a decade later, exactly
september 2006 the number of mutual funds in Indonesia has reached 370 mutual
fund. The number of mutual fund is also supported by the growth of managed
funds that have been collected from people who are known with a total net asset
value (NAV). In 1996 it was noted that the total value of the NAV of mutual
funds in Indonesia amounted to 2.8 trillion rupiah. While at the end of September
2006 has reached 39.95 trillion rupiah. During this period, the total NAV of
mutual funds have reached the highest point in February 2005, reaching 113.7
trillion rupiah. However, after the mutual fund market in Indonesia experienced
significant turmoil due to mass redemptions by investors at the end of 2005
amounted to 29.41 trillion rupiah stay. Along the improving macro-economic
4
conditions of Indonesia, the total NAV of mutual funds returned to growth.
(Manurung, 2008: 10)
Development of mutual funds in recent years has increased making
investors to participate in advancing the industry. mutual funds became popular
and much in demand by investors, particularly small investors because mutual
funds have many benefits and convenience offered, among others, the mutual
fund is an alternative to diversify investments; income levels are usually higher
than the interest rate time deposits; period the expected level of income as well as
the risks that may arise can be tailored to the wishes and interests of the owner of
the funds; professional investment managers because it is managed by a
professional investment manager, and experienced in managing investment
portfolios; Investors do not have to think or make their own analysis to sort out
the type of portfolio, fairly deliver and receive the results. (Darmawi, 2006:203)
Development of mutual funds in Indonesia is relatively rapid due to some
benefits invest in mutual fund. The benefits include lower transaction costs, high
liquidity, investment diversification and is managed by professional management.
The advantages making a lot of investors who have limited time, energy, and
knowledge in the sector of investment in the capital market to prefer mutual funds
rather than directly involved in the capital market.
Table 1.2 below shows from 1996 to 2012 mutual funds grow rapidly and
continues significant growth. Development mutual funds in Indonesia in 1996-
2012 can be seen in Table 1.2 as the following:
5
Table 1.2
Industial Development of Mutual Funds 1996-2012
Years Number of Funds Net Asset Value
1996 25 2,782
1997 77 4,916
1998 81 29,992
1999 83 4,974
2000 94 5,515
2001 108 8,003
2002 131 46,613
2003 186 69,477
2004 246 104,037
2005 328 29,405
2006 403 51,620
2007 473 92,190
2008 567 74,065
2009 610 112,983
2010 612 149,087
2011 646 168,236
2012 652 168,568
Source : Bapepam.go.id
From Table 1.2 above the Mutual Fund industry in 2004 showed the rapid
growth in 2004 there were 246 products mutual fund. Since the introduction of
mutual funds in Indonesia in 1995 mutual funds experienced rapid growth from
the year 1996-2012 there were 652 number of mutual funds in 2012. Can be seen
that happen NAV increase from 2000 to 2004 but decline again in 2005 and in
6
2012 occurred the highest NAV during the year 1996-2012 amount Rp.168.568
Trillion. This phenomenon showed that the NAV in mutual funds has increased
and decreased which shows instability on the performance of mutual funds each
year suspected because of the instability of mutual fund performance.
The portfolio performance evaluation primarily refers to the determination
of how a particular investment portfolio has performed relative to some
comparison benchmark. The evaluation can indicate the extent which the portfolio
has outperformed or under-performed, or whether it has performed at par with the
benchmark.
The evaluation of portfolio performance is important for several reasons.
First, the investor, whose funds have been invested in the portfolio, needs to know
the relative performance of the portfolio. The performance review must generate
and provide information that will help the investor to assess any need for
rebalancing of his investments. Second, the management of the portfolio needs
this information to evaluate the performance of the manager of the portfolio and
to determine the manager’s compensation, if that is tied to the portfolio
performance. The performance evaluation methods generally fall into two
catagories, namely conventional and risk-adjusted methods. (Samarakoon et al,
2005)
Conventional methods, Benchmark Comparison. The most straightforward
conventional method involves comparison of the performance of an investment
portfolio against a broader market index. The most widely used market index in
the U.S. is the S&P 500 index, which measures the price movements of 500 U.S.
7
stocks compiled by the Standard and Poor’s Corporation. If the return on the
portfolio exceeds that of the benchmark index, measured during identical time
periods, then the portfolio is said to have beaten the benchmark index. While this
type of comparison with a passive index is very common in the investment world,
this creates a particular problem. The level of risk of the investment portfolio
may not be the same as that of the benchmark index portfolio. Higher risk should
leads to commensurately higher returns, in the long-term. This means if the
investment portfolio has performed better than the benchmark portfolio it may be
due to the investment portfolio being more risky than the benchmark portfolio.
Therefore, a simple comparison of the return on an investment portfolio with that
of a benchmark portfolio may not produce valid results. (Samarakoon et al, 2005).
In Indonesia the most widely used market index is the JCI index (IHSG), which
measures the price movements of Indonesian stocks listed in IDX.
The risk-adjusted methods make adjustments to returns in order to take
account of the differences in risk levels between the managed portfolio and the
benchmark portfolio. While there are many such methods, the most notables are
the Sharpe ratio (S), Treynor ratio (T), Jensen’s alpha (α), Modigliani and
Modigliani (M2
), Sortino ratio, and EROV.
Investors in determining investment options in mutual funds certainly do
research on its performance. Performance is an interesting object for research,
especially for investors who want to invest through mutual funds. Mutual fund
performance measurement can be performed using a model or parameter that can
be universally accepted premises which are often associated with return and risk
8
(risk-adjusted performance). This is because the measurement of the performance
of mutual funds without taking into account the element of risk would likely result
in misleading information to investors. (Samarakoon et al, 2005)
Therefore, this question come to mind whether these companies could
obtain the excess return on their investment operation or not? By applying
obtained results of this research, investors are able to make the portfolio
individually and gain better results then that of the past. It is obvious that each
investor tries to gain more return with less risk. So, with respect to the importance
evaluation, it is necessary to introduce and employ efficient methods for
investment decision. The aim of this research is to assist with a specialized active
institution in the market. Other ambitions of the paper are followed as: help to
increase the efficiency of the market, help to increase intellectual decision,
creation of better opportunity for operational and financial investment. In regard
to the financial crisis of previous years, it's importance has been evident more than
ever (Ataie, 2012).
Previous research on mutual funds has been done by other researchers,
such as that conducted by Siagian (2006) states that individually are only three of
seven mutual funds that have outperformed performance against the performance
of the market. Khan (2010) in which measurement methods in use, namely
Sharpe, Treynor and Jensen has a good performance, while Fama net selectivity
has a poor performance.
Anik (2001) conducted a study evaluating the performance of the Mutual
Fund stated that Jensen's method is the best measurement methods used during the
9
study compared with the Sharpe and Treynor methods. Kuolis et al (2011) The
results showed that the ranking of Sharpe and Treynor same calculation. Kolbadi
(2011) conducted a study there is a meaning full different between result of
performance evaluation by using Sterling, Sortino and Sharpe in investment
companies. Ataie (2012) in her study that the performance with EROV ratio has
better results compared to the performance of the M3 measure and Sortino ratio.
Differences were found in this study with previous studies is the study
Siagian (2006) the method of measurement used in this study more while Siagian
only one. The research conducted by Khan (2010) used the method of Sharpe,
Treynor, Jensen and Fama Net selectivity whereas in this study using Sharpe,
Treynor, Jensen, Modigliani, Sortino, and EROV. Study by Anik(2001), the
different in this study is adding Modigliani, Sortino,and EROV methods. The
conducted by Kuolis,et al (2011) used the Sharpe and Treynor only, and data
using Greek equity fund whereas in this study using Sharpe, Treynor, Jensen, M2,
Sortino, and EROV and using different data. Kolbadi (2011) the methods
measurement used Sharpe, Sortino and Sterling, but in this study using six
methods measurement are Sharpe, Treynor, Jensen, Modigliani, Sortino, and
EROV. Ataie (2012) used different data listed in Tehran Stock Exchange whereas
in this study using data listed in Securities and Exchange Commision
(BAPEPAM). Overall difference with previous studies is that the data used in this
study uses the most recent period is January 2010 - December 2012.
10
Realizing this, the authors are interested in conducting research entitled:
"Evaluation Performance of Equity Funds by Sharpe, Treynor, Jensen,
Modigliani (M2), Sortino, and EROV (Case Study Equity Funds Listed in
Securities and Exchange Commision (BAPEPAM) Period 2010 – 2012)."
1.2. Problem Formulation
Based on the background, the problem formulations in this research are:
1. Is there difference between returns of Equity Funds with returns of
Benchmark index market JCI (Jakarta Composite Index)?
2. What the result of evaluating the performance of equity funds through Sharpe,
Treynor, Jensen, Modigliani, Sortino, and EROV measures are equal?
1.3. Purpose of The Research
The purposes of this research are:
1. Describing there is difference in returns of Equity funds with return of
benchmark index market JCI (Jakarta Composite Index).
2. Comparing the result of evaluation the performance of equity funds through
Sharpe, Treynor, Jensen, Modigliani, Sortino, and EROV measures are equal.
11
1.3. The Benefits of This Research
The benefits of this research are:
1. Theoretical
Theoretically this study can contribute in the sector of management, especially
concerning Financial Management of mutual funds performance measurement
analysis with measurement risk-adjusted performance methods Sharpe,
Treynor, Jensen, Modigliani, Sortino, and EROV.
2. Practical
a. For Authors
Applying financial management especially in the areas that have been
acquired during college, particularly in analyzing the performance
measurement of equity funds in Indonesia.
b. For Practitioners
This research is useful to give an overview on the performance of
equity funds in Indonesia that can be used as a reference for people to
invest their money in mutual funds that maximize income from invested
funds and be able to select investment managers who are able to
manage their funds properly. with the information about the
performance of equity fund is expected to support the efforts of
empowering the public and disclosure of information to public on the
performance, risk, and return of equity funds.
12
c. For Investment Managers
The results of this study are expected to provide an overview of the
performance of equity funds as they do in managing. This study also
provides information to the Investment Manager of the influences of the
variables in this study on the performance of equity funds that they
manage.
13
CHAPTER II
LITERATURE REVIEW
2.1. Investment
2.1.1. Understanding Investment
Investments are generally divided into two investments in financial assets
and real assets. Real assets (tangible assets) in the form of land, buildings,
machinery, while knowledge and financial assets (Intangible assets) in the form of
stocks or bonds. Real assets to produce goods and services, while explaining the
allocation of financial assets or earnings on investor wealth (Bodie et al, 2005:4).
"Mutual funds are simply a means of combining or pooling the funds of a
large group of investors. The buy and sell decisions for the resulting pool are then
made by a fund manager ". (Bradford and Jordan 2002: 135).
According Husnan (2005:47) the general investment activities are all
activities of the fund by individuals and companies to obtain a larger income than
the sacrifices that have been made. The activities of diverse kinds, starting with a
simple investment activities such as buying gold or deposits to the most complex
and intricate as a multidisciplinary activity which is worth billions of dollars.
14
Basically the goal of investing is to make some money. Another
investment objectives are more specifically is to get a better life in the future,
reducing inflationary pressure and the urge to save on taxes (Tandelilin, 2001:3).
2.1.2. Types of Investment
According Jogiyanto (2008:6) Investments in financial assets can be in the
form of direct investment and indirect investment. Direct investment made by
purchasing directly from a company's financial assets either through
intermediaries or in other ways. on the contrary, indirect investments made by
buying shares of an investment company which has a portfolio of financial assets
from other companies.
a. Direct Investment
According Jogiyanto (2008:6) direct investment can be done by
purchasing financial assets that can be traded in the money market,
capital market, or derivatives market. Direct investment can also be
done with the purchase of financial assets that can not be traded.
b. Indirect Investment
According Jogiyanto (2008:6) indirect investments made by
buying securities from the investment firm. Investment company is a
company that provides financial services by selling shares to the
public and use the proceeds to be invested into the portfolio.
15
2.1.3. Purpose of Investment
Husnan (2005:48) investment objective is basically to make some money.
but that statement seems too simple, so it needs to look for a more precise answer
about the purpose of investing. as mentioned above, the broader investment
objective is monetary welfare, which can be measured by the sum of current
income plus the value of future income.
According Rodoni (2009:47), the reason for investing is:
a. To Obtain a Better Life in The Future
Everyone wants a better life in the future. To that, investors make
investments for the purpose of profit in order to earn a better living in the
future.
b. Reduce Inflation Pressures
With investing, a person or investor can avoid the falling value of their
wealth from inflation.
c. The urge to save on taxes
Government policies to increase investment tax facilities one of which is
given to person or company that invests.
16
2.2. Mutual Funds
2.2.1. Understanding Mutual Funds
A mutual fund is an investment company that issue shares to the public.
The money it receives from shareholders is pooled and invested in a wide range of
stock, bonds, or money market securities to meet specific objectives. (Hirschey
and Nofsinger, 2008 : 454)
According Williams (2001) a mutual fund is an investment company that
pools the funds of many investors in a large portfolio. Each investor who
purchases shares of the mutual fund owns a portion of a profesionally managed,
diversified investment portfolio. As the prices of the investments in the portfolio
change, the shares will fluctuate in value.
Manurung (2008) cites Giles et al (2003) stated that, Fund is a pool of
money contributed by a range of investors who may be individuals or companies
or other organizations, which is managed and investedas a whole, on behalf of
those investors. Meanwhile, according Pozen (1998) stated that, A mutual fund is
an investment company that pools money from shareholders and invests in a
diversified of securities.
Understanding of mutual funds in the Capital Market Law No. 8 Years
1995 is a place used to collect funds from the public investors to be invested in
portfolio securities by investment managers. Portfolio itself is a collection of
securities such as stocks, bonds, SBI, time deposits, government securities and
money market securities.
17
Definition outlined clearly stated that the Mutual Fund has the
characteristics, namely (Manurung, 2008: 2):
1. Collection of funds and the owner, where the owner is the owner of a mutual
fund that invested parties or put their money into mutual funds with different
variations.
2. Invested to the effect known as an investment instrument. The funds collected
from the community invested in investment instruments such as checking
accounts, time deposits, REPO, commercial paper, bonds, stocks, options,
futures, and so on.
3. Mutual funds are managed by investment managers. The investment manager
can be considered from two sides, namely as an institution and as individuals.
As an institution must have permission to manage the fund company, where
such permission is obtained from the Securities and Exchange Commission (the
Capital Market Supervisory Agency) for companies and business in Indonesia.
4. Mutual fund is an investment instrument medium and long term.
5. Mutual funds are risky investment products. Risky mutual fund because its
portfolio instruments prices change all the time.
18
2.2.2. Form, Nature, and Types of Mutual Funds
2.2.2.1. Mutual Funds Based on Legal Form
In Indonesia, there are two legal forms of the Fund, the Investment Funds
Limited Liability Company (Ltd. Mutual Funds) and Mutual Funds of investment
contracts Collective (CIC). In terms of ownership, PT. Mutual Fund will issue
shares that may be purchased by investors. Thus, by having the right to ownership
of the shares of PT. The. Meanwhile, CIC Fund issued investment units. By
having units of Mutual Funds CIC, then investors have ownership of wealth
Mutual funds net assets. Investment Funds Company is a company (in this case
the limited liability company) is engaged in the management of the investment
portfolio securities is available in the investment market. Of these activities PT
Fund will benefit in the form of an increase in the value of corporate assets (as
well as the value of its shares), which then would also be enjoyed by the investors
who own shares in the company. (Huda and Nasution 2007:96).
Some characteristics of the Mutual Fund are identical to the other
companies in the form of Ltd. are following: (Rodoni, 2006:171)
1. Have wealth.
2. Have management.
3. Have costs, such operating costs and others.
19
4. The company has an obligation in accordance with the general provisions set
out in the company law (in particular for corporate mutual fund type),
including obligations under capital licensing and taxation.
5. Responsible for shareholders (shareholders).
6. Has a wealth of operational or personnel.
Meanwhile, Mutual Fund Investment Contracts Colective is a contract
made between the Investment Manager and the Custodian Bank also bind holders
of units as investors. Through this contract the investment manager is authorized
to manage portfolios and collective investment Custodian Bank to carry out care
and administration of collective investment. Function of collective investment
contracts as well as the Articles of Association and By laws in a company.
Currently, all Mutual Funds in Indonesia is the CIC Investment Fund (Huda and
Nasution 2007:97).
2.2.2.2. Mutual Funds Based on Character
The two types of mutual funds available are open- and close-end funds.
Open-end funds, the largest catagory, continously sell shares to the public and
redeems shares for anyone wishing to sell. In contrast, close-end funds sell a fixed
number of shares in an initial offering and all subsequent buying and selling of
shares takes place in secondary market between shareholders. Unless otherwise
noted, all reference to mutual funds will be to open-end funds. (Williams,
2001:267)
20
Based on the operational character, the Mutual Fund may be divided into
the Open-end Funds and Closed-end funds. Some differences can both be
explained as follows. Open-end Fund to sell its shares in a public offering to so
listed on the stock exchanges. Investors can not sell back their shares to other
investors through a stock exchange where the trading price is determined by
market mechanisms (Huda and Nasution 2007:97).
Open-end funds are always ready to redeem or issue of units at their net
asset value (although it will involve the purchase and redemption of sales
materials (Bodie, et al 2006:142).
Closed-end funds do not redemption or issuance of fund units. Closed
mutual fund units traded in organized exchanges and can be purchased through
brokers such other shares (Bodie, et al 2006: 142).
Meanwhile, the closed-end fund its shares sell shares or units continuously
throughout an investor is buying. This stock does not need to be listed on the
stock exchange and the price is determined based on the Net Asset Value (NAV) /
Net Asset Value (NAV) per share is computed by the Custodian Bank (Huda and
Nasution 2007:97).
There are several perceived benefits to purchasing close-end funds. One is
that managers of close-end funds may invest all of their available funds without
leaving a cash cushion for investor redemptions. Another is that the price of a
close-end fund may vary significantly from its NAV. (Williams, 2001:269)
21
2.2.2.3. Mutual Funds by Type of Investment
When we want to start investing, we should already know what kind of
mutual funds in accordance with our investment objectives and needs. In terms of
Bapepam-LK, mutual funds in Indonesia is divided into four (4) categories, are
following: (Pratomo and Ubaidillah, 2009:474)
1. Money Market Fund
Money market funds are defined as funds that invest 100% in money market
securities, the debt securities with a maturity of less than one year. Eg deposits,
SBI, bonds, and so on. This type of mutual fund is a type of mutual fund with the
lowest level of risk. The purpose of investing in this type of mutual fund that is
for the protection of capital and provide liquidity. Types of mutual funds can earn
interest tuku level higher than the individual investor with limited funds, in
addition to the money market funds can diversify investments. (Pratomo and
Ubaidillah, 2009:68-71).
2. Fixed Income Fund
Fixed income mutual fund is a mutual fund that invests at least 80% of the
portfolio under management to the debt securities primarily on the instrument
bonds. Advantage of the income fund tetan where capital investment is very light
and spread risk through diversification. Fixed income funds have the potential
characteristics of the larger investment returns, but the risk is also higher than the
public hearing. Investment in mutual fund type is suitable for medium-term
investment goals and long (>3 years) with moderate risk. Generally, Fixed Income
22
Funds provide profit sharing in the form of cash (dividends) are paid regularly (3
monthly, 6 monthly or annual). (Pratomo and Ubaidillah, 2009: 71-73).
3. Equity Fund
Equity funds are mutual funds that invest at least 80% of the portfolio under
management in equity securities (stocks). In mutual funds of this type generally
gives a higher yield potential in the form of capital gains and dividends through
growth in stock prices. In addition, the equity fund also provides the potential
growth of the investment value, so the risk. (Pratomo and Ubaidillah, 2009: 73-
74).
4. Balanced Fund
Balanced Fund investments can mix both debt and equity securities and a portion
of the allocation that is more flexible. Seeing good flexibility in choosing the type
of investment (stocks or bonds or other securities) as well as the composition of
its allocation, the balanced funds can be oriented to stocks, bonds or money
market. In terms of investment management, this flexibility can be used to switch
from stocks to bonds or deposits, depending on market conditions by trading
activity, or often called the effort doing market timing. Potential results of
Balanced funds risk can be in the middle between Fixed Income Funds and Equity
Funds so that investors who lacked the courage to accept the risk is too great but
would like to get the results "a little bigger" can choose the type of mutual fund as
an alternative to the Equity Funds. (Pratomo and Ubaidillah, 2009: 74-75).
23
2.2.3. Portfolio Management of Mutual Funds
Investment management is a process of managing money or also often
called portfolio management. Investment concept that has temporarily delayed
consumption. Fabozi stated that there are five stages in the investment
management (Manurung, 2008:83):
1. The determination of the investment policy
2. Establishment of investment policy
3. Portfolio strategy selection
4. The selection of assets
5. Measurement and evaluation of performance
2.2.4. Benefits of Mutual Fund
Basically any investment contains two elements, namely the return (profit)
and risk. Here are some of the benefits in investing through mutual funds (Huda
and Nasution, 2007: 100).
1. Liquidity levels are good, which is a liquidity here is the ability to manage
money in and out of mutual funds. In this case the most appropriate is a mutual
fund for stocks that were listed on the exchange in which transactions take
place every day, unlike time deposits or certificates of deposit a certain period.
In addition, investors can relisted shares / units in accordance with any
24
provision made by each mutual fund making it easier for investors to manage
cash.
2. Professional managers, mutual funds managed by the Investment Manager is
powerful, he is looking for the best investment opportunities for the fund. In
principle, investment managers are working hard to investigate thousands of
investment opportunities for shareholders / mutual fund units. While the
investment option itself is affected by the investment objective of the mutual
fund.
3. Diversification, is a term that you do not put all your money in an investment
opportunity, with the intention of dividing the risks. Investment managers
choose a variety of stocks, so that does not affect the performance of the
overall stock mutual fund. In general, mutual funds have about 30 to 60 types
of shares of various companies.
4. Low cost, because the mutual fund is a collection of many investors that the
magnitude of the ability to invest will result in low transaction costs.
According Williams (2001: 267-269) Benefit of mutual fund are following:
1. Professional Management
In today’s complex,volatile investment environment, many individuals feel
overwhelmed by the prospect of making investment decisions, but do not
want to hire expensive professionals. Mutual funds can solve this problem.
25
With an investment as small as $250, you can leave the buy and sell decisions
to the trained professionals who are supported by extensive research staffs.
2. Diversification
Diversification means buying many different securities to reduce the risk of
any spesific security.
While the theory of diversifying to reduce risk is widely accepted, it can be
time consuming and expensive interms of commissions to own a large
portfolio of different investments. Mutual funds can invest with much lower
commissions due to their large dollar volume of trading and can spread out
the work required to follow a large portfolio.
3. Convenience in Buying and Selling Shares
Mutual Fund shares are easy to buy and sell. You may use a broker or
purchase shares directly from the investment company by mail, or by phone
or internet if you have an established account. The sahre price of any
purchase or sale transaction is based on the net asset value (NAV) of each
share. The NAV is computed at the end of each trading day by taking the total
value of the portfolio at the day’s closing prices and dividing it by the number
of mutual funds shares outstanding. Purchases may take place at NAV (no-
load funds) or NAV plus a commision (load funds).
26
4. Low Initial Investments
Initial investments in many mutual funds are as low as $1,000, with
minimums for subsequent investments often in the $250 range. Many
companies have lower minimums for IRA purchases, typically $250 to open
an account and $50 thereafter. Automatic invetment programs, in which you
invest periodically through an electronic funds transfer from your bank, may
have even lower minimum investment amounts, some beginning at $25.
5. Variety and Flexibility in Choosing Investment Objectives
Mutual funds have become such a popular investment vehicle that thousands
of different funds are now available, with investment objectives that run the
entire range of possibilities. Stated investment objectives usually include both
the risk level of the portfolio and the types of securities that can be inckuded.
6. Regulation
Mutual funds are regulated by the Securities and Exchange Commission
(SEC), which requires that investors receive a prospectus when purchasing a
fund. The SEC also regulates much of the information provided in the
prospectus and required that it be presented in a standardized format. When
disclosing annual returns, funds must give 1-, 5-, and 10-year annual returns
which include dividends, capital gains, and changes in net asset value. This
prevents a fund company from presenting only the attractive informationto
entice investors to buy.
27
2.2.5. Mutual Funds Investment Risk
The context of investment management, risk is the magnitude of the
deviation between the expected return with actual return. the greater the deviation
means that the greater the level of risk. when the risk is expressed as the extent to
which the results obtained can deviate from the expected results, then used the
size of the spread. statistical tool that is used as a measure of the spread is the
variance or standard deviation. the greater the value, the greater the mean
deviation (meaning the higher the risk). (Halim, 2005 : 4)
In the context of the portfolio, the risk can be divided into two, are
following:
1. Systematic risk
Risks caused by macro factors affecting all securities that can not
be eliminated by diversification.
Systematic risk is measured by β in the CAPM, the return of an
asset is expressed in the form of the relationship between risk free rate plus
the market risk premium
E (r) = Rf + (Rm-Rf) β
Portfolio return is also stated as follows:
E (Rp) = Rf + (Rm - Rf) βp
where:
28
Ri = rate of return that investors demand
Rf = risk-free rate of return on investment
Rm = rate of return on the market
Β = Systematic risk
2. Unsystematic risk
Risks caused by factors unique to the securities, and can be
eliminated by diversifying (Rodoni Ahmad, 2009:28).
According to Manurung (2008:42) Mutual fund investors are being sought
to replace the investment of other instruments as interest rate of Bank Indonesia
Certificates (SBI) hold Bank Indonesia lowered to levels below 10%. Mutual
funds provide higher returns than deposits, mutual funds but also a risky
investment, there are four aspects that would explain why mutual funds are a risky
investment:
1. The proceeds of the portfolio invested in the securities. Securities portfolio, a
collection of effects (more than one effect) that deliver results to its owner.
2. The securities portfolio is very varied so that each instrument has a rate of
return that varies. The rate of return of the investment instruments of the
securities portfolio is subject to change at any time and cause can not be
determined from the rate of return on the overall portfolio. As a result,
29
investment managers can not determine or guarantee the portfolio rate of
return.
3. Cash flows are fluctuations. Cash flows are referred to in the case of mutual
funds, namely the difference between incoming and outgoing funds. Incoming
funds are investors who buy mutual funds, while the exit is an investment fund
that sells mutual funds are concerned, the investment manager expects cash
flow is constant and predictable so that investment managers to manage
portfolios well. Therefore, mutual funds have a cash flow that changes every
time because of the incoming investors to invest into mutual funds can not be
set any time. Changes in cash flows will affect the risk of the portfolio and also
affect the risk of the portfolio and at the same time also affects the rate of
return and rate of return is uncertain.
4. Investment manager skill. Investment manager to manage the portfolio of
expertise is also one incidence risk of the portfolio as well as certainty returns.
Known investment manager has asset allocation (asset allocation), the ability of
the selection of investment instruments (stock selection) and the ability to
judge time selling at the market (market timing). The third skill will determine
the rate of return on the portfolio managed by the investment manager.
In addition to the benefits they will get, there are also some risks in
investing in Mutual Funds (Huda and Nasution, 2007: 102)
1. Risk of changes in economic and political conditions. Open economic system
adopted by Indonesia is very vulnerable to changes in the international
30
economy. Changes in economic and political conditions at home and abroad
or regulations especially in the field of Money Market and Capital Market are
factor that can affect the performance of the companies listed on the
Indonesian Stock burs, which will indirectly affect the performance of the
portfolio.
2. Reduced Risk Value Units. Participation Units of the Fund may fluctuate due
to the increase or decrease in the Net Asset Value of Mutual Funds. The
decrease can be attributed, among others:
a. Changes in prices of equity securities and other securities.
b. The costs are charged each time investors make a purchase and sale.
3. Risk of Default by the parties last. This risk can occur when co-manager
investment business fails to meet its obligations. Business partners may
include but are not limited to, issuers, brokers, custodian banks and realtors.
4. Liquidity Risk. Resale (Repayment) depends on the liquidity of the portfolio
or the ability of the Investment Manager to back (pay off) to provide cash.
The risk that always comes to investing as follows (Manurung, 2008:48):
1. Interest rate risk is the main risk faced by investors, due to rising interest rates
will lower bond prices and interest rates declining bond prices increase. This
risk is often referred to as market risk.
2. Reinvestment Risk, the risk posed by the interest earned by investing the
proceeds reinvestment strategy. Interest Rate Risk and Risk Reinvestment
have mutually eliminated the effect (offsetting effect). A strategy based on the
removal effect called immunization.
31
3. Call risk is the risk faced by investors in which the issuer has the right to
repurchase (call) on the bonds. When interest rates fall below the coupon bond
and the issuer will normally exercise its right to buy the bonds. Investors can
usually compensate by increase price but very difficult to do so.
4. Default risk is the risk faced by investors or bondholders because the bonds
cannot pay the bonds at maturity. Therefore investors should be careful to buy
bonds, especially bonds are not included in the investment grade.
5. Inflation risk is the risk faced by investors due to inflation so that the cash
flows received by investors vary in their ability to purchase (purchasing
power).
6. Exchange Risk is the risk faced by investors as a result of changes in exchange
rates, this risk will usually be found in bonds denominated in foreign
currencies.
7. Liquidity Risk is the risk faced by investors in order to sell the bonds in the
market. a measure of the liquidity can be considered of the difference between
the purchase price and the sale of such bonds.
2.2.6. Mutual Fund Performance Measurement Model
Portfolio performance measures that have included risk factors some of
which are methods Sharpe, Treynor, Jensen, Sortino, and EROV. Before knows
the models measuring the performance of mutual funds, you should know first
formula in calculating the returns of a portfolio. Meanwhile, to measure the rate of
return of a mutual fund are as follows:
32
Where:
RRD = Return of Mtual fund
NAVupt-1 = The net asset value in now
NAVupt = Net asset value on the last month
After calculating fund returns of mutual fund the model will be used in measuring
the performance of a portfolio or mutual fund performance is as follows:
1. Sharpe Methods
In this method of portfolio performance is measured by comparing
only between the portfolio risk premium (that is the difference in the average
rate of return on a portfolio with an average risk-free interest rate). Sharpe
Index mathematically formulated as follows:
Spi =
Where:
Spi = Sharpe Index Portfolio
Rpi = Average rate of return on portfolio i
Rf = The average risk-free investment rate (using SBI)
p = Standard deviation of returns portfolio
Rpi-Rf = Risk Premium Portfolio
33
The formula essentially calculate the slope (slope) line connecting the
risky portfolio with the risk-free rate, the slope of the line is given by (Rp-
Rf)/p. Thus, the greater the slope of the line means that the better the lines
that make up the portfolio. Because, the greater the ratio the better the
portfolio risk premium.
Sharpe is relevant index used to investor that invest their funds only or
mostly on the portfolio, so the portfolio risk is expressed in standard deviation.
(Halim, 2005: 68-69)
2. Treynor Index
In this method of portfolio performance is measured by comparing the
portfolio risk premium (that is the difference in the average rate of return on a
portfolio with an average risk-free interest) with the risk represented by the
portfolio beta (market risk or systematic risk). Treynor index mathematically
formulated as follows:
Tpi =
Where:
TPI = Treynor Index Portfolio
Rpi = Average rate of return on portfolio i
Rf = The average risk-free investment rate (using SBI)
p = Beta portfolio (market risk or systematic risk)
Rpi-Rf = Risk premium Portfolio
The formula essentially calculate the slope (slope) line connecting the
risky portfolio with the risk-free interest. The slope of the line is given by (Rp-
34
Rf)/p. Thus, the greater the slope of the line means that the better the lines
that make up the portfolio. Because, the greater the ratio of risk premium to
beta portfolio, it can be said that the better performance of the portfolio.
The use of beta as a measure of portfolio risk that implicitly reflects
the existing portfolio is a portfolio that has been well diversified.
The use of relevant Treynor used for investors who have a variety of
portfolios or invest their funds in various mutual funds . (Halim, 2005: 68-69).
3. Jensen Index
Jensen measurement method basically assesses the performance of
investment managers based on how much investment managers to provide
portfolio earnings above market earnings in accordance with its risk. Excess is
described by Jensen as the intersection of the linear regression line or often
referred to as the intersection of Jensen (Jensen Intercept), which is expressed
with the alpha value (symbol). The higher the positive alpha value, the better
the performance of the mutual fund. Jensen method is formulated as follows:
JPI = (Rpi-Rf) - p (Rm-Rf)
Where:
JPI = Index portfolio Jensen
Rpi = Average rate of return on portfolio i
Rf = The average of the interest risk-free investment (using SBI)
pi = Beta portfolio (market risk or systematic risk)
Rpi-Rf = Risk Premium Portfolio
35
Rm = Return Market (using JCI)
4. Modigliani Index
New size of the risk-adjusted performance of the so-called M2.
Development name Franco Modigliani and Leah Modigliani. It is the
volatility-adjusted return that followed the return of the portfolio will be
compared.
According to Charles P. Jones (2007: 617) in essence, M2 equate
volatility portfolios whose performance is measured by the market. It is by
using T-bills and the portfolio being evaluated is lower than the market, the
leverage can be used to increase volatility. If the risk is greater than the
market, some of the funds can be placed in T-bills. The funds can be delivered
to fit the lower volatility than the market as adjusted, comparable to leverage
the portfolio to the market, can be compared with the market return, or a
particular benchmark. M2 big advantage is that the result expressed as a
decimal or percentage, which can be easily understood by everyone. M2 can
be calculated as follows:
Where:
M = Modigliani Index
Rf = Risk Free (Risk-Free Asset)
m = Standard Deviation Market
p = Standard Deviation Portfolio
M = Rf + (Rp-Rf)
36
5. Sortino Ratio
Sortino ratio is the actual rate of return in excess of the investor's target
rate of return, per unit of downside risk. A measure of excess return per unit of
risk based on downside semi-variance, instead of total risk (the standard
deviation of the portfolio) is used by the Sharpe ratio. Since the Sortino ratio
takes into account only the downside size and frequency of returns, it
measures the reward to negative volatility trade-off. For the case where the
target return is equal to the mean of the distribution, the LPM of order 2
corresponds to the semi-variance (Burkler and Hunziker, 2008). In all other
cases it is referred to as downside variance (Bacon, 2008).
SOR =
Where:
SOR = Sortino ratio
Rpi = The average rate of return on portfolio i
Rf = Average Risk-free (SBI)
σdown = Downside deviation
Negative deviations from the return threshold are more strongly
weighted due to the LPM of order 2 and thus, express a higher risk-aversion of
the investor (Poddig et al, 2003).
37
6. Excess Return on Value-at-Risk (EROV)
Excess Return on VaR is basically a Sharpe Ratio using Value-At-Risk
instead of Volatility as the risk measure (Bacon, 2004). Assuming normally
distributed returns, the VaR of a long-position is calculated as a quantile of the
standard normal distribution at a certain confidence level α, using the expected
value – i.e. the mean - and the standard deviation (Jorion, 2006:110).
VaR = - (r + Zα * σ)
Where:
α = confidence level
Zα = quantile of the standard normal distribution
When VaR is used to assess risk-adjusted performance, the measure
Excess Return on VaR (EVaR) emerges. It compares the excess return of an
asset to the VaR of the asset. EVaR can be calculated by the following
formula (Wiesinger, 2010).
EROV = {r - rf}/VaR
Where:
EROV = Excess return on VaR
38
r = Portfolio returns
rf = Risk free rate
VaR = Portfolio VaR (here: parametric VaR assuming a normal
distribution)
2.2.7. Benchmark
In doing performance evaluation, investment managers should have a
benchmark or benchmark that can be used as a benchmark assessment. The use of
this measure is useful to compare the performance generated by the investment
manager to the return obtained by an alternative.
Benchmarks used there are four kinds: (1) the market index (in this case
the index JCI), (2) investment style indices generic, (3) benchmark Sharpe
(Sharpe benchmark), and the normal portfolio. However, in this study we use the
benchmarks are benchmark market index.
2.3. Previous Research
Research conducted by Siagian (2006) states that there are only 3
individual mutual funds that have outperformed performance against the
performance of the market, with levels of alpha values ranged from 0.7165 to
1.8210 (although this result was not statistically significant at the level of 5%).
The third fund is the Smart Plan, Community Development Equity Fund and Indo
Solar equator. While the other 4 shows the performance of mutual funds
underperform the market performance, with alpha values ranging from -0.182 to -
39
3.5161. Differences in the characteristics of the fund with other funds to be
another cause of bad performance of mutual funds that are observed.
According to Khan (2010) in his study entitled Implementation Model to
measure mutual fund performance concluded that the measurement model.
Performance of mutual funds, each model has its own significance. Sharpe, Jensen
and Treynor describe assessment funds have consistently shown that the
maximum performance of the benchmark. Jensen positive result indicates that the
Superior Return generated for management expertise and superior performance.
Fama is implying negative results. The actual results of the portfolio is less than
that mandated by the total portfolio risk, the reasons for the selection of poor
funding. Results of the study states that Sharpe, Jensen and Treynor had positive
results of benchmark, being Fama produces negative values or lower than the
benchmark value.
Anik (2010) conducted a study on mutual fund performance evaluation
using the method of Sharpe, Treynor and Jensen period (1) 2005 - (12) 2007.
Variables considered in this study are the return and net asset value. The method
used in this study is the Sharpe, Treynor and Jensen for mutual fund performance
measurement. The results of this study demonstrated the best performance by the
Sharpe method is Si Dana Dynamis Fund. The best performance is shown by
Treynor method is Nikkor Tron. Meanwhile, Jensen method, the best performance
shown by this method are Rencana Cerdas and Bahana Prima. Of some selected
methods in measuring the performance of mutual funds, Jensen method proved
the best method to use in measuring the performance of mutual funds. The high
40
growth in net asset value does not guarantee that the fund has an excellent
performance.
Kuolis,et al (2011) This paper empirically examines the performance of
fifteen Greek mutual equity funds. The data on which this study was based is
monthly and refer to the period January, 2000 to December, 2008. Based on the
Treynor-Mazuy model and Sharpe and Treynor measures, the paper evaluates
which equity fund entails selectivity and market timing. The results showed that
the ranking of Sharpe and Treynor same calculation.
Kolbadi (2009) This study on Examining Sharpe, Sortino, Sterling Ratio in
Portfolio Management, Evidence from Tehran Stock Exchange. The method used
in this study is the Sharpe, Sortino and Sterling Ratio to measure performance.
The results of this study there is a meaning full different between result of
performance evaluation by using Sterling, Sortino and Sharpe in investment
companies.
Ataie (2012), in this study on Evaluation Performance of 50 Companies
Listed in Tehran Stock Exchange by Sortino, EROV and M3. The method used in
this study is the Sortino, EROV, and M3 to measure performance of 50 companies
in Tehran Stock Exchange. The result is performance with EROV ratio has better
results compared to the performance of the M3 measure and Sortino ratio. And by
three indicators compare than the market are not equal or no indicators higher than
market.
41
Table 2.1.
Summary of Previous Research
No. Author Title Method Result
1. Zeba Sharif
Khan (2010)
Implementation of
Models to Measure the
Performance of Mutual
Fund
Sharpe,
Treynor,
Jensen, Fama
Not
Selectivity
Sharpe, Jensen and Treynor
positive and superior of
benchmarknya, while Fama
produce a negative value or
lower than its benchmark
value
2. Victor Siagian
(2006)
Use methods Jensen In
the mutual fund
Performance
Measurement
Case Study Seven
Mutual Fund Shares
Jensen Three of seven mutual
funds have performed
outperform from market
performance. Differences
in the characteristics of the
fund. Funds with other
funds to be another cause
of bad performance of
mutual funds that are
observed
3. Alexandros
Kuolis,et al
(2011)
An Assessment of the
performance of Greek
Mutual Equity Funds
Selectivity and Market
Timing
Sharpe and
Treynor
The results showed that the
ranking of Sharpe and
Treynor same calculation.
4. Pegah Kolbadi
(2011)
Examining Sharpe,
Sortino, and Sterling
Ratio in Portfolio
Management, Evidence
from Tehran Stock
Exchange
Sharpe,
Sortino, and
Sterling
there is a meaning full
different between result of
performance evaluation by
using Sterling, Sortino and
Sharpe in investment
companies.
5. Sri Anik
(2010)
Evaluation of Mutual
Fund Performance
Methods Sharpe, Treynor
and Jensen
Sharpe,
Treynor, and
Jensen
evaluating the performance
of the Mutual Fund stated
that Jensen's method is the
best measurement methods
used during the study
compared with the Sharpe
and Treynor methods
6. Younes Ataie
(2012)
Evaluation Performance
of 50 Companies Listed
in Tehran Stock
Exchange by Sortino,
EROV and M3
Sortino,
EROV, M3
Performance with EROV
ratio has better results
compared to the
performance of the M3
measure and Sortino ratio.
Source: Various Journals
42
2.3. Framework
The framework is part of the literature review contains an overview of all
the theories are used as a foundation in research. In this framework given brief
schematic flow studies illustrate the research process will be conducted.
This study aims to analyze the performance of equity fund that has the best
performance is measured by three indices, namely the model Sortino, EROV, and
M3 and rank structure formed by three index mutual funds that model.
Framework of this research described as follows:
43
Picture 2.1
Framework
Equity Funds Registered in Bapepam-LK
Equity Funds selection criteria
Data Classification
Sharpe
Method
Data Processing
Treynor
Method
Jensen
Method
Modigliani
Method
Rating/Ranking Equity Funds
Normality Test Data
Normal Data
Non Normal Data
One Way ANOVA
Kruskal Wallis Test
Sortino
Method
EROV
Method
Return of
Equity Funds Return of
Benchmark
Normality Test Data
Normal Data Non Normal Data
Independent Sampel t test
Mann Whitney test
44
2.4. Hypothesis
Hypothesis is a temporary answer to the formulation of the problem, the
researchers propose hypotheses as follows:
1. H0 : There is no difference Between returns of Equity funds with return of
benchmark index market JCI (Jakarta Composite Index).
H1 : There is difference Between returns of Equity funds with return of
benchmark index market JCI (Jakarta Composite Index).
2. H0 : The result of evaluating the performance of equity funds through Sharpe,
Treynor, Jensen, Modigliani, Sortino, and EROV measures are equal.
H1 : The result of evaluating the performance of equity funds through Sharpe,
Treynor, Jensen, Modigliani, Sortino, and EROV measures are not equal.
45
CHAPTER III
RESEARCH METHODOLOGY
3.1. The Scope of Research
The research was conducted in equity funds that have been listed before
January 2010 and is still active in December 2012 that will be assessed its
performance. Data needed for research are Jakarta Composite Index (JCI) , the
Interest Rate (SBI), Net Asset Value (NAV).
The data used for the purposes analysis is secondary data obtained from
the monthly publication IDX, BAPEPAM, and BI. While the data for the existing
shares in a equity fund portfolio each month obtained from the Custodian Bank
monthly report from each of the equity funds to BAPEPAM.
3.2. Sampling Methods
Populations used in this study are that equity funds listed in the Securities
and Exchange Commission until December 2012. This study uses monthly data
from January 2010 to December 2012 which will provide an overview of the
performance of equity funds in Indonesia. the population to be sampled for the
data study. not all equity funds taken for this reseach. The sampling using
46
purposive sampling to select sample with certain criteria. criteria used in
sampling, following:
1. Equity funds are still active until December 2012. Equity funds operating in
January 2010 - December 2012 and recorded in the Securities and Exchange
Commission (BAPEPAM).
2. Based on the criteria for selecting the sample that had been previously
determined, up to December 2012. Based NAV obtained from January 2010 -
December 2012 then the entry criteria for the sample is 44 equity funds that
will be sampled. equity funds were sampled from a conventional mutual fund,
not Islamic mutual funds.
Table 3.1
Equity Funds to Study Sample
No. Equity Funds Investment Managers Custodian Bank
1 AXA Citradinamis PT AXA Asset Management Indonesia Deutsche Bank AG
2 Bahana Dana Prima PT Bahana TCW Investment Management Standard Chartered Bank
3 Batavia Dana Saham PT Batavia Prosperindo Aset Management Deutsche Bank AG
4 Batavia Dana Saham Agro PT Batavia Prosperindo Aset Management Deutsche Bank AG
5 Batavia Dana Saham Optimal PT Batavia Prosperindo Aset Management Deutsche Bank AG
6 BNI Dana Reksa Berkembang BNI Asset Management Bank CIMB Niaga
7 BNP Paribas Ekuitas PT BNP Paribas Investment Partners Deutsche Bank AG
8 BNP Paribas Infrastruktur Plus PT BNP Paribas Investment Partners Citybank AN
9 BNP Paribas Maxi Saham PT BNP Paribas Investment Partners Deutsche Bank AG
10 BNP Paribas Pesona PT BNP Paribas Investment Partners Deutsche Bank AG
11 BNP Paribas Solaris PT BNP Paribas Investment Partners Citybank AN
12 CIMB Principal Equity Aggresive PT CIMB Principal Asset Management Deutsche Bank AG
47
No. Equity Funds Investment Managers Custodian Bank
13 Dana Ekuitas Andalan PT Bahana TCW Investment Management Bank CIMB Niaga
14 Dana Ekuitas Prima PT Bahana TCW Investment Management Bank CIMB Niaga
15 Dana Pratama Ekuitas PT Bahana TCW Investment Management Bank CIMB Niaga
16 Dana Reksa Mawar PT Danareksa Investment Management Citybank AN
17 FS Indo Equity Value Select Fund PT First State Investment Indonesia Deutsche Bank AG
18 FS Indo Equity Dividen Yield Fund PT First State Investment Indonesia Hongkong and Shanghai Banking Corp.
19 FS Indo Equity Sectoral Fund PT First State Investment Indonesia Deutsche Bank AG
20 FS Indo Equity Peka Fund PT First State Investment Indonesia Citybank AN
21 GMT Dana Ekuitas PT GMT Asset Management Deutsche Bank AG
22 Grow-2-Prosper PT Corfina Capital Deutsche Bank AG
23 Lautandhana Equity PT Lautandhana Investment Management Bank CIMB Niaga
24 Lautandhana Equity Progresif PT Lautandhana Investment Management Bank CIMB Niaga
25 TRIM KAPITAL PLUS PT Trimegah Asset Management Bank CIMB Niaga
26 Makinta Growth Fund PT Emco Asset Management Bank CIMB Niaga
27 Makinta Mantap PT Emco Asset Management Bank CIMB Niaga
28 Mandiri Investa Attraktif PT Mandiri Manajemen Investasi Deutsche Bank AG
29 Mandiri Investa UGM PT Mandiri Management Investasi Deutsche Bank AG
30 Manulife Dana Saham PT Manulife Aset Manajemen Indonesia Deutsche Bank AG
31 Manulife Saham Andalan PT Manulife Aset Manajemen Indonesia The Hongkong And Shanghai Banking Corp.
32 Millenium Equity PT Millenium Danatama Indonesia Bank CIMB Niaga
33 MNC Dana Ekuitas PT MNC Asset Management Bank Rakyat Indonesia (PERSERO)
34 NISP Indeks Saham Progresif PT NISP Asset Management Deutsche Bank AG
35 Panin Dana Maksima PT Panin Asset Managment Deutsche Bank AG
36 Panin Dana Prima PT Panin Asset Managment Bank Central Asia
37 Pratama Saham PT Pratama Capital Asset Deutsche Bank AG
38 Rencana Cerdas PT Ciptadana Asset Management Deutsche Bank AG
39 Schroder Dana Istimewa PT Schroder Investment Management Deutsche Bank AG
40 Schroder Dana Prestasi Plus PT Schroder Investment Management Deutsche Bank AG
41 Schroder Indo Equity Fund PT Schroder Investment Management Bank Permata
48
No. Equity Funds Investment Managers Custodian Bank
42 Simas Danamas Saham PT Sinarmas Asset Management Bank CIMB Niaga
43 Syailendra Equity Opportunity PT Syailendra Capital Deutsche Bank AG
44 TRIM Kapital PT Trimegah Asset Management Bank CIMB Niaga
Source: BAPEPAM
3.3. Data Collection Method
According to the type of data needed is secondary data and sampling
techniques are used, the method of data collection was conducted using the
documentation method. By way of recording data that is listed in BAPEPAM
www.bapepam.go.id for data on Net Asset Value (NAV) of the monthly
observation period January 2010- December 2012, the data recorded monthly
composite index of www.idx.co.id observation period January 2010 – December
2012 and recorded data monthly interest rate of Bank Indonesia Certificates
January 2010- December 2012 obtained from the website of Bank Indonesia,
which www.bi.go.id. The data obtained then reprocessed and adjusted to the
needs of this research.
3.4. Data Analysis Methods
The steps in analyzing the data obtained from the Securities and Exchange
Commission (BAPEPAM) website, BI website and Yahoo Finance to assess and
compare the performance of Equity funds are as follows:
1. Calculate the Return of each Equity Funds.
49
Return (rates of return) earned Equity fund investors from positional changes
NAV. The formula used to calculate this return is:
where:
Ri = rate return mutual fund shares
NAV1 = stock price at period 1
NAVt-1 = stock price in the period before 1
2. Calculate the Return of (Benchmark) market index
Return the market and is used to benchmark or benchmark for the asset
portfolio risk.
where:
Rm = return rate mutual funds
IHSG1 = stock price at period 1
IHSGt-1 = stock price in the period before 1
50
3. Calculate the risk-free interest rate
SBI interest rate fluctuates in accordance with the policy of neutral bank,
Bank Indonesia. SBI return calculation reflects the level of the risk free rate.
SBI rate is in percentage form so that calculations can be done by SBI interest
rate dividing by the number of months in a year.
RSBI =
where:
RSBI = Return rate of Bank Indonesia
SBI = Interest Rate of Bank Indonesia
n = 12 for monthly data
The next variable returns averaged SBI. This step uses "AVERAGE" in
Microsoft Excel. This variable is used as a variable rate of return
(performance) risk-free investment / risk free asset return, where return SBI
reflect the risk-free rate of return for mutual funds in Indonesia.
4. Calculating Standard Deviation Portfolio (stdevp) and Standard Deviation
Market (stdevm)
Calculation of Daily standard deviation on research conducted on the
return across equity funds and market return. In the Microsoft Excel program,
this calculation can be done with the formula "STDEV".
51
Stage of monthly standard deviation are as follows:
a. Calculate the monthly returns where NAV is at the end of the month
period and early of the month NAV period is the NAV at the previous
month.
b. The standard deviation obtained from STDEV return NAV of equity
funds .
c. Standard deviation obtained from STDEV market index return JCI
(benchmark)
5. Calculate the portfolio beta and market beta
Beta is a parameter that indicates volatility relative from return of stock
portfolio to the market return portfolio. Beta calculation in the study is beta
portfolio while retun of market index (benchmark). Beta calculation in this
study using linear regression Y = a + bY + e function application of SPSS
with the provisions of return portfolio mutual fund as Y axis and the market
return as the axis X.
6. Measure the performance of the optimal portfolio with three models index.
a. Sharpe Method Model
Spi =
where :
52
Sp i = Index Sharpe Portofolio
Rpi = The average rate of return on portfolio i
Rf = Average Risk-free (SBI)
p = The standard deviation of portfolio returns
b. Treynor Method Model
Tpi =
where:
Tpi = Index Treynor Portofolio
Rpi = The average rate of return on portfolio i
Rf = Average Risk-free (SBI)
p = Beta portfolio
c. Jensen Method Model
Jpi = (Rpi-Rf) - p (rm-Rf)
where:
Jpi = Index Jensen portofolio
Rpi = The average rate of return on portfolio i
Rf = Average Risk-free (SBI)
53
pi = Beta portfolio 1 (market risk or systematic risk)
Rm = Return Market index (benchmark)
d. Modigliani Method
M = Rf + (Spi . m)
where:
M = Modigliani Square
Spi = Indeks Sharpe Portfolio (Rpi-Rf /p)
Rf = Risk Free
m = Market Standard Deviation
p = Portfolio Standard Deviation
Rpi-Rf = Risk Premium Portofolio
e. Sortino Method Model
SOR =
where:
Rpi = The average rate of return on portfolio i
Rf = Average Risk-free (SBI)
σdown = Downside deviation
54
f. EROV Method Model
EROV = {r - rf} / VaR
where:
EROV = Excess return on VaR
r = Portfolio returns
rf = Risk free rate
VaR = Value at Risk portfolio
7. Performance Evaluation of Equity Funds
Evaluation performance of equity funds in this study is based on
monthly and based on descriptive statistics and based Sharpe, Treynor, Jensen,
Modigliani (M-Square), Sortino, and EROV methods. The evaluation that
doing to compare and rank funds based on performance obtained from the six
methods of risk-adjusted methods.
3.5. Theoritical Hypothesis
In a hypothesis test, assisted procedures performed using the computer
program SPSS 20.0 and Microsoft Excel 2007.
55
Before doing comparison test, the data must first be tested for normality
test to know whether or not the data were normally distributed or not, to test
whether or not the data were normally used tools are the Kolmogorov-Smirnov
test. According Widarjono (2010: 111). Kolmogorov-Smirnov test is a test used
to determine whether the sample comes from a population with a specific
distribution in this case the normal distribution. The null hypothesis (H0) in the
Kolmogorov-Smirnov test is that the data follow a particular distribution (normal
distribution), while the alternative hypothesis (Ha) data follow a particular
distribution (not normally distributed). The steps are:
Ho: The data are normally distributed
Ha: The data are not normally distributed
Moreover the null hypothesis can be accepted or rejected based on the
probability that there is value. If the probability value is greater than the level of
significance () then Ho is accepted. Conversely, if the probability value is less
than significant level () then Ho is rejected and Ha accepted.
The criteria used to reject or accept Ho based on the probability value is:
If the probability > 0.05 then Ho is accepted,
If probability < 0.05 then Ho is rejected
Having performed the Kolmogorov-Smirnov test then subsequently
determined based on these results, whether the data were normally distributed or
not. If the data are normally distributed then the tests using comparisons test
56
independent sample t tests to determine whether there is difference the return of
equity funds and return of benchmark. If the data is not normally distributed then
the test will be performed using the Mann-Whitney test. In determining whether
the result of evaluation the performance of equity funds through Sharpe, Treynor,
Jensen, Modigliani, Sortino, and EROV methods are not equal used by one way
ANOVA if data normally distributed and if data not normally distributed using the
Kruskal-Wallis test.
After doing the test for normality of data, then the next step to comparison
test and rank the methods based performance. The steps are:
a. Comparisons test Return Equity funds with Return Benchmark (JCI) which is
only considering the evaluation of portfolio performance returns.
b. Comparisons Test between the result of evaluation the performace of equity
funds based Six methods model.
3.6. Research Operational of Variables
Variables used in this study are Return of Equity Funds, Return index
market JCI (benchmark), Risk free, method of Sharpe, Treynor method, Jensen
method, Method Modigliani, Sortino method, EROV method. Operational
variables can be defined as follows:
1. Return of Equity Fund
Return Equity Fund within a specified period to be shows a
measure of performance that has been Achieved by the company are
57
calculated the data of the NAV per unit. Returns of Equity Fund can be
calculated in the following:
RRD =
where:
RRD = Return of Equity Fund
= Net Asset Value of The Current Month
= Net Asset Value in The Last Month
2. Return Index Market JCI (benchmark)
A measure of the ability of the market performance as a
comparison, in showing a performance that has been Achieved in the
specified period roomates is calculated from the value of the index market
JCI (benchmark). Return market Index (benchmark) calculated as follows:
where:
Rm = Return of maket index (IHSG)
IHSGt = Return of market index (IHSG) current day
IHSGt-1= Return of market index (IHSG) last day
58
3. Risk Free
Investment with risk-free the assumed with an average rate of
interest rate of Bank Indonesia Certificates (SBI) on specified period. Risk
free can be determined by the the following:
RSBI =
where :
RSBI = Return of rate of interest rate of Bank Indonesia Certificates (SBI)
SBI = Rate of interest rate of Bank Indonesia Certificates (SBI)
N = 12 for monthly data
4. Sharpe Method
The method is used to measure the performance of mutual funds
based on how much additional investment obtained for each unit of risk
taken. measurement Sharpe formulated as follows:
Spi =
where :
Spi = Indeks Sharpe Portofolio
Rpi = The average rate of return on portfolio i
Rf = Average Risk-free (SBI)
59
p = The standard deviation of portfolio returns
5. Treynor Method
Treynor method is similar to the Sharpe method using the Risk
Premium, but the difference method Treynor using the beta (β) which is
the risk of fluctuations relative to the market risk. Treynor method can be
formulated as follows:
Tpi =
where:
Tpi = Index Treynor Portfolio
Rpi = The average rate of return on portfolio i
Rf = Average Risk-free (SBI)
p = Beta portfolio 1 (market risk or systematic risk)
6. Jensen Method
Alpha () is Risk Adjusted Measures of Portfolio Performance by
Jensen, measured by the difference between the portfolio return minus the
risk-free rate of return beta multiplied by the difference between the return
of benchmark and risk-free rate.
Jpi = (Rpi-Rf) - p (Rm-Rf)
60
Where:
Jpi = Index Jensen portfolio
Rpi = The average rate of return on portfolio i
Rf = Average Risk-free (SBI)
pi = Beta portfolio 1 (market risk or systematic risk)
Rm = Return Market index (benchmark)
7. Modigliani Method
Risk Adjusted Measures of Portfolio Performance by Franco
Modigliani and Leah Modigliani, measured by the risk free plus the
amount times of the RVAR (Sharpe ratio) with standard deviation of
market benchmark.
M = Rf + (Spi . m)
where:
M = Modigiliani Square
Spi = Indeks Sharpe Portofolio (Rpi-Rf /p)
Rf = Risk Free (Aset Bebas Risiko)
m = Standar Deviasi Market
p = Standar Deviasi Portofolio
61
Rpi-Rf = Risk Premium Portofolio
8. Sortino Method
The Sortino Ratio can be Regarded as a modification of the Sharpe
Ratio as it replaces the standard deviation by downside deviation considers
only the negative deviations from the mean or a minimum return
threshold. Sortino ratio can be calculated by the following formula :
SOR =
where:
SOR = Sortino ratio
Rpi = The average rate of return on portfolio i
Rf = Average Risk-free (SBI)
σdown = Downside deviation
9. EROV Ratio Method
Excess Return on VaR is basically a Sharpe Ratio using Value-At-
Risk instead of volatility as the risk measure (Carl R. Bacon, 2004). This
method is similar to the method of measurement Sharpe. There is a
difference in the type of risk used is the risk The biggest disadvantage
faced by mutual funds in a given period with certain level of confidence
level (this study using the confidence level 95% with a coefficient of -
1.65). Calculation formula used is:
62
EROV = {r - rf} / VaR
where:
EROV = Excess return on VaR
r = Portfolio returns
rf = Risk free rate
VaR = Value at Risk portfolio
To learn more about the operational variables used in the method of
measuring the performance of equity funds, can be seen in Table 3.1 the following
operational definition:
Table 3.2.
Research Variable, Operational Definition and Formulation
No. Variable Operational Definition Formulation
1. Return Reksa
Dana
Different return reksadana
current month(NABt) and return
before the current month (NABt-
1) divided with return before the
current month (NABt-1)
2. Return Market Different between return IHSG
current month (IHSG) with
return IHSG before current
month (IHSGt-1)
3. Risk Free Investment is risk-free interest
rate is assumed an average of
Certificates of Bank Indonesia
=
4. Sharpe Method Risk Adjusted of Portofolio by
Sharpe, measures with rasio
excess (RP-RF) portfolio return to
divided standard deviation (P).
Spi =
63
No. Variable Operational Definition Formulation
5. Treynor Method Risk Adjusted Measures of
Portfolio by Treynor,
measures with ratio excess
portofolio return (RP-RF) to
beta or systematic risk (P)
Tpi =
6. Jensen () Method Alpha () yaitu Risk Adjusted
Measures of Portofolio
Performance oleh Jensen,
measured by the difference
between the portfolio return
and risk-free (Rp-RF) minus
beta times different return
between benchmark with risk-
free (Rm-RF).
Jpi = (Rpi-Rf) - p (rm-Rf)
7. Modigliani Method Risk Adjusted Measures of
Portofolio Performance by
Leah Modigliani dan Franco
Modigliani, measure with risk
free (RF) plus the time of
RVAR (RP-RF/p) with
standard deviation benchmark.
M2 = Rf + (Rp-Rf)
8. EROV Method Risk Adjusted Measures of
Portofolio Performance
Excess Return on VaR is
basically a Sharpe Ratio using
Value-At-Risk instead of
volatility as the risk measure.
EROV = {r-rf) / VaR
9. Sortino Method The Sortino Ratio can be
Regarded as a modification of
the Sharpe Ratio as it replaces
the standard deviation by
downside deviation
SOR =
Source : Data Proceed
64
CHAPTER IV
ANALYSIS AND DISCUSSION
Analysis and discussion in this chapter will begin with descriptive
statistics monthly to the period 1 January 2010 – 31 December 2012. Then
continued with the analysis of the performance of mutual funds using Sharpe,
Treynor, Jensen, Modigliani, Sortino, and EROV.
4.1. Descriptive Statistics Analysis
In this section we will describe the descriptive data object study. The
reason why the data is displayed, because there are the possibility of descriptive
data will be used to complete the description of the results in this study. More
detail can be seen in the table below.
Table 4.1
Descriptive Statistics Average Monthly Equity Fund Indonesia
Years 2010-2012
MUTUAL FUNDS Return
(%)
Rf (BI
Rate)
(%)
Rm
(IHSG)
(%)
Excess Return Standard
deviation Beta Downside Risk
VaR
(%) Rank (%) Rank (%) Rank
AXA CitraDinamis 0.0106 0.0052 0.0164 0.0054 34 0.0496 38 -0.3893 0.0352 27 0.0712
Bahana Dana Prima 0.0122 0.0052 0.0164 0.0070 24 0.0519 26 -0.3683 0.0357 24 0.0734
Batavia Dana Saham 0.0111 0.0052 0.0164 0.0059 31 0.0526 23 -0.3879 0.1066 3 0.0757
Batavia Dana Saham Agro -0.0029 0.0052 0.0164 -0.0081 43 0.0664 4 -0.5020 0.0538 5 0.1125
65
MUTUAL FUNDS Return
(%)
Rf (BI
Rate)
(%)
Rm
(IHSG)
(%)
Excess Return Standard
deviation Beta Downside Risk VaR
(%) Rank (%) Rank (%) Rank
Batavia Dana Saham Optimal 0.0144 0.0052 0.0164 0.0092 10 0.0542 18 -0.3838 0.1136 2 0.0750
BNI Reksa Dana Berkembang 0.0114 0.0052 0.0164 0.0062 29 0.0539 19 -0.3122 0.0389 14 0.0775
BNP Paribas Ekuitas 0.0137 0.0052 0.0164 0.0085 14 0.0508 31 -0.3845 0.0345 32 0.0699
BNP Paribas Infrastruktur Plus 0.0123 0.0052 0.0164 0.0071 23 0.0543 17 -0.3946 0.0371 19 0.0759
BNP Paribas Maxi Saham 0.0127 0.0052 0.0164 0.0075 20 0.0555 14 -0.4030 0.0388 15 0.0793
BNP Paribas Pesona 0.0139 0.0052 0.0164 0.0087 13 0.0509 30 -0.3715 0.0346 31 0.0713
BNP Paribas Solaris 0.0154 0.0052 0.0164 0.0102 8 0.0559 13 -0.4024 0.0385 17 0.0768
CIMB Principal Equity Aggressive 0.0087 0.0052 0.0164 0.0035 39 0.0489 41 -0.3796 0.0349 29 0.0720
Dana Ekuitas Andalan 0.0105 0.0052 0.0164 0.0053 35 0.0516 28 -0.3356 0.0362 22 0.0746
Dana Ekuitas Prima 0.0137 0.0052 0.0164 0.0085 15 0.0554 15 -0.3769 0.0385 18 0.0777
Dana Pratama Ekuitas 0.0088 0.0052 0.0164 0.0036 38 0.0640 5 -0.3946 0.0460 8 0.0968
Dana Reksa Mawar 0.0128 0.0052 0.0164 0.0076 18 0.0512 29 -0.3840 0.0326 41 0.0717
FS Indo Equity Value Select Fund 0.0118 0.0052 0.0164 0.0066 28 0.0506 32 -0.3964 0.0353 26 0.0717
FS Indo Eqty Dividen Yield Fund 0.0128 0.0052 0.0164 0.0076 19 0.0492 40 -0.3559 0.0339 36 0.0684
FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0164 0.0074 22 0.0499 35 -0.3725 0.0344 33 0.0697
FS Indo Equity Peka Fund 0.0134 0.0052 0.0164 0.0082 16 0.0498 37 -0.3677 0.0342 34 0.0688
GMT Dana Ekuitas 0.0143 0.0052 0.0164 0.0091 12 0.0573 12 -0.4869 0.0391 13 0.0802
Grow-2-Prosper 0.0121 0.0052 0.0164 0.0069 26 0.0576 11 -0.3153 0.4020 1 0.0829
Lautandhana Equity 0.0084 0.0052 0.0164 0.0032 40 0.0523 24 -0.3917 0.0387 16 0.0779
Lautandhana Equity Progresif -0.0029 0.0052 0.0164 -0.0081 44 0.0749 1 -0.4620 0.0680 4 0.1265
Makinta Growth Fund 0.0146 0.0052 0.0164 0.0094 9 0.0633 6 -0.3577 0.0429 11 0.0898
Makinta Mantap 0.0189 0.0052 0.0164 0.0137 5 0.0711 2 -0.5879 0.0452 9 0.0984
Mandiri Investa Attraktif 0.0113 0.0052 0.0164 0.0061 30 0.0499 36 -0.3739 0.0351 28 0.0710
Mandiri Investa UGM 0.0090 0.0052 0.0164 0.0038 37 0.0503 33 -0.3422 0.0360 23 0.0740
Manulife Dana Saham 0.0120 0.0052 0.0164 0.0068 27 0.0483 43 -0.3112 0.0329 40 0.0677
Manulife Saham Andalan 0.0127 0.0052 0.0164 0.0075 21 0.0522 25 -0.3399 0.0363 21 0.0734
Millenium Equity 0.0070 0.0052 0.0164 0.0018 41 0.0480 44 -0.3266 0.0330 39 0.0722
66
Source : Data Proceed
Table 4.1 shows the descriptive statistics for average monthly Equity
funds in Indonesia. The descriptive statistics analysis showed that Equity funds in
Indonesia has the rate of return is greater than the risk-free assets, except in Equity
funds Simas Danamas Saham, Batavia Dana Saham Agro and Lautandhana
Equity Progresif because have negative return. This was followed by the Excess
Return of equity funds that have positive value except equity funds in Batavia
Dana Saham Agro, Lautandhana Equity Progresif and Simas Danamas Saham that
have bottom rank of Equity Fund. With Benchmark market we compare equity
fund returns with the market only there are 7 equity funds outperform than Return
MUTUAL FUNDS Return
(%)
Rf (BI
Rate)
(%)
Rm
(IHSG)
(%)
Excess Return Standard
deviation Beta Downside Risk VaR
(%) Rank (%) Rank (%) Rank
MNC Dana Ekuitas 0.0222 0.0052 0.0164 0.0170 2 0.0528 21 -0.3930 0.0295 44 0.0649
NISP Indeks Saham Progresif 0.0096 0.0052 0.0164 0.0044 36 0.0484 42 -0.3403 0.0341 35 0.0703
Panin Dana Maksima 0.0254 0.0052 0.0164 0.0202 1 0.0578 10 -0.2376 0.0299 43 0.0700
Panin Dana Prima 0.0193 0.0052 0.0164 0.0141 4 0.0528 22 -0.3103 0.0317 42 0.0678
Pratama Saham 0.0109 0.0052 0.0164 0.0057 33 0.0686 3 -0.4026 0.0484 6 0.1023
Rencana Cerdas 0.0122 0.0052 0.0164 0.0070 25 0.0519 27 -0.3683 0.0357 25 0.0734
Schroder Dana Istimewa 0.0144 0.0052 0.0164 0.0092 11 0.0550 16 -0.3755 0.0365 20 0.0764
Schroder Dana Prestasi Plus 0.0110 0.0052 0.0164 0.0058 32 0.0502 34 -0.3398 0.0348 30 0.0718
Schroder Indo Equity Fund 0.0131 0.0052 0.0164 0.0079 17 0.0496 39 -0.3381 0.0336 37 0.0687
Simas Danamas Saham 0.0039 0.0052 0.0164 -0.0013 42 0.0608 9 -0.3406 0.0463 7 0.0964
Syailendra Equity Opportunity 0.0201 0.0052 0.0164 0.0149 3 0.0534 20 -0.2903 0.0335 38 0.0680
TRIM Kapital 0.0171 0.0052 0.0164 0.0119 7 0.0613 8 -0.4400 0.0420 12 0.0840
TRIM Kapital Plus 0.0174 0.0052 0.0164 0.0122 6 0.0633 7 -0.4594 0.0448 10 0.0870
Average 0.0124 0.0052 0.0164 0.0071 0.0549 -0.3771 0.0496 0.0783
67
of Benchmark, there are following Makinta Mantap, MNC Dana Ekuitas, Panin
Dana Maksima, Panin Dana Prima, Syailendra Equity Opportunity, TRIM Kapital
Plus, TRIM Kapital. whereas, the others 37 equity funds have performed
underperform from market performance. Show in average of return of Equity fund
is lower than the return of benchmark.
Research on Risk Adjusted Return developed by Sharpe (1996) with the
formula (Rp-Rf) /P. Sharpe method states that the portfolio is not diversified.
Sharpe examines the performance of 34 mutual funds from year 1954 to 1963.
The result is that most of the mutual funds examined have excess return to
variability is lower than the market return. That is, most of the investment
managers in this period have worse performance than the performance of the
market.(Manurung, 2007:160). In this study also have excess return is lower than
market (Benchmark) only two equity funds that have the excess return more than
market (benchmark) with value 0.0164 are following Panin Dana Maksima Fund
with value 0.0202 and MNC Dana Ekuitas with value 0.0170. That show in this
period study Investment Managers have worse performance than the performance
of the market (Benchmark).
Panin Dana Maksima fund is equity fund that has the highest monthly
return value with value 0.0254 followed by MNC Dana Ekuitas fund with return
0.0222, then Syailendra Equity Ekuitas fund with return 0.0201, Panin Dana
Prima fund return 0.0193, Makinta Mantap fund return 0.0189. furthermore can
see in the table 4.1. Lautandhana Equity Progresif and Batavia Dana Saham Agro
are the Lowest monthly return value with -0.0029.
68
The sixth column in Table 4.1 shows the standard deviation (P) of
monthly in equity funds. Based on the statistic above, Lautandhana Equity
Progresif fund is equity fund that has highest standard deviation (risk level) with
value 0.0749 that has the lowest rate of return value too with -0.0029. Risk level
that higher than others equity funds affect to the return. This is indicated by the
return value is the last rank (the lowest) of the 44 equity funds that exist that has
highest the risk level by standard deviation more than others.
Standard Deviation (P) is the total risk that results from the amount of
systematic risk and unsystematic risk. if highly diversified portfolio, the total risk
is similar to systematic risk as close to zero unsistematic risk. it can also be called
if the portfolio with the market portfolio, the total risk equal to systematic risk or
market risk or can be called beta. therefore, the results of the Sharpe index will be
equal to the results of Treynor Index. (Manurung, 2007:150-151)
The calculation of beta equity funds in the period January 2010 to
December 2012 of 44 equity fund has a value less than 1 and all negative value.
Beta is negative it means to have a negative correlation with the return market in
this case is Jakarta Composite Index (JCI). Based on theory above, Unsystematic
risk happen in this period study, the portfolio is not diversified and most of the
investment managers in this period have worse performance than the performance
of the market.
Column in table 4.1 shows the downside risk of monthly in equity funds.
Based on on statistic above, Grow-2-Prosper fund is equity fund that has highest
69
downside risk with value 0.4020 and the lowest downside risk are Panin Dana
Maksima fund with value 0.0299. Downside risk that lower than others equity
funds affect their return. this indicated by return value is the best rank (the
highest) return of the 44 equity funds that exist.The downside deviation which
only consider the negative deviations from the mean or a minimum return
threshold.
The calculation of VaR (Value at Risk) in period January 2010 to December
2012 all equity funds are positif value of Value at Risk. formula VaR = - (r + Zα *
σ) α is confidence level ,Zα is quantile of the standard normal distribution.
4.2. Analysis Performance of Equity Funds
In this section will describe the analysis of the performance of equity
funds based on performance of each model of performance measurement is
Sharpe, Treynor, Jensen, and Modigliani, Sortino, and EROV.
1. Performance of Equity Funds Based Sharpe Ratio Method
Measurement method is also referred to as the Sharpe or Reward to
Variability Ratio (RVAR) emphasis on total risk or standard deviation. Standard
deviation indicates the size of the change in a stock's return on the average stock
return is concerned. The benefit of predicting performance in future use past data.
retutn average of past predictions is considered as the future return and standard
deviation of returns of the past are considered as predictors of future risk.
70
The method is used to measure the performance of mutual funds based on
how much additional investment obtained for each unit of risk taken.
measurement Sharpe formulated as follows:
Spi =
where :
Spi = Indeks Sharpe Portofolio
Rpi = The average rate of return on portfolio i
Rf = Average Risk-free (SBI)
p = The standard deviation of portfolio returns
How to calculate Sharpe Ratio for example AXA CitraDinamis Fund:
Spi =
Spi= 0.0106-0.0052/0.0496
= 0.0054/0.0496 = 0.1089
The measurement results based Sharpe method can be seen in the table
below.
71
Table 4.2
Performance of Equity Funds Based Sharpe Ratio Method
No Equity Funds Return
(%)
Rf
(BI Rate)
(%)
Excess
Return
Standard
Deviation Sharpe Ranking
1 AXA CitraDinamis 0.0106 0.0052 0.0054 0.0496 0.1089 33
2 Bahana Dana Prima 0.0122 0.0052 0.0070 0.0519 0.1349 24
3 Batavia Dana Saham 0.0111 0.0052 0.0059 0.0526 0.1122 32
4 Batavia Dana Saham Agro -0.0029 0.0052 -0.0081 0.0664 -0.1220 44
5 Batavia Dana Saham Optimal 0.0144 0.0052 0.0092 0.0542 0.1697 10
6 BNI Reksa Dana Berkembang 0.0114 0.0052 0.0062 0.0539 0.1150 31
7 BNP Paribas Ekuitas 0.0139 0.0052 0.0087 0.0508 0.1713 9
8 BNP Paribas infrastruktur plus 0.0137 0.0052 0.0085 0.0543 0.1565 15
9 BNP Paribas Maxi Saham 0.0123 0.0052 0.0071 0.0555 0.1279 27
10 BNP Paribas Pesona 0.0127 0.0052 0.0075 0.0509 0.1473 21
11 BNP Paribas Solaris 0.0154 0.0052 0.0102 0.0559 0.1825 8
12 CIMB Principal Equity Aggressive 0.0087 0.0052 0.0035 0.0489 0.0716 38
13 Dana Ekuitas Andalan 0.0105 0.0052 0.0053 0.0516 0.1027 34
14 Dana Ekuitas Prima 0.0137 0.0052 0.0085 0.0554 0.1534 17
15 Dana Pratama Ekuitas 0.0088 0.0052 0.0036 0.0640 0.0563 40
16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0512 0.1484 19
17 FS Indo Equity Value Select Fund 0.0118 0.0052 0.0066 0.0506 0.1304 26
18 FS Indo Eqty Dividen Yield Fund 0.0128 0.0052 0.0076 0.0492 0.1545 16
19 FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0074 0.0499 0.1483 20
20 FS Indo Equity Peka Fund 0.0134 0.0052 0.0082 0.0498 0.1647 12
21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0573 0.1588 14
22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0576 0.1198 29
23 Lautandhana Equity 0.0084 0.0052 0.0032 0.0523 0.0612 39
24 Lautandhana Equity Progresif -0.0029 0.0052 -0.0081 0.0749 -0.1081 43
25 Makinta Growth Fund 0.0146 0.0052 0.0094 0.0633 0.1485 18
26 Makinta Mantap 0.0189 0.0052 0.0137 0.0711 0.1927 6
27 Mandiri Investa Attraktif 0.0113 0.0052 0.0061 0.0499 0.1222 28
28 Mandiri Investa UGM 0.0090 0.0052 0.0038 0.0503 0.0755 37
29 Manulife Dana Saham 0.0120 0.0052 0.0068 0.0483 0.1408 23
30 Manulife Saham Andalan 0.0127 0.0052 0.0075 0.0522 0.1437 22
31 Millenium Equity 0.0070 0.0052 0.0018 0.0480 0.0375 41
32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0528 0.3220 2
33 NISP Indeks Saham Progresif 0.0096 0.0052 0.0044 0.0484 0.0909 35
34 Panin Dana Maksima 0.0254 0.0052 0.0202 0.0578 0.3495 1
72
No Equity Funds Return
(%)
Rf
(BI Rate)
(%)
Excess
Return
Standard
Deviation Sharpe Ranking
35 Panin Dana Prima 0.0193 0.0052 0.0141 0.0528 0.2670 4
36 Pratama Saham 0.0109 0.0052 0.0057 0.0686 0.0831 36
37 Rencana Cerdas 0.0122 0.0052 0.0070 0.0519 0.1349 25
38 Schroder Dana Istimewa 0.0144 0.0052 0.0092 0.0550 0.1673 11
39 Schroder Dana Prestasi Plus 0.0110 0.0052 0.0058 0.0502 0.1155 30
40 Schroder Indo Equity Fund 0.0131 0.0052 0.0079 0.0496 0.1593 13
41 Simas Danamas Saham 0.0039 0.0052 -0.0013 0.0608 -0.0214 42
42 Syailendra Equity Opportunity 0.0201 0.0052 0.0149 0.0534 0.2790 3
43 TRIM Kapital 0.0171 0.0052 0.0119 0.0613 0.1941 5
44 TRIM Kapital Plus 0.0174 0.0052 0.0122 0.0633 0.1927 7
45 Market 0.0164 0.0052 0.0112 0.0492 0.2274
Source : Data Proceed
Picture 4.1
Best 10th
Performance of Equity Funds Based Sharpe Ratio Method
Source : Data Proceed
As shown in Table 4.2 that almost all equity funds have a positive value,
except for Batavia Dana Saham Agro fund, Lautandhana Equity Progresif fund
and Simas Danamas Saham fund that have negative values. The Highest of the
Sharpe index is Panin Dana Maksima with value 0.3495, while the equity funds
which have the lowest Batavia Dana Saham Agro fund, Lautandhana Equity
73
Progresif fund and Simas Danamas Saham fund are negative. Equity funds have
outperformed performance of the market performance there were 4 equity funds.
Whereas, the others equity funds have performed underperform from market
performance. Overall, the performance of equity funds based on Sharpe index
showed good performance for 41 equity fund of 44 equity funds with Sharpe
method are positive, and there are 3 equity funds which are negative.
2. Performance of Equity Funds Based Treynor Ratio Method
Evaluating the performance of a stock portfolio using the Treynor or often
referred to as the Reward to Volatility Ratio (RVOR), using the average returns of
the past as well as the expected return and beta as a measure of risk. Beta indicates
the size of the change in the return of a stock portfolio to changes in market
returns. as a measure of investment risk for the general use of beta fluctuations in
stock prices are affected by market fluctuations.
Treynor method is similar to the Sharpe method using the Risk Premium,
but the difference method Treynor using the beta (β) which is the risk of
fluctuations relative to the market risk. Treynor method can be formulated as
follows:
Tpi =
where:
Tpi = Index Treynor Portfolio
74
Rpi = The average rate of return on portfolio i
Rf = Average Risk-free (SBI)
p = Beta portfolio (market risk or systematic risk)
How to calculate Treynor Ratio for example AXA CitraDinamis Fund:
Tpi =
Tpi= 0.0106-0.0052/(-0.3893)
= 0.0054/ (-0.0139) = -0.0139
The results of calculations using the Treynor method can be seen in the
table below.
Table 4.3
Performance of Equity Funds Based Treynor Ratio Method
No. Equity Funds Return
(%)
Rf
(BI Rate)
(%)
Excess
Return Beta Treynor Ranking
1 AXA Citradinamis 0.0106 0.0052 0.0054 -0.3893 -0.0139 10
2 Bahana Dana Prima 0.0122 0.0052 0.0070 -0.3683 -0.0190 19
3 Batavia Dana Saham 0.0111 0.0052 0.0059 -0.3879 -0.0152 12
4 Batavia Dana Saham Agro -0.0029 0.0052 -0.0081 -0.5020 0.0161 2
5 Batavia Dana Saham Optimal 0.0144 0.0052 0.0092 -0.3838 -0.0240 35
6 BNI Reksa Dana Berkembang 0.0114 0.0052 0.0062 -0.3122 -0.0199 22
7 BNP Paribaa Pesona 0.0139 0.0052 0.0087 -0.3845 -0.0226 32
8 BNP Paribas Ekuitas 0.0137 0.0052 0.0085 -0.3946 -0.0215 26
9 BNP Paribas Infrastruktur Plus 0.0123 0.0052 0.0071 -0.4030 -0.0176 17
10 BNP Paribas Maxi Saham 0.0127 0.0052 0.0075 -0.3715 -0.0202 24
11 BNP Paribas Solaris 0.0154 0.0052 0.0102 -0.4024 -0.0253 37
12 CIMB Principal Equity Aggressive 0.0087 0.0052 0.0035 -0.3796 -0.0092 7
13 Dana Ekuitas Andalan 0.0105 0.0052 0.0053 -0.3356 -0.0158 13
75
No. Equity Funds Return
(%)
Rf
(BI Rate)
(%)
Excess
Return Beta Treynor Ranking
14 Dana ekuitas Prima 0.0137 0.0052 0.0085 -0.3769 -0.0226 31
15 Dana Pratama Ekuitas 0.0088 0.0052 0.0036 -0.3946 -0.0091 6
16 Dana Reksa Mawar 0.0128 0.0052 0.0076 -0.3840 -0.0198 21
17 FS Indo Equity Value Select Fund 0.0118 0.0052 0.0066 -0.3964 -0.0166 15
18 FS Indo Equity Deviden Yield fund 0.0128 0.0052 0.0076 -0.3559 -0.0214 25
19 FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0074 -0.3725 -0.0199 23
20 FS Indoequity Peka Fund 0.0134 0.0052 0.0082 -0.3677 -0.0223 30
21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 -0.4869 -0.0187 18
22 Grow-2-Prosper 0.0121 0.0052 0.0069 -0.3153 -0.0219 28
23 Lautandhana Equity 0.0084 0.0052 0.0032 -0.3917 -0.0082 5
24 Lautandhana Equity Progresif -0.0029 0.0052 -0.0081 -0.4620 0.0175 1
25 Makinta Growth Fund 0.0146 0.0052 0.0094 -0.3577 -0.0263 38
26 Makinta Mantap 0.0189 0.0052 0.0137 -0.5879 -0.0233 33
27 Mandiri Investa Attraktif 0.0113 0.0052 0.0061 -0.3739 -0.0163 14
28 Mandiri Investa UGM 0.0090 0.0052 0.0038 -0.3422 -0.0111 8
29 Manulife Dana Saham 0.0120 0.0052 0.0068 -0.3112 -0.0219 27
30 Manulife Saham Andalan 0.0127 0.0052 0.0075 -0.3399 -0.0221 29
31 Millenium Equity 0.0070 0.0052 0.0018 -0.3266 -0.0055 4
32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 -0.3930 -0.0433 41
33 NISP Indeks Saham Progresif 0.0096 0.0052 0.0044 -0.3403 -0.0129 9
34 Panin Dana Maksima 0.0254 0.0052 0.0202 -0.2376 -0.0850 44
35 Panin Dana Prima 0.0193 0.0052 0.0141 -0.3103 -0.0454 42
36 Pratama Saham 0.0109 0.0052 0.0057 -0.4026 -0.0142 11
37 Rencana Cerdas 0.0122 0.0052 0.0070 -0.3683 -0.0190 20
38 Schroder Dana Istimewa 0.0144 0.0052 0.0092 -0.3755 -0.0245 36
39 Schroder Dana Prestasi Plus 0.0110 0.0052 0.0058 -0.3398 -0.0171 16
40 Schroder Indo Equity Fund 0.0131 0.0052 0.0079 -0.3381 -0.0234 34
41 Simas Danamas Saham 0.0039 0.0052 -0.0013 -0.3406 0.0038 3
42 Syailendra Equity Opportunity 0.0201 0.0052 0.0149 -0.2903 -0.0513 43
43 TRIM Kapital 0.0171 0.0052 0.0119 -0.4400 -0.0270 40
44 TRIM Kapital Plus 0.0174 0.0052 0.0122 -0.4594 -0.0266 39
Source : Data Proceed
76
Picture 4.2
Best 10th
Performance of Equity Funds Based Treynor Ratio Method
Source : Data Proceed
Table 4.3 above, almost all Equity funds based on the Treynor index
equity funds is negative except Lautandhana Equity Progresif funds with Treynor
index 0.0175, Batavia Dana Saham Agro fund is 0.0161 and Simas Danamas
Saham fund is 0.0038 are the first, second and third by Treynor index. all negative
beta equity funds that make Treynor index value becomes negative, it is because
the value of the excess return is positive except for equity funds Lautandhana
Equity Progresif fund, Batavia Dana Saham Agro and Simas Danamas Saham
fund which have positive and negative return value of Treynor index.
Lauthandana Equity Progresif fund and Batavia Dana Saham Agro fund have the
lowest return among all funds available are -0.0029 but has a value of the highest
Treynor index, this suggests that although providing small return, but with
relatively small volatility is able to provide relatively better performance
compared to the high return funds equity but the volatility of the market
movement is also very high.
77
3. Performance of Equity Funds Based Jensen ALPHA Method
Jensen method only accept investment return exceeds the expected return
or the minimum rate of return. return in question is the average return of the past
while the minimum rate of return is the expected return is calculated by Capital
Asset Pricing Model (CAPM). Difference antaara return with minimum average
rate of return is referred to as alpha. Jensen ALPHA is an absolute measure that
estimates the rate of return is constant during the period in which the investment
gain ALPHA Jensen rate of return above (below) of a buy-hold strategy with the
same systematic risk. Jensen method to analyze the needed data such as average
return, beta stocks, the minimum rate, and the risk free rate.
Alpha () is Risk Adjusted Measures of Portfolio Performance by Jensen,
measured by the difference between the portfolio return minus the risk-free rate of
return beta multiplied by the difference between the return of benchmark and risk-
free rate.
Jpi = (Rpi-Rf) - p (Rm-Rf)
Where:
Jpi = Index Jensen portfolio
Rpi = The average rate of return on portfolio i
Rf = Average Risk-free (SBI)
pi = Beta portfolio 1 (market risk or systematic risk)
78
Rm = Return Market index (benchmark)
How to calculate Jensen Ratio for example AXA CitraDinamis Fund:
Jpi = (Rpi-Rf) - p (Rm-Rf)
Jpi= (0.0106-0.0052)-((-0.03893) (0.0112-0.0052))= 0.0098
The results of calculations with measurements Jensen method can be seen
in the table below.
Table 4.3
Performance of Equity Funds Based Jensen Alpha Method
No. Equity Funds Return
(%)
Rf
(BI Rate)
(%)
Excess
Return Rm-Rf Beta Jensen Ranking
1 AXA CitraDinamis 0.0106 0.0052 0.0054 0.0112 -0.3893 0.0098 32
2 Bahana Dana Prima 0.0122 0.0052 0.0070 0.0112 -0.3683 0.0111 24
3 Batavia Dana Saham 0.0111 0.0052 0.0059 0.0112 -0.3879 0.0102 30
4 Batavia Dana Saham Agro -0.0029 0.0052 -0.0081 0.0112 -0.5020 -0.0025 43
5 Batavia Dana Saham Optimal 0.0144 0.0052 0.0092 0.0112 -0.3838 0.0135 10
6 BNI Reksa Dana Berkembang 0.0114 0.0052 0.0062 0.0112 -0.3122 0.0097 33
7 BNP Paribas Ekuitas 0.0139 0.0052 0.0087 0.0112 -0.3845 0.0130 13
8 BNP Paribas Infrastruktur Plus 0.0137 0.0052 0.0085 0.0112 -0.3946 0.0129 14
9 BNP Paribas Maxi Saham 0.0123 0.0052 0.0071 0.0112 -0.4030 0.0116 20
10 BNP Paribas Pesona 0.0127 0.0052 0.0075 0.0112 -0.3715 0.0117 19
11 BNP Paribas Solaris 0.0154 0.0052 0.0102 0.0112 -0.4024 0.0147 8
12 CIMB Principal Equity Aggressive 0.0087 0.0052 0.0035 0.0112 -0.3796 0.0078 38
13 Dana Ekuitas Andalan 0.0105 0.0052 0.0053 0.0112 -0.3356 0.0091 35
14 Dana Ekuitas Prima 0.0137 0.0052 0.0085 0.0112 -0.3769 0.0127 15
15 Dana Pratama Ekuitas 0.0088 0.0052 0.0036 0.0112 -0.3946 0.0080 37
16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0112 -0.3840 0.0119 17
17 FS Indo Equity Value Select Fund 0.0118 0.0052 0.0066 0.0112 -0.3964 0.0110 26
18 FS Indo Eqty Dividen Yield Fund 0.0128 0.0052 0.0076 0.0112 -0.3559 0.0116 21
19 FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0074 0.0112 -0.3725 0.0116 22
20 FS Indo Equity Peka Fund 0.0134 0.0052 0.0082 0.0112 -0.3677 0.0123 16
79
No. Equity Funds Return
(%)
Rf
(BI Rate)
(%)
Excess
Return Rm-Rf Beta Jensen Ranking
21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0112 -0.4869 0.0146 9
22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0112 -0.3153 0.0104 27
23 Lautandhana Equity 0.0084 0.0052 0.0032 0.0112 -0.3917 0.0076 40
24 Lautandhana Equity Progresif -0.0029 0.0052 -0.0081 0.0112 -0.4620 -0.0029 44
25 Makinta Growth Fund 0.0146 0.0052 0.0094 0.0112 -0.3577 0.0134 11
26 Makinta Mantap 0.0189 0.0052 0.0137 0.0112 -0.5879 0.0203 3
27 Mandiri Investa Attraktif 0.0113 0.0052 0.0061 0.0112 -0.3739 0.0103 28
28 Mandiri Investa UGM 0.0090 0.0052 0.0038 0.0112 -0.3422 0.0076 39
29 Manulife Dana Saham 0.0120 0.0052 0.0068 0.0112 -0.3112 0.0103 29
30 Manulife Saham Andalan 0.0127 0.0052 0.0075 0.0112 -0.3399 0.0113 23
31 Millenium Equity 0.0070 0.0052 0.0018 0.0112 -0.3266 0.0055 41
32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0112 -0.3930 0.0214 2
33 NISP Indeks Saham Progresif 0.0096 0.0052 0.0044 0.0112 -0.3403 0.0082 36
34 Panin Dana Maksima 0.0254 0.0052 0.0202 0.0112 -0.2376 0.0229 1
35 Panin Dana Pima 0.0193 0.0052 0.0141 0.0112 -0.3103 0.0176 5
36 Pratama Saham 0.0109 0.0052 0.0057 0.0112 -0.4026 0.0102 31
37 Rencana Cerdas 0.0122 0.0052 0.0070 0.0112 -0.3683 0.0111 25
38 Schroder Dana Istimewa 0.0144 0.0052 0.0092 0.0112 -0.3755 0.0134 12
39 Schroder Dana Prestasi Plus 0.0110 0.0052 0.0058 0.0112 -0.3398 0.0096 34
40 Schroder Indo Equity Fund 0.0131 0.0052 0.0079 0.0112 -0.3381 0.0117 18
41 Simas Danamas Saham 0.0039 0.0052 -0.0013 0.0112 -0.3406 0.0025 42
42 Syailendra Equity Opportunity 0.0201 0.0052 0.0149 0.0112 -0.2903 0.0182 4
43 TRIM Kapital 0.0171 0.0052 0.0119 0.0112 -0.4400 0.0168 7
44 TRIM Kapital Plus 0.0174 0.0052 0.0122 0.0112 -0.4594 0.0173 6
Market 0.0164 0.0052 0.0112 0.0112 1 0
Source : Data Proceed
80
Picture 4.3
Best 10th
Performance of Equity Funds Based Treynor Ratio Method
Source : Data Proceed
As shown in Table 4.4 that almost all equity funds have a positive Jensen
index value of mutual funds except that Batavia Dana Saham Agro fund and
Lautandhana Equity Progresif fund are negative and the lowest ranks 43 and 44 of
all existing equity funds. Batavia Dana Saham Agro and Lautandhana Equity
Progresif fund are equity funds that have a negative Jensen ALPHA value and the
lowest, this is because they return negative value. Panin Dana Maksima funds is a
fund that has the best monthly performance index based on Jensen with the
highest alpha value is 0.0229. Almost all equity funds by Jensen index method
have better performance (outperform) of the performance of the market, except
for Batavia Dana Saham Agro and Lautandhana Equity Progresif fund.
So, the conclusion is that the three highest alpha value by Jensen index
equity funds that have the lowest beta value where beta is a statement of the
market risk or systematic risk, meaning that the lower the beta obtained and the
higher the return value of this research will result in high performance.
81
4. Performance of Equity Funds Based Modigliani Ratio Method
This section will describe the results of the daily performance
measurement using Modigliani index, where the index is complete Sharpe index
by entering elements of the standard deviation of the market.
Risk Adjusted Measures of Portfolio Performance by Franco Modigliani
and Leah Modigliani, measured by the risk free plus the amount times of the
RVAR (Sharpe ratio) with standard deviation of market benchmark.
M = Rf + (Spi . m)
where:
M = Modigiliani Square
Spi = Indeks Sharpe Portofolio (Rpi-Rf /p)
Rf = Risk Free (Aset Bebas Risiko)
m = Standar Deviasi Market
p = Standar Deviasi Portofolio
Rpi-Rf = Risk Premium Portofolio
How to calculate Modigliani Ratio for example AXA CitraDinamis
Fund:
82
M = Rf + (Spi . m)
M = 0.0052 + ((Rp-Rf)/ P) * 0.0492)
= 0.0052 + (0.1089 * 0.0492) = 0.0105
This method of measurement results can be seen in the table below.
Table 4.5
Performance of Equity Funds Based Modigliani Ratio Method
No. Equity Funds Return
(%)
Rf
(BI Rate)
(%)
Excess
Return
Standard
Deviation
Stdev
Market Modigliani Ranking
1 AXA CitraDinamis 0.0106 0.0052 0.0053 0.0496 0.0492 0.0105 33
2 Bahana Dana Prima 0.0122 0.0052 0.0070 0.0519 0.0492 0.0118 24
3 Batavia Dana Saham 0.0111 0.0052 0.0058 0.0526 0.0492 0.0106 32
4 Batavia Dana Saham Agro -0.0029 0.0052 -0.0081 0.0664 0.0492 -0.0008 44
5 Batavia Dana Saham Optimal 0.0144 0.0052 0.0092 0.0542 0.0492 0.0136 10
6 BNI Reksa Dana Berkembang 0.0114 0.0052 0.0062 0.0539 0.0492 0.0109 31
7 BNP Paribas Ekuitas 0.0139 0.0052 0.0087 0.0508 0.0492 0.0136 9
8 BNP Paribas infrastruktur plus 0.0137 0.0052 0.0084 0.0543 0.0492 0.0128 15
9 BNP Paribas Maxi Saham 0.0123 0.0052 0.0070 0.0555 0.0492 0.0114 27
10 BNP Paribas Pesona 0.0127 0.0052 0.0075 0.0509 0.0492 0.0124 21
11 BNP Paribas Solaris 0.0154 0.0052 0.0101 0.0559 0.0492 0.0141 8
12 CIMB Principal Equity Aggressive 0.0087 0.0052 0.0034 0.0489 0.0492 0.0086 38
13 Dana Ekuitas Andalan 0.0105 0.0052 0.0053 0.0516 0.0492 0.0103 34
14 Dana Ekuitas Prima 0.0137 0.0052 0.0084 0.0554 0.0492 0.0127 17
15 Dana Pratama Ekuitas 0.0088 0.0052 0.0035 0.0640 0.0492 0.0079 40
16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0512 0.0492 0.0125 19
17 FS Indo Equity Value Select Fund 0.0118 0.0052 0.0065 0.0506 0.0492 0.0115 26
18 FS Indo Eqty Dividen Yield Fund 0.0128 0.0052 0.0075 0.0492 0.0492 0.0127 16
19 FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0074 0.0499 0.0492 0.0125 20
20 FS Indo Equity Peka Fund 0.0134 0.0052 0.0081 0.0498 0.0492 0.0132 12
21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0573 0.0492 0.0130 14
22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0576 0.0492 0.0111 29
23 Lautandhana Equity 0.0084 0.0052 0.0031 0.0523 0.0492 0.0081 39
83
No. Equity Funds Return
(%)
Rf
(BI Rate)
(%)
Excess
Return
Standard
Deviation
Stdev
Market Modigliani Ranking
24 Lautandhana Equity Progresif -0.0029 0.0052 -0.0081 0.0749 0.0492 -0.0001 43
25 Makinta Growth Fund 0.0146 0.0052 0.0094 0.0633 0.0492 0.0125 18
26 Makinta Mantap 0.0189 0.0052 0.0136 0.0711 0.0492 0.0146 6
27 Mandiri Investa Attraktif 0.0113 0.0052 0.0061 0.0499 0.0492 0.0112 28
28 Mandiri Investa UGM 0.0090 0.0052 0.0038 0.0503 0.0492 0.0089 37
29 Manulife Dana Saham 0.0120 0.0052 0.0068 0.0483 0.0492 0.0121 23
30 Manulife Saham Andalan 0.0127 0.0052 0.0075 0.0522 0.0492 0.0123 22
31 Millenium Equity 0.0070 0.0052 0.0017 0.0480 0.0492 0.0069 41
32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0528 0.0492 0.0210 2
33 NISP Indeks Saham Progresif 0.0096 0.0052 0.0043 0.0484 0.0492 0.0096 35
34 Panin Dana Maksima 0.0254 0.0052 0.0201 0.0578 0.0492 0.0223 1
35 Panin Dana Prima 0.0193 0.0052 0.0141 0.0528 0.0492 0.0183 4
36 Pratama Saham 0.0109 0.0052 0.0057 0.0686 0.0492 0.0093 36
37 Rencana Cerdas 0.0122 0.0052 0.0070 0.0519 0.0492 0.0118 25
38 Schroder Dana Istimewa 0.0144 0.0052 0.0092 0.0550 0.0492 0.0134 11
39 Schroder Dana Prestasi Plus 0.0110 0.0052 0.0058 0.0502 0.0492 0.0109 30
40 Schroder Indo Equity Fund 0.0131 0.0052 0.0079 0.0496 0.0492 0.0130 13
41 Simas Danamas Saham 0.0039 0.0052 -0.0014 0.0608 0.0492 0.0041 42
42 Syailendra Equity Opportunity 0.0201 0.0052 0.0148 0.0534 0.0492 0.0188 3
43 TRIM Kapital 0.0171 0.0052 0.0119 0.0613 0.0492 0.0148 5
44 TRIM Kapital Plus 0.0174 0.0052 0.0121 0.0633 0.0492 0.0146 7
Market 0.0164 0.0052 0.0112 0.0492 0.0492 0.0164
Source: Data Proceed
84
Picture 4.4
Best 10th
Performance of Equity Funds Based Modigliani Ratio Method
Source : Data Proceed
Based on table 4.5 equity funds which have the highest index value
Modigliani and outperform than market is Panin Dana Maksima fund with a score
of 0.0224. Equity funds in second place is MNC Dana Ekuitas fund by Modigliani
index with score 0.0210. Third place by Syailendra Equity Opportunity fund with
a score of 0.0189 and forth is Panin Dana Prima with value 0.0183. Almost all
equity funds have a positive monthly performance during the period January 2010
to December 2012 with Modigliani method index, it is shown that the
performance of equity funds is higher than Risk-free rate except Batavia Dana
Saham Agro and Lautandhana Equity Progresif that have negative return and
negative modigliani index.
85
5. Performance of Equity Funds Based Sortino Ratio Method
The Sortino Ratio can be regarded as a modification of the Sharpe Ratio as
it replaces the standard deviation by downside deviation which only considers the
negative deviations from the mean or a minimum return threshold.
The Sortino Ratio can be Regarded as a modification of the Sharpe Ratio
as it replaces the standard deviation by downside deviation considers only the
negative deviations from the mean or a minimum return threshold. Sortino ratio
can be calculated by the following formula :
SOR =
where:
SOR = Sortino ratio
Rpi = The average rate of return on portfolio i
Rf = Average Risk-free (SBI)
σdown = Downside deviation
How to calculate Sortino Ratio for example AXA CitraDinamis Fund:
SOR =
SOR= 0.0106-0.0052/0.0352 = 0.1534
86
The measurement results based methods Sortino ratio can be seen in the
table below.
Table 4.6
Performance of Equity Funds Based Sortino Ratio Method
No. Equity Funds Return
(%)
Rf
(BI Rate)
(%)
Excess
Return
Downside
Risk Sortino Ranking
1 AXA CitraDinamis 0.0106 0.0052 0.0054 0.0352 0.1534 31
2 Bahana Dana Prima 0.0122 0.0052 0.0070 0.0357 0.1961 23
3 Batavia Dana Saham 0.0111 0.0052 0.0059 0.1066 0.0553 40
4 Batavia Dana Saham Agro -0.0029 0.0052 -0.0081 0.0538 -0.1506 44
5 Batavia Dana Saham Optimal 0.0144 0.0052 0.0092 0.1136 0.0810 38
6 BNI Reksa Dana Berkembang 0.0114 0.0052 0.0062 0.0389 0.1594 30
7 BNP Paribas Ekuitas 0.0139 0.0052 0.0087 0.0345 0.2522 9
8 BNP Paribas Infrastruktur plus 0.0137 0.0052 0.0085 0.0371 0.2291 15
9 BNP Paribas Maxi Saham 0.0123 0.0052 0.0071 0.0388 0.1830 26
10 BNP Paribas Pesona 0.0127 0.0052 0.0075 0.0346 0.2168 19
11 BNP Paribas Solaris 0.0154 0.0052 0.0102 0.0385 0.2649 8
12 CIMB Principal Equity Aggressive 0.0087 0.0052 0.0035 0.0349 0.1003 36
13 Dana Ekuitas Andalan 0.0105 0.0052 0.0053 0.0362 0.1464 32
14 Dana Ekuitas Prima 0.0137 0.0052 0.0085 0.0385 0.2208 17
15 Dana Pratama Ekuitas 0.0088 0.0052 0.0036 0.0460 0.0783 39
16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0326 0.2331 13
17 FS Indo Equity Value Select Fund 0.0118 0.0052 0.0066 0.0353 0.1870 25
18 FS Indo Eqty Dividen Yield Fund 0.0128 0.0052 0.0076 0.0339 0.2242 16
19 FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0074 0.0344 0.2151 20
20 FS Indo Equity Peka Fund 0.0134 0.0052 0.0082 0.0342 0.2398 11
21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0391 0.2327 14
22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0402 0.1716 28
23 Lautandhana Equity 0.0084 0.0052 0.0032 0.0387 0.0827 37
24 Lautandhana Equity Progresif -0.0029 0.0052 -0.0081 0.0680 -0.1191 43
25 Makinta Growth Fund 0.0146 0.0052 0.0094 0.0429 0.2191 18
26 Makinta Mantap 0.0189 0.0052 0.0137 0.0452 0.3031 5
27 Mandiri Investa Attraktif 0.0113 0.0052 0.0061 0.0351 0.1738 27
28 Mandiri Investa UGM 0.0090 0.0052 0.0038 0.0360 0.1056 35
87
No. Equity Funds Return
(%)
Rf
(BI Rate)
(%)
Excess
Return
Downside
Risk Sortino Ranking
29 Manulife Dana Saham 0.0120 0.0052 0.0068 0.0329 0.2067 21
30 Manulife Saham Andalan 0.0127 0.0052 0.0075 0.0363 0.2066 22
31 Millenium Equity 0.0070 0.0052 0.0018 0.0330 0.0545 41
32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0295 0.5763 2
33 NISP Indeks Saham Progresif 0.0096 0.0052 0.0044 0.0341 0.1290 33
34 Panin Dana Maksima 0.0254 0.0052 0.0202 0.0299 0.6756 1
35 Panin Dana Prima 0.0193 0.0052 0.0141 0.0317 0.4448 3
36 Pratama Saham 0.0109 0.0052 0.0057 0.0484 0.1178 34
37 Rencana Cerdas 0.0122 0.0052 0.0070 0.0357 0.1961 24
38 Schroder Dana Istimewa 0.0144 0.0052 0.0092 0.0365 0.2521 10
39 Schroder Dana Prestasi Plus 0.0110 0.0052 0.0058 0.0348 0.1667 29
40 Schroder Indo Equity Fund 0.0131 0.0052 0.0079 0.0336 0.2351 12
41 Simas Danamas Saham 0.0039 0.0052 -0.0013 0.0463 -0.0281 42
42 Syailendra Equity Opportunity 0.0201 0.0052 0.0149 0.0335 0.4448 4
43 TRIM Kapital 0.0171 0.0052 0.0119 0.0420 0.2833 6
44 TRIM Kapital Plus 0.0174 0.0052 0.0122 0.0448 0.2723 7
Market 0.0164 0.0052 0.0112 0.0287 0.3897
Source: Data Proceed
Picture 4.5
Best 10th
Performance of Equity Funds Based Sortino Ratio Method
Source : Data Proceed
As shown in Table 4.4 that almost all equity funds have a positive Sortino
Ratio index value of equity funds except that Batavia Dana Saham Agro fund,
88
Lautandhana Equity Progresif fund and Simas Danamas Saham fund are negative.
Batavia Dana Saham Agro fund and Lautandhana Equity Progresif fund are equity
funds that have a negative Sortino ratio value and the lowest, this is because they
return negative value.There are 4 equity funds outperform than market following
Panin Dana Maksima funds is a fund that has the highest monthly performance
index based on Sortino ratio with the value is 0.6756. second place highest sortino
ratio is MNC Dana Ekuitas fund with value 0.5763 and trird place is Panin Dana
Prima with value 0.4448 and the fourth is Syailendra Equity Opportunity. while
the other funds have underperformed the performance of market performance.
Overall, almost the performance of equity funds based on index Sortino ratio
show good performance of the Sortino ratio values obtained are positive except
for three equity funds namely Batavia Dana Saham Agro, Lautandhana Equity
Opportunity, and Simas Danamas Saham funds that are negative value.
6. Performance of Equity Funds Based EROV (Excess Return on Value-at-
Risk) Ratio Method
Excess Return on VaR is basically a Sharpe Ratio using Value-At-Risk
instead of volatility as the risk measure (Carl R. Bacon, 2004). Assuming
normally distributed returns, the VaR of a long-position is calculated as a quantile
of the standard normal distribution at a certain confidence level α, using the
expected value – i.e. the mean and the standard deviation (Jorion, 2006:110).
89
This method is similar to the method of measurement Sharpe. There is a
difference in the type of risk used is the risk The biggest disadvantage faced by
mutual funds in a given period with certain level of confidence level (this study
using the confidence level 95% with a coefficient of -1.65). Calculation formula
used is:
EROV = {r - rf} / VaR
where:
EROV = Excess return on VaR
r = Portfolio returns
rf = Risk free rate
VaR = Value at Risk portfolio
How to calculate EROV Ratio for example AXA CitraDinamis Fund:
EROV = {r - rf} / VaR
EROV = (0.0106-0.0052) / 0.0712
= 0.0758
The measurement results based methods Sortino ratio can be seen in the
table below.
90
Table 4.7
Performance of Equity Funds Based EROV Ratio Method
No Equity Funds Return
(%)
Rf
(BI Rate)
(%)
Excess
Return
Standard
Deviation VaR EROV Ranking
1 AXA CitraDinamis 0.0106 0.0052 0.0054 0.0496 0.0712 0.0758 33
2 Bahana Dana Prima 0.0122 0.0052 0.007 0.0519 0.0734 0.0953 24
3 Batavia Dana Saham 0.0111 0.0052 0.0059 0.0526 0.0757 0.0779 32
4 Batavia Dana Saham Agro -0.0029 0.0052 -0.0081 0.0664 0.1125 -0.0720 44
5 Batavia Dana Saham Optimal 0.0144 0.0052 0.0092 0.0542 0.0750 0.1226 10
6 BNI Reksa Dana Berkembang 0.0114 0.0052 0.0062 0.0539 0.0775 0.0800 31
7 BNP Paribas Ekuitas 0.0139 0.0052 0.0087 0.0508 0.0699 0.1244 9
8 BNP Paribas Infrastruktur Plus 0.0137 0.0052 0.0085 0.0543 0.0759 0.1120 15
9 BNP Paribas Maxi Saham 0.0123 0.0052 0.0071 0.0555 0.0793 0.0896 27
10 BNP Paribas Pesona 0.0127 0.0052 0.0075 0.0509 0.0713 0.1052 20
11 BNP Paribas Solaris 0.0154 0.0052 0.0102 0.0559 0.0768 0.1328 8
12 CIMB Principal Equity Aggressive 0.0087 0.0052 0.0035 0.0489 0.0720 0.0486 38
13 Dana Ekuitas Andalan 0.0105 0.0052 0.0053 0.0516 0.0746 0.0710 34
14 Dana Ekuitas Prima 0.0137 0.0052 0.0085 0.0554 0.0777 0.1094 17
15 Dana Pratama Ekuitas 0.0088 0.0052 0.0036 0.0640 0.0968 0.0372 40
16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0512 0.0717 0.1060 19
17 FS Indo Equity Value Select Fund 0.0118 0.0052 0.0066 0.0506 0.0717 0.0921 26
18 FS Indo Eqty Dividen Yield Fund 0.0128 0.0052 0.0076 0.0492 0.0684 0.1111 16
19 FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0074 0.0499 0.0697 0.1061 18
20 FS Indo Equity Peka Fund 0.0134 0.0052 0.0082 0.0498 0.0688 0.1192 12
21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0573 0.0802 0.1134 14
22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0576 0.0829 0.0832 29
23 Lautandhana Equity 0.0084 0.0052 0.0032 0.0523 0.0779 0.0411 39
24 Lautandhana Equity Progresif -0.0029 0.0052 -0.0081 0.0749 0.1265 -0.0640 43
25 Makinta Growth Fund 0.0146 0.0052 0.0094 0.0633 0.0898 0.1046 21
26 Makinta Mantap 0.0189 0.0052 0.0137 0.0711 0.0984 0.1392 7
27 Mandiri Investa Attraktif 0.0113 0.0052 0.0061 0.0499 0.0710 0.0859 28
28 Mandiri Investa UGM 0.0090 0.0052 0.0038 0.0503 0.0740 0.0514 37
29 Manulife Dana Saham 0.0120 0.0052 0.0068 0.0483 0.0677 0.1005 23
30 Manulife Saham Andalan 0.0127 0.0052 0.0075 0.0522 0.0734 0.1021 22
31 Millenium Equity 0.0070 0.0052 0.0018 0.0480 0.0722 0.0249 41
32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0528 0.0649 0.2619 2
33 NISP Indeks Saham Progresif 0.0096 0.0052 0.0044 0.0484 0.0703 0.0626 35
34 Panin Dana Maksima 0.0254 0.0052 0.0202 0.0578 0.0700 0.2887 1
91
No Equity Funds Return
(%)
Rf
(BI Rate)
(%)
Excess
Return
Standard
Deviation VaR EROV Ranking
35 Panin Dana Prima 0.0193 0.0052 0.0141 0.0528 0.0678 0.2079 4
36 Pratama Saham 0.0109 0.0052 0.0057 0.0686 0.1023 0.0557 36
37 Rencana Cerdas 0.0122 0.0052 0.007 0.0519 0.0734 0.0953 25
38 Schroder Dana Istimewa 0.0144 0.0052 0.0092 0.0550 0.0764 0.1205 11
39 Schroder Dana Prestasi Plus 0.0110 0.0052 0.0058 0.0502 0.0718 0.0807 30
40 Schroder Indo Equity Fund 0.0131 0.0052 0.0079 0.0496 0.0687 0.1149 13
41 Simas Danamas Saham 0.0039 0.0052 -0.0013 0.0608 0.0964 -0.0135 42
42 Syailendra Equity Opportunity 0.0201 0.0052 0.0149 0.0534 0.0680 0.2191 3
43 TRIM Kapital 0.0171 0.0052 0.0119 0.0613 0.0840 0.1416 5
44 TRIM Kapital Plus 0.0174 0.0052 0.0122 0.0633 0.0870 0.1402 6
Market 0.0164 0.0052 0.0112 0.0492 0.0648 0.1728
Source : Data Proceed
Picture 4.6
Best 10th
Performance of Equity Funds Based EROV Ratio Method
Equity funds which have the highest index value of EROV and outperform
than market performance with value 0.1728 (benchmark) only four equity fund
following is Panin Dana Maksima fund with a score of 0.2887. Equity funds in
second place is MNC Dana Ekuitas fund by EROV index with score 0.2619.
Third place by Syailendra Equity Opportunity fund with a score of 0.2191. Fourth
is Panin Dana Prima with value 0.2079. Almost all equity funds have a positive
92
monthly performance during the period January 2010 to December 2012 with
EROV method index, it is shown that the performance of equity funds is good
except Batavia Dana Saham Agro and Lautandhana Equity Progresif that have
negative return with ranking 42, 43 and 44 negative EROV index.
4.3. Performance Comparisons Monthly Equity Funds with Risk-Adjusted
Return Methods.
There are differences in the measurement results in the measurement of the
performance of equity funds with risk-adjusted return method in this study.
Generally based on average return performance, performance of Sortino Index has
the superior performance, followed by the Sharpe index, EROV index, and Jensen
and Modigliani who had not much different performance and Treynor method has
poor performance. The result of comparisons equity funds with Risk Adjusted
return method can be seen in the table below.
Table 4.8
Performance Comparisons Monthly Equity Funds with Six Model of
Measurement Years January 2010 – December 2012
No Equity Funds Sharpe Rank Treynor Rank Jensen Rank M2 Rank Sortino Rank EROV Rank
1 AXA CitraDinamis 0.1089 33 -0.0139 10 0.0098 32 0.0106 33 0.1534 31 0.0758 33
2 Bahana Dana Prima 0.1349 24 -0.0190 19 0.0111 24 0.0118 24 0.1961 23 0.0953 24
3 Batavia Dana Saham 0.1122 32 -0.0152 12 0.0102 30 0.0107 32 0.0553 40 0.0779 32
4 Batavia Dana Saham Agro -0.1220 44 0.0161 2 -0.0025 43 -0.0008 44 -0.1506 44 -0.0720 44
5 Batavia Dana Saham Optimal 0.1697 10 -0.0240 35 0.0135 10 0.0136 9 0.0810 38 0.1226 10
6 BNI Reksa Dana Berkembang 0.1150 31 -0.0199 22 0.0097 33 0.0109 30 0.1594 30 0.0800 31
7 BNP Paribas Ekuitas 0.1565 15 -0.0226 31 0.0130 13 0.0136 10 0.2522 9 0.1244 9
8 BNP Paribas Infrastruktur Plus 0.1279 27 -0.0215 26 0.0129 14 0.0129 15 0.2291 15 0.1120 15
9 BNP Paribas Maxi Saham 0.1473 21 -0.0176 17 0.0116 20 0.0115 27 0.1830 26 0.0896 27
10 BNP Paribas Pesona 0.1713 9 -0.0202 24 0.0117 18 0.0124 21 0.2168 19 0.1052 20
93
No Equity Funds Sharpe Rank Treynor Rank Jensen Rank M2 Rank Sortino Rank EROV Rank
11 BNP Paribas Solaris 0.1825 8 -0.0253 37 0.0147 8 0.0142 8 0.2649 8 0.1328 8
12 CIMB Principal Equity Aggressive 0.0716 38 -0.0092 7 0.0078 38 0.0087 38 0.1003 36 0.0486 38
13 Dana Ekuitas Andalan 0.1027 34 -0.0158 13 0.0091 35 0.0103 34 0.1464 32 0.0710 34
14 Dana Ekuitas Prima 0.1534 17 -0.0226 32 0.0127 15 0.0127 17 0.2208 17 0.1094 17
15 Dana Pratama Ekuitas 0.0563 40 -0.0091 6 0.0080 37 0.0080 40 0.0783 39 0.0372 40
16 Dana Reksa Mawar 0.1484 19 -0.0198 21 0.0119 17 0.0125 18 0.2331 13 0.1060 19
17 FS Indo Equity Value Select Fund 0.1304 26 -0.0166 15 0.0110 26 0.0116 26 0.1870 25 0.0921 26
18 FS Indo Eqty Dividen Yield Fund 0.1545 16 -0.0214 25 0.0116 21 0.0128 16 0.2242 16 0.1111 16
19 FS Indo Equity Sectoral Fund 0.1483 20 -0.0199 23 0.0116 22 0.0125 19 0.2151 20 0.1061 18
20 FS Indo Equity Peka Fund 0.1647 12 -0.0223 30 0.0123 16 0.0133 12 0.2398 11 0.1192 12
21 GMT Dana Ekuitas 0.1588 14 -0.0187 18 0.0146 9 0.0130 13 0.2327 14 0.1134 14
22 Grow-2-Prosper 0.1198 29 -0.0219 27 0.0104 27 0.0111 29 0.1716 28 0.0832 29
23 Lautandhana Equity 0.0612 39 -0.0082 5 0.0076 39 0.0082 39 0.0827 37 0.0411 39
24 Lautandhana Equity Progresif -0.1081 43 0.0175 1 -0.0029 44 -0.0001 43 -0.1191 43 -0.0640 43
25 Makinta Growth Fund 0.1485 18 -0.0263 38 0.0134 11 0.0125 20 0.2191 18 0.1046 21
26 Makinta Mantap 0.1927 6 -0.0233 33 0.0203 3 0.0147 6 0.3031 5 0.1392 7
27 Mandiri Investa Attraktif 0.1222 28 -0.0163 14 0.0103 28 0.0112 28 0.1738 27 0.0859 28
28 Mandiri Investa UGM 0.0755 37 -0.0111 8 0.0076 40 0.0089 37 0.1056 35 0.0514 37
29 Manulife Dana Saham 0.1408 23 -0.0219 28 0.0103 29 0.0121 23 0.2067 21 0.1005 23
30 Manulife Saham Andalan 0.1437 22 -0.0221 29 0.0113 23 0.0123 22 0.2066 22 0.1021 22
31 Millenium Equity 0.0375 41 -0.0055 4 0.0055 41 0.0070 41 0.0545 41 0.0249 41
32 MNC Dana Ekuitas 0.3220 2 -0.0433 41 0.0214 2 0.0210 2 0.5763 2 0.2619 2
33 NISP Indeks Saham Progresif 0.0909 35 -0.0129 9 0.0082 36 0.0097 35 0.1290 33 0.0626 35
34 Panin Dana Maksima 0.3495 1 -0.0850 44 0.0229 1 0.0224 1 0.6756 1 0.2887 1
35 Panin Dana Prima 0.2670 4 -0.0454 42 0.0176 5 0.0183 4 0.4448 3 0.2079 4
36 Pratama Saham 0.0831 36 -0.0142 11 0.0102 31 0.0093 36 0.1178 34 0.0557 36
37 Rencana Cerdas 0.1349 25 -0.0190 20 0.0111 25 0.0118 25 0.1961 24 0.0953 25
38 Schroder Dana Istimewa 0.1673 11 -0.0245 36 0.0134 12 0.0134 11 0.2521 10 0.1205 11
39 Schroder Dana Prestasi Plus 0.1155 30 -0.0171 16 0.0096 34 0.0109 31 0.1667 29 0.0807 30
40 Schroder Indo Equity Fund 0.1593 13 -0.0234 34 0.0117 19 0.0130 14 0.2351 12 0.1149 13
41 Simas Danamas Saham -0.0214 42 0.0038 3 0.0025 42 0.0041 42 -0.0281 42 -0.0135 42
42 Syailendra Equity Opportunity 0.2790 3 -0.0513 43 0.0182 4 0.0189 3 0.4448 4 0.2191 3
43 TRIM Kapital 0.1941 5 -0.0270 40 0.0168 7 0.0148 5 0.2833 6 0.1416 5
44 TRIM Kapital Plus 0.1927 7 -0.0266 39 0.0173 6 0.0147 7 0.2723 7 0.1402 6
Average 0.1332 -0.0201 0.0114 0.0118 0.1975 0.0978
Source : Data proceed
94
Picture 4.7
Average Return of Performance Comparisons Monthly Equity Funds with
Six Model of Measurement Years January 2010 – December 2012
Source : Data Proceed
Table 4.6 presents a comparison Equity funds based on risk adjusted return
method, the Sharpe index, Treynor index, Jensen index, index Modigliani, Sortino
Index and EROV index. The results of calculations using Risk-Adjusted
measurement methods can be concluded that the performance superior is Panin
Dana Maksima fund with methods Sharpe, Jensen, Modigliani, Sortino, and
EROV, while Treynor method has poor performance. Sortino index is greater than
other ratios are Sharpe, EROV, Jensen, Modigliani,and Treynor has poor
performance.
The first rank Sharpe index occupied by Panin Dana Maksima with value
0.3495 Sharpe index. The second rank is MNC Dana Ekuitas of 0.3220 Sharpe
index. The third rank is Syailendra Equity Opportunity Fund with a value of
0.2790 Sharpe index.
95
P is the total risk that results from the amount of systematic risk and
unsystematic risk. If highly diversified portfolio, the total risk is similar to
systematic risk as close to zero unsistematic risk. it can also be called if the
portfolio with the market portfolio, the total risk equal to systematic risk or market
risk or can be called beta. therefore, the results of the Sharpe index will be equal
to the results of Treynor Index. (Manurung, 2007:150-151)
Research on risk adjusted return developed by Sharpe (1996) with the
formula (Rp-Rf) /P. Sharpe method states that the portfolio is not diversified.
Sharpe examines the performance of 34 mutual funds from 1954 to 1963 year.
The result is that most of the mutual funds examined have excess return to
variability is lower than the market return. That is, most of the investment
managers in this period have worse performance than the performance of the
market.(Manurung, 2007:160). In this study also have excess return is lower than
market (Benchmark). That show in this period study Investment Managers have
worse performance than the performance of the market (Benchmark).
Equity funds that have the highest value of Treynor Index is Lautandhana
Equity Opportunity with Treynor value 0.0175. In the table above, the value of
Treynor index have negative values almost all equity funds except Lautandhana
Equity Opportunity, Batavia Dana Saham Agro and Simas Danamas Saham
Funds. A equity fund that has a treynor value not equal with the value of Sharpe
indicates that the portfolio held by the mutual fund has not diversified. Treynor
index is relevant used to investors who invest their funds in various mutual funds,
96
or in a variety of portfolio diversification, so that unsystematic risk negligible on
performance measurement. Unsystematic risks caused by factors unique to the
securities, and can be eliminated by diversifying (Rodoni Ahmad, 2009:28). But
in this study the equity fund the portfolio is not diversified well.
Equity funds that have the highest value is Panin Dana Maksima Jensen
Index Equity Fund with an alpha value of 0.0229. The second rank is occupied by
the MNC Dana Ekuitas fund with an alpha value of 0.0214. And in third place is
occupied by Makinta Mantap fund with an alpha value of 0.0203. When viewed
as a whole Jensen index value has a positive value, the index is positive mean
return of the portfolio providing hope (is above the security market line) so it is a
good thing because the portfolio has a relatively high return to the level of
systematic risk (Tandelilin, 2010: 500).
Equity funds that have the highest value Modigliani Index is Panin Dana
Maksima with Modigliani index value of 0.0224. Equity fund that is in the second
position Modigliani Index is MNC Dana Ekuitas Fund with a value index of
0.0210. almost all of equity fund have positive monthly performance during the
period January 2009 to December 2011 with Modigliani method, it is shown that
the performance of mutual fund shares is higher than the performance of the
performance of SBI. The lowest value of modigliani is Batavia Dana Saham Agro.
The first rank sortino index occupied by Panin Dana Maksima with value
0.6756. The second rank is MNC Dana Ekuitas of 0.5763. The third rank is Panin
Dana Prima Fund with a value of 0.2790 Sharpe index. Almost all equity funds
97
have a positive monthly performance during the period January 2010 to December
2012 with Sortino method index, it is shown that the performance of equity funds
is good.
Equity funds which have the highest index value of EROV is Panin Dana
Maksima fund with a score of 0.2887. Equity funds in second place is MNC Dana
Ekuitas fund by EROV index with score 0.2619. Third place by Syailendra Equity
Opportunity fund with a score of 0.2191. Almost all equity funds have a positive
monthly performance during the period January 2010 to December 2012 with
EROV method index, it is shown that the performance of equity funds is good.
Khan (2010) regards research which concluded that the data model of
mutual fund performance measurement. Sharpe, Treynor and Jensen describe a
consistent assessment indicates that the funds have maximum performance than
its benchmark. Jensen positive results show that generated superior returns for
management expertise and superior performance. In that study, Sharpe, Treynor
and Jensen had positive results and outperformed its benchmark. In this study,
based on Risk Adjusted Return only Sharpe and Jensen have positive result but
Treynor has poor result performance.
Kuolis,et al (2011) This paper empirically examines the performance of
fifteen Greek mutual equity funds. The data on which this study was based is
monthly and refer to the period January, 2000 to December, 2008. The results
showed that the ranking of Sharpe and Treynor same calculation. But in this study
Sharpe and Treynor not same result and calculation.
98
Younes Ataie (2012) statements that the EROV ratio is significantly
greater than M3 measure and Sortino ratio and conclude a meaning full difference
exists between result of performance evaluation by using of EROV, Sortino and
M3 are not equal. In this study significant with Ataie (2012) result conclude a
meaning full difference exists between results of performance evaluation by using
Sharpe, Treynor, Jensen, Modigliani, Sortino, and EROV are not equal and based
on average return of six method performance model in this study Sortino ratio is
greater than others measures performance, esspecially better than EROV ratio.
Kolbadi (2009) This study on Examining Sharpe, Sortino, Sterling Ratio in
Portfolio Management, Evidence from Tehran Stock Exchange. The method used
in this study is the Sharpe, Sortino and Sterling Ratio to measure performance.
The results of that study there is a meaning full different between result of
performance evaluation by using Sterling, Sortino and Sharpe in investment
companies. This study has significant result of kolbadi (2009) study research, that
this study there is a meaning full different between result performance evaluation
by using Sharpe ratio, Treynor ratio, Jensen ratio, Modigliani ratio, Sortino ratio,
and Excess Return On VaR (EROV) Ratio.
4.4. Hypothesis Testing
Hypothesis testing is intended to determine differences the equity funds
return with the benchmark return. Comparisons difference return of equity funds
performance measurement model consistency equity funds as measured by six
99
performance measurement model are model Sharpe, Treynor, Jensen and
Modigliani, Sortino, EROV
4.4.1. Normality Test Data
This test is to determine whether our data were normally distributed or not.
a. Normality Test return of Equity funds with return of Benchmark
In this study, testing the normality of the data is done by using a test Two
Sample Kolmogorov-Smirnov. If the data are normally distributed test
(Probability > 0.05), then the data will be further tested using different test
statistical parametric independent sample t-test. Conversely, if the data are not
normally distributed, the data will be tested using non-parametric statistical
difference test Mann-Whitney Test. Here are the results of normality test data that
has been done can be seen in the following table
Table 4.9
Testing by Kolmogorov-Smirnov Return of Equity Funds and Return
Benchmark
Test Statisticsa
Return
Most Extreme Differences
Absolute ,841
Positive ,841
Negative -,159
Kolmogorov-Smirnov Z 3,944
Asymp. Sig. (2-tailed) ,000
a. Grouping Variable: Label
Source : Data Proceed
100
Seen from the table above, the above test for normality using
Kolmogorov-Smirnov Z can be seen that the equity funds return data with
benchmark returns are not normally distributed with. It can be seen with Asymp
value. Sig. (2-tailed) where values of 0.000 (Probability < 0,05). So H0 is rejected,
so as to further different test performed using non-parametric test of Mann-
Whitney.
b. Normality Test Performance Measurement Risk-Adjusted Method
In this study, testing the normality of the data is done by using test Two
Sample Kolmogorov-Smirnov. If the data are normally distributed tested
(Probability > 0.05), then the data will be further tested using different test
statistical parametric One Way ANOVA. Conversely, if the data are not normally
distributed then the data is tested using different test statistic Kruskal-Wallis non-
parametric. Here are the results of normality test data that has been done can be
seen in the following table.
Table 4.10
Kolmogorov-Smirnov Test Performance Measurement Model
Test Statisticsa
Return
Most Extreme Differences
Absolute ,432
Positive ,045
Negative -,432
Kolmogorov-Smirnov Z 2,025
Asymp. Sig. (2-tailed) ,001
a. Grouping Variable: model
Source : Data Proceed
101
Seen from the table above, the above test for normality using
Kolmogorov-Smirnov Z can be seen that the performance measurement model
data is not normally distributed. This can be determined by Asymp. Sig. (2-tailed)
where values of 0.000 (probability <0,05). So H0 is rejected, so as to further
consistency test using non-parametric test of Kruskall-Wallis.
4.4.2. Comparations Test Different Equity Funds Return with Benchmark
Return
This test is to determine whether there is a difference between equity funds
returns with benchmark return by using the Mann-Whitney test. As for the
calculation as the following table.
Table 4.11
Result of Mann-Whitney test
Test Statisticsa
Return
Mann-Whitney U 308,000
Wilcoxon W 1298,000
Z -5,888
Asymp. Sig. (2-tailed) ,000
a. Grouping Variable: Label
Source : Data Proceed
From the calculation obtained a value (Asymp. sig. 2-tailed) of 0.000. The
results of these calculations it can be concluded that H0 is rejected. Thus there are
differences between return of equity funds and return of benchmark. These
conditions suggests that investors should consider the risks level of each to invest
in equity funds or buy shares on the stock exchange because both produce
different returns. In this Study show the return of equity fund is cannot outperform
102
than return market or benchmark. That is, most of the investment managers in this
period have worse performance than the performance of the market.(Manurung,
2007:160)
4.4.3. Comparisons Test The Result of Performance of Equity Funds By
Measurement Model Index Sharpe, Treynor, Jensen, Modigliani,
Sortino, and EROV
This test is to determine whether the result of evaluation the performance
of equity funds throught Sharpe, Treynor, Jensen, Modigliani, Sortino, and EROV
measures are equal using the Kruskall-Wallis test. Decision-making Process are
following :
1. Hypothesis
H0 : The result of evaluating the performance of equity funds through
Sharpe, Treynor, Jensen, Modigliani, Sortino, and EROV measures are
equal.
H1 : The result of evaluating the performance of equity funds through
Sharpe, Treynor, Jensen, Modigliani, Sortino, and EROV measures are not
equal.
2. Significant level
= 0.05
3. Rejection Region
Reject the null Hypothesis (H0) if p-value < 0.0
103
4. Test Statistic
Table 4.12
Ranking Based Kruskall-Wallis
Ranks
Methods N Mean Rank
Return
Sharpe 44 190,82
Treynor 44 33,78
Jensen 44 93,44
Modigliani 44 97,90
Sortino 44 210,07
EROV 44 168,99
Total 264
Source: Data Proceed
Tabel 4.11
Hasil Uji Kruskall Wallis
Test Statisticsa,b
Performance
Chi-Square 189,305
Df 5
Asymp. Sig. ,000
a. Kruskal Wallis Test
b. Grouping Variable: metode
Source: Data Proceed
5. Decision
Since p-value = 0.000 < 0.05 = , we reject the null Hypotesis
104
Based on the results of the above table, by looking at the
probability of the column Asymp. Sig. 0000 is far below 0.05 then H0 is
rejected. Based on the Kruskal-wallis test this means that there are
differences in the consistency of the six models of equity fund
performance measurement or the result of evaluation the performace of
equity funds based Six methods model Sharpe, Treynor, Jensen,
Modigliani, Sortino, and EROV are not equal.
To conclude we can say there is a meaning full different between
result of performance evaluation by using Sharpe, Treynor, Jensen,
Modigliani, Sortino and EROV in Equity Fund. That significant with
previous research Kolbadi (2011) that study Examining Sharpe, Sortino,
and Sterling Ratio in Portfolio Management, Evidence from Tehran Stock
Exchange. The result there is a meaning full different between result of
performance evaluation by using Sterling, Sortino, and Sharpe in
investment companies. Ataie (2012) that study Evaluation Performance of
50 Top Companies Listed in Tehran Stock Exchange by Sortino, EROV,
and M3. The result there is a meaning full difference exists between result
of performance evaluation by using of EROV, Sortino, and M3 in sample
companies.
105
CHAPTER V
CONCLUSIONS AND IMPLICATIONS
5.1. Conclusions
This study was conducted try to measure and analyze the comparative evaluation of
the performance of equity funds using the method of Sharpe, Treynor, Jensen, Modigliani,
Sortino and EROV during the period January 2010 - December 2012. In this comparative
study was also conducted to test the performance of the Return of Equity funds with Return
of benchmarks or market performance as reflected by the JCI, with sample of 44 Equity
Funds in Indonesia. Based on the description theory, data processing, and the discussion in
the previous chapter, it can be concluded as follows:
1. The results analysis of Mann-Whitney test Analyze data compare the difference
between equity fund returns with benchmark returns, the overall return of 44
equity funds with return of benchmark (JCI) detect any difference or there are the
difference. It can be concluded that the return of equity fund is not equal with the
return of benchmark. Investing in equity fund has high level of risk to investors,
this is evidenced by average equity fund returns is underperform than (market)
benchmark.
2. The results analysis of Kruskall-wallis test analyze the result of evaluating the
performance of equity funds through Sharpe, Treynor, Jensen, Modigliani,
Sortino, and EROV measures are not equal. From the analysis proved that there
are differences between equity funds performance measurement models. The
results of calculations using Risk-Adjusted measurement methods can be
106
concluded that the performance superior is Panin Dana Maksima fund with
methods Sharpe, Jensen, Modigliani, Sortino, and EROV. while Treynor method
has poor performance. Generally based on average return performance six
methods model, Sortino ratio has greater performance than other measure
performance in this study.
5.2. Implication
1. For Next Researcher
The weakness in this study are the study period is relatively short, and only one type of
mutual fund is equity fund that is used. Recommendations for next reseacher to expand
period of reseach and using other types of mutual funds like money market fund, fixed
income fund, and Mixed fund and using other measurement performance to more
understanding the factors that influence performance of mutual fund especially in equity
fund.
2. For Investors
The need for understanding the risk behind that return obtained. The public needs to
understanding not just only see from the result of return also have to consider the level risk
that accompanies. For investors should more carefully in choosing a equity fund product,
because based on this research can be seen as an illustration of the performance of equity
funds in selecting equity funds can give better returns.
3. For Investment Managers
To consider the composition of the portfolio of stocks equity so as to produce a more
adequate and better return. Especially, measures with six indicators in this study and consider
diversification the portfolio based on total risk (systematic risk and unsystematic risk).
107
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APPENDIX I
Equity Funds to Study Sample
No. Equity Funds Investment Managers Custodian Bank
1 AXA Citradinamis PT AXA Asset Management Indonesia Deutsche Bank AG
2 Bahana Dana Prima PT Bahana TCW Investment Management Standard Chartered Bank
3 Batavia Dana Saham PT Batavia Prosperindo Aset Management Deutsche Bank AG
4 Batavia Dana Saham Agro PT Batavia Prosperindo Aset Management Deutsche Bank AG
5 Batavia Dana Saham Optimal PT Batavia Prosperindo Aset Management Deutsche Bank AG
6 BNI Dana Reksa Berkembang BNI Asset Management Bank CIMB Niaga
7 BNP Paribas Ekuitas PT BNP Paribas Investment Partners Deutsche Bank AG
8 BNP Paribas Infrastruktur Plus PT BNP Paribas Investment Partners Citybank AN
9 BNP Paribas Maxi Saham PT BNP Paribas Investment Partners Deutsche Bank AG
10 BNP Paribas Pesona PT BNP Paribas Investment Partners Deutsche Bank AG
11 BNP Paribas Solaris PT BNP Paribas Investment Partners Citybank AN
12 CIMB Principal Equity Aggresive PT CIMB Principal Asset Management Deutsche Bank AG
13 Dana Ekuitas Andalan PT Bahana TCW Investment Management Bank CIMB Niaga
14 Dana Ekuitas Prima PT Bahana TCW Investment Management Bank CIMB Niaga
15 Dana Pratama Ekuitas PT Bahana TCW Investment Management Bank CIMB Niaga
16 Dana Reksa Mawar PT Danareksa Investment Management Citybank AN
17 FS Indo Equity Value Select Fund PT First State Investment Indonesia Deutsche Bank AG
18 FS Indo Equity Dividen Yield Fund PT First State Investment Indonesia Hongkong and Shanghai Banking Corp.
19 FS Indo Equity Sectoral Fund PT First State Investment Indonesia Deutsche Bank AG
20 FS Indo Equity Peka Fund PT First State Investment Indonesia Citybank AN
21 GMT Dana Ekuitas PT GMT Asset Management Deutsche Bank AG
22 Grow-2-Prosper PT Corfina Capital Deutsche Bank AG
23 Lautandhana Equity PT Lautandhana Investment Management Bank CIMB Niaga
24 Lautandhana Equity Progresif PT Lautandhana Investment Management Bank CIMB Niaga
25 TRIM KAPITAL PLUS PT Trimegah Asset Management Bank CIMB Niaga
26 Makinta Growth Fund PT Emco Asset Management Bank CIMB Niaga
27 Makinta Mantap PT Emco Asset Management Bank CIMB Niaga
No. Equity Funds Investment Managers Custodian Bank
28 Mandiri Investa Attraktif PT Mandiri Manajemen Investasi Deutsche Bank AG
29 Mandiri Investa UGM PT Mandiri Management Investasi Deutsche Bank AG
30 Manulife Dana Saham PT Manulife Aset Manajemen Indonesia Deutsche Bank AG
31 Manulife Saham Andalan PT Manulife Aset Manajemen Indonesia The Hongkong And Shanghai Banking Corp.
32 Millenium Equity PT Millenium Danatama Indonesia Bank CIMB Niaga
33 MNC Dana Ekuitas PT MNC Asset Management Bank Rakyat Indonesia (PERSERO)
34 NISP Indeks Saham Progresif PT NISP Asset Management Deutsche Bank AG
35 Panin Dana Maksima PT Panin Asset Managment Deutsche Bank AG
36 Panin Dana Prima PT Panin Asset Managment Bank Central Asia
37 Pratama Saham PT Pratama Capital Asset Deutsche Bank AG
38 Rencana Cerdas PT Ciptadana Asset Management Deutsche Bank AG
39 Schroder Dana Istimewa PT Schroder Investment Management Deutsche Bank AG
40 Schroder Dana Prestasi Plus PT Schroder Investment Management Deutsche Bank AG
41 Schroder Indo Equity Fund PT Schroder Investment Management Bank Permata
42 Simas Danamas Saham PT Sinarmas Asset Management Bank CIMB Niaga
43 Syailendra Equity Opportunity PT Syailendra Capital Deutsche Bank AG
44 TRIM Kapital PT Trimegah Asset Management Bank CIMB Niaga
APPENDIX 2
Descriptive Statistic Equity Funds
MUTUAL FUNDS Return
(%)
Rf (BI
Rate)
(%)
Rm
(IHSG)
(%)
Excess Return Standard
deviation Beta Downside Risk
VaR
(%) Rank (%) Rank (%) Rank
AXA CitraDinamis 0.0106 0.0052 0.0164 0.0054 34 0.0496 38 -0.3893 0.0352 27 0.0712
Bahana Dana Prima 0.0122 0.0052 0.0164 0.0070 24 0.0519 26 -0.3683 0.0357 24 0.0734
Batavia Dana Saham 0.0111 0.0052 0.0164 0.0059 31 0.0526 23 -0.3879 0.1066 3 0.0757
Batavia Dana Saham Agro -0.0029 0.0052 0.0164 -0.0081 43 0.0664 4 -0.5020 0.0538 5 0.1125
Batavia Dana Saham Optimal 0.0144 0.0052 0.0164 0.0092 10 0.0542 18 -0.3838 0.1136 2 0.0750
BNI Reksa Dana Berkembang 0.0114 0.0052 0.0164 0.0062 29 0.0539 19 -0.3122 0.0389 14 0.0775
BNP Paribas Ekuitas 0.0137 0.0052 0.0164 0.0085 14 0.0508 31 -0.3845 0.0345 32 0.0699
BNP Paribas Infrastruktur Plus 0.0123 0.0052 0.0164 0.0071 23 0.0543 17 -0.3946 0.0371 19 0.0759
BNP Paribas Maxi Saham 0.0127 0.0052 0.0164 0.0075 20 0.0555 14 -0.4030 0.0388 15 0.0793
BNP Paribas Pesona 0.0139 0.0052 0.0164 0.0087 13 0.0509 30 -0.3715 0.0346 31 0.0713
BNP Paribas Solaris 0.0154 0.0052 0.0164 0.0102 8 0.0559 13 -0.4024 0.0385 17 0.0768
CIMB Principal Equity Aggressive 0.0087 0.0052 0.0164 0.0035 39 0.0489 41 -0.3796 0.0349 29 0.0720
Dana Ekuitas Andalan 0.0105 0.0052 0.0164 0.0053 35 0.0516 28 -0.3356 0.0362 22 0.0746
Dana Ekuitas Prima 0.0137 0.0052 0.0164 0.0085 15 0.0554 15 -0.3769 0.0385 18 0.0777
Dana Pratama Ekuitas 0.0088 0.0052 0.0164 0.0036 38 0.0640 5 -0.3946 0.0460 8 0.0968
Dana Reksa Mawar 0.0128 0.0052 0.0164 0.0076 18 0.0512 29 -0.3840 0.0326 41 0.0717
FS Indo Equity Value Select Fund 0.0118 0.0052 0.0164 0.0066 28 0.0506 32 -0.3964 0.0353 26 0.0717
FS Indo Eqty Dividen Yield Fund 0.0128 0.0052 0.0164 0.0076 19 0.0492 40 -0.3559 0.0339 36 0.0684
FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0164 0.0074 22 0.0499 35 -0.3725 0.0344 33 0.0697
FS Indo Equity Peka Fund 0.0134 0.0052 0.0164 0.0082 16 0.0498 37 -0.3677 0.0342 34 0.0688
GMT Dana Ekuitas 0.0143 0.0052 0.0164 0.0091 12 0.0573 12 -0.4869 0.0391 13 0.0802
Grow-2-Prosper 0.0121 0.0052 0.0164 0.0069 26 0.0576 11 -0.3153 0.4020 1 0.0829
Lautandhana Equity 0.0084 0.0052 0.0164 0.0032 40 0.0523 24 -0.3917 0.0387 16 0.0779
Lautandhana Equity Progresif -0.0029 0.0052 0.0164 -0.0081 44 0.0749 1 -0.4620 0.0680 4 0.1265
Makinta Growth Fund 0.0146 0.0052 0.0164 0.0094 9 0.0633 6 -0.3577 0.0429 11 0.0898
Makinta Mantap 0.0189 0.0052 0.0164 0.0137 5 0.0711 2 -0.5879 0.0452 9 0.0984
Mandiri Investa Attraktif 0.0113 0.0052 0.0164 0.0061 30 0.0499 36 -0.3739 0.0351 28 0.0710
Mandiri Investa UGM 0.0090 0.0052 0.0164 0.0038 37 0.0503 33 -0.3422 0.0360 23 0.0740
Manulife Dana Saham 0.0120 0.0052 0.0164 0.0068 27 0.0483 43 -0.3112 0.0329 40 0.0677
Manulife Saham Andalan 0.0127 0.0052 0.0164 0.0075 21 0.0522 25 -0.3399 0.0363 21 0.0734
Millenium Equity 0.0070 0.0052 0.0164 0.0018 41 0.0480 44 -0.3266 0.0330 39 0.0722
MNC Dana Ekuitas 0.0222 0.0052 0.0164 0.0170 2 0.0528 21 -0.3930 0.0295 44 0.0649
NISP Indeks Saham Progresif 0.0096 0.0052 0.0164 0.0044 36 0.0484 42 -0.3403 0.0341 35 0.0703
Panin Dana Maksima 0.0254 0.0052 0.0164 0.0202 1 0.0578 10 -0.2376 0.0299 43 0.0700
Panin Dana Prima 0.0193 0.0052 0.0164 0.0141 4 0.0528 22 -0.3103 0.0317 42 0.0678
Pratama Saham 0.0109 0.0052 0.0164 0.0057 33 0.0686 3 -0.4026 0.0484 6 0.1023
Rencana Cerdas 0.0122 0.0052 0.0164 0.0070 25 0.0519 27 -0.3683 0.0357 25 0.0734
Schroder Dana Istimewa 0.0144 0.0052 0.0164 0.0092 11 0.0550 16 -0.3755 0.0365 20 0.0764
Schroder Dana Prestasi Plus 0.0110 0.0052 0.0164 0.0058 32 0.0502 34 -0.3398 0.0348 30 0.0718
Schroder Indo Equity Fund 0.0131 0.0052 0.0164 0.0079 17 0.0496 39 -0.3381 0.0336 37 0.0687
Simas Danamas Saham 0.0039 0.0052 0.0164 -0.0013 42 0.0608 9 -0.3406 0.0463 7 0.0964
Syailendra Equity Opportunity 0.0201 0.0052 0.0164 0.0149 3 0.0534 20 -0.2903 0.0335 38 0.0680
TRIM Kapital 0.0171 0.0052 0.0164 0.0119 7 0.0613 8 -0.4400 0.0420 12 0.0840
TRIM Kapital Plus 0.0174 0.0052 0.0164 0.0122 6 0.0633 7 -0.4594 0.0448 10 0.0870
APPENDIX 3
Performance Comparisons Monthly Equity Funds with Six Model of Measurement
Years January 2010 – December 2012
No Equity Funds Sharpe Rank Treynor Rank Jensen Rank M2 Rank Sortino Rank EROV Rank
1 AXA CitraDinamis 0.1089 33 -0.0139 10 0.0098 32 0.0106 33 0.1534 31 0.0758 33
2 Bahana Dana Prima 0.1349 24 -0.0190 19 0.0111 24 0.0118 24 0.1961 23 0.0953 24
3 Batavia Dana Saham 0.1122 32 -0.0152 12 0.0102 30 0.0107 32 0.0553 40 0.0779 32
4 Batavia Dana Saham Agro -0.1220 44 0.0161 2 -0.0025 43 -0.0008 44 -0.1506 44 -0.0720 44
5 Batavia Dana Saham Optimal 0.1697 10 -0.0240 35 0.0135 10 0.0136 9 0.0810 38 0.1226 10
6 BNI Reksa Dana Berkembang 0.1150 31 -0.0199 22 0.0097 33 0.0109 30 0.1594 30 0.0800 31
7 BNP Paribas Ekuitas 0.1565 15 -0.0226 31 0.0130 13 0.0136 10 0.2522 9 0.1244 9
8 BNP Paribas Infrastruktur Plus 0.1279 27 -0.0215 26 0.0129 14 0.0129 15 0.2291 15 0.1120 15
9 BNP Paribas Maxi Saham 0.1473 21 -0.0176 17 0.0116 20 0.0115 27 0.1830 26 0.0896 27
10 BNP Paribas Pesona 0.1713 9 -0.0202 24 0.0117 18 0.0124 21 0.2168 19 0.1052 20
11 BNP Paribas Solaris 0.1825 8 -0.0253 37 0.0147 8 0.0142 8 0.2649 8 0.1328 8
12 CIMB Principal Equity Aggressive 0.0716 38 -0.0092 7 0.0078 38 0.0087 38 0.1003 36 0.0486 38
13 Dana Ekuitas Andalan 0.1027 34 -0.0158 13 0.0091 35 0.0103 34 0.1464 32 0.0710 34
14 Dana Ekuitas Prima 0.1534 17 -0.0226 32 0.0127 15 0.0127 17 0.2208 17 0.1094 17
15 Dana Pratama Ekuitas 0.0563 40 -0.0091 6 0.0080 37 0.0080 40 0.0783 39 0.0372 40
16 Dana Reksa Mawar 0.1484 19 -0.0198 21 0.0119 17 0.0125 18 0.2331 13 0.1060 19
17 FS Indo Equity Value Select Fund 0.1304 26 -0.0166 15 0.0110 26 0.0116 26 0.1870 25 0.0921 26
18 FS Indo Eqty Dividen Yield Fund 0.1545 16 -0.0214 25 0.0116 21 0.0128 16 0.2242 16 0.1111 16
19 FS Indo Equity Sectoral Fund 0.1483 20 -0.0199 23 0.0116 22 0.0125 19 0.2151 20 0.1061 18
20 FS Indo Equity Peka Fund 0.1647 12 -0.0223 30 0.0123 16 0.0133 12 0.2398 11 0.1192 12
21 GMT Dana Ekuitas 0.1588 14 -0.0187 18 0.0146 9 0.0130 13 0.2327 14 0.1134 14
22 Grow-2-Prosper 0.1198 29 -0.0219 27 0.0104 27 0.0111 29 0.1716 28 0.0832 29
23 Lautandhana Equity 0.0612 39 -0.0082 5 0.0076 39 0.0082 39 0.0827 37 0.0411 39
24 Lautandhana Equity Progresif -0.1081 43 0.0175 1 -0.0029 44 -0.0001 43 -0.1191 43 -0.0640 43
25 Makinta Growth Fund 0.1485 18 -0.0263 38 0.0134 11 0.0125 20 0.2191 18 0.1046 21
26 Makinta Mantap 0.1927 6 -0.0233 33 0.0203 3 0.0147 6 0.3031 5 0.1392 7
27 Mandiri Investa Attraktif 0.1222 28 -0.0163 14 0.0103 28 0.0112 28 0.1738 27 0.0859 28
28 Mandiri Investa UGM 0.0755 37 -0.0111 8 0.0076 40 0.0089 37 0.1056 35 0.0514 37
29 Manulife Dana Saham 0.1408 23 -0.0219 28 0.0103 29 0.0121 23 0.2067 21 0.1005 23
30 Manulife Saham Andalan 0.1437 22 -0.0221 29 0.0113 23 0.0123 22 0.2066 22 0.1021 22
31 Millenium Equity 0.0375 41 -0.0055 4 0.0055 41 0.0070 41 0.0545 41 0.0249 41
32 MNC Dana Ekuitas 0.3220 2 -0.0433 41 0.0214 2 0.0210 2 0.5763 2 0.2619 2
33 NISP Indeks Saham Progresif 0.0909 35 -0.0129 9 0.0082 36 0.0097 35 0.1290 33 0.0626 35
34 Panin Dana Maksima 0.3495 1 -0.0850 44 0.0229 1 0.0224 1 0.6756 1 0.2887 1
35 Panin Dana Prima 0.2670 4 -0.0454 42 0.0176 5 0.0183 4 0.4448 3 0.2079 4
36 Pratama Saham 0.0831 36 -0.0142 11 0.0102 31 0.0093 36 0.1178 34 0.0557 36
37 Rencana Cerdas 0.1349 25 -0.0190 20 0.0111 25 0.0118 25 0.1961 24 0.0953 25
38 Schroder Dana Istimewa 0.1673 11 -0.0245 36 0.0134 12 0.0134 11 0.2521 10 0.1205 11
39 Schroder Dana Prestasi Plus 0.1155 30 -0.0171 16 0.0096 34 0.0109 31 0.1667 29 0.0807 30
40 Schroder Indo Equity Fund 0.1593 13 -0.0234 34 0.0117 19 0.0130 14 0.2351 12 0.1149 13
41 Simas Danamas Saham -0.0214 42 0.0038 3 0.0025 42 0.0041 42 -0.0281 42 -0.0135 42
42 Syailendra Equity Opportunity 0.2790 3 -0.0513 43 0.0182 4 0.0189 3 0.4448 4 0.2191 3
43 TRIM Kapital 0.1941 5 -0.0270 40 0.0168 7 0.0148 5 0.2833 6 0.1416 5
44 TRIM Kapital Plus 0.1927 7 -0.0266 39 0.0173 6 0.0147 7 0.2723 7 0.1402 6
Average 0.1332 -0.0201 0.0114 0.0118 0.1975 0.0978
APPENDIX 4
Risk-Adjusted Methods Six Indicator
Sharpe Ratio Method
No Reksa Dana Return
(%)
Rf
(BI Rate)
(%)
Excess
Return
Standard
Deviation Sharpe Ranking
1 AXA CitraDinamis 0.0106 0.0052 0.0054 0.0496 0.1089 33
2 Bahana Dana Prima 0.0122 0.0052 0.0070 0.0519 0.1349 24
3 Batavia Dana Saham 0.0111 0.0052 0.0059 0.0526 0.1122 32
4 Batavia Dana Saham Agro -0.0029 0.0052 -0.0081 0.0664 -0.1220 44
5 Batavia Dana Saham Optimal 0.0144 0.0052 0.0092 0.0542 0.1697 10
6 BNI Reksa Dana Berkembang 0.0114 0.0052 0.0062 0.0539 0.1150 31
7 BNP Paribas Ekuitas 0.0139 0.0052 0.0087 0.0508 0.1713 9
8 BNP Paribas infrastruktur plus 0.0137 0.0052 0.0085 0.0543 0.1565 15
9 BNP Paribas Maxi Saham 0.0123 0.0052 0.0071 0.0555 0.1279 27
10 BNP Paribas Pesona 0.0127 0.0052 0.0075 0.0509 0.1473 21
11 BNP Paribas Solaris 0.0154 0.0052 0.0102 0.0559 0.1825 8
12 CIMB Principal Equity Aggressive 0.0087 0.0052 0.0035 0.0489 0.0716 38
13 Dana Ekuitas Andalan 0.0105 0.0052 0.0053 0.0516 0.1027 34
14 Dana Ekuitas Prima 0.0137 0.0052 0.0085 0.0554 0.1534 17
15 Dana Pratama Ekuitas 0.0088 0.0052 0.0036 0.0640 0.0563 40
16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0512 0.1484 19
17 FS Indo Equity Value Select Fund 0.0118 0.0052 0.0066 0.0506 0.1304 26
18 FS Indo Eqty Dividen Yield Fund 0.0128 0.0052 0.0076 0.0492 0.1545 16
19 FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0074 0.0499 0.1483 20
20 FS Indo Equity Peka Fund 0.0134 0.0052 0.0082 0.0498 0.1647 12
21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0573 0.1588 14
22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0576 0.1198 29
23 Lautandhana Equity 0.0084 0.0052 0.0032 0.0523 0.0612 39
24 Lautandhana Equity Progresif -0.0029 0.0052 -0.0081 0.0749 -0.1081 43
25 Makinta Growth Fund 0.0146 0.0052 0.0094 0.0633 0.1485 18
26 Makinta Mantap 0.0189 0.0052 0.0137 0.0711 0.1927 6
27 Mandiri Investa Attraktif 0.0113 0.0052 0.0061 0.0499 0.1222 28
28 Mandiri Investa UGM 0.0090 0.0052 0.0038 0.0503 0.0755 37
29 Manulife Dana Saham 0.0120 0.0052 0.0068 0.0483 0.1408 23
30 Manulife Saham Andalan 0.0127 0.0052 0.0075 0.0522 0.1437 22
31 Millenium Equity 0.0070 0.0052 0.0018 0.0480 0.0375 41
32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0528 0.3220 2
33 NISP Indeks Saham Progresif 0.0096 0.0052 0.0044 0.0484 0.0909 35
34 Panin Dana Maksima 0.0254 0.0052 0.0202 0.0578 0.3495 1
35 Panin Dana Prima 0.0193 0.0052 0.0141 0.0528 0.2670 4
36 Pratama Saham 0.0109 0.0052 0.0057 0.0686 0.0831 36
37 Rencana Cerdas 0.0122 0.0052 0.0070 0.0519 0.1349 25
38 Schroder Dana Istimewa 0.0144 0.0052 0.0092 0.0550 0.1673 11
39 Schroder Dana Prestasi Plus 0.0110 0.0052 0.0058 0.0502 0.1155 30
40 Schroder Indo Equity Fund 0.0131 0.0052 0.0079 0.0496 0.1593 13
41 Simas Danamas Saham 0.0039 0.0052 -0.0013 0.0608 -0.0214 42
42 Syailendra Equity Opportunity 0.0201 0.0052 0.0149 0.0534 0.2790 3
43 TRIM Kapital 0.0171 0.0052 0.0119 0.0613 0.1941 5
44 TRIM Kapital Plus 0.0174 0.0052 0.0122 0.0633 0.1927 7
45 Market 0.0124 1.0052 0.0072 0.0549 0.1332
Treynor Ratio Method
No. Reksa Dana Return
(%)
Rf
(BI Rate)
(%)
Excess
Return Beta Treynor Ranking
1 AXA Citradinamis 0.0106 0.0052 0.0054 -0.3893 -0.0139 10
2 Bahana Dana Prima 0.0122 0.0052 0.0070 -0.3683 -0.0190 19
3 Batavia Dana Saham 0.0111 0.0052 0.0059 -0.3879 -0.0152 12
4 Batavia Dana Saham Agro -0.0029 0.0052 -0.0081 -0.5020 0.0161 2
5 Batavia Dana Saham Optimal 0.0144 0.0052 0.0092 -0.3838 -0.0240 35
6 BNI Reksa Dana Berkembang 0.0114 0.0052 0.0062 -0.3122 -0.0199 22
7 BNP Paribaa Pesona 0.0139 0.0052 0.0087 -0.3845 -0.0226 32
8 BNP Paribas Ekuitas 0.0137 0.0052 0.0085 -0.3946 -0.0215 26
9 BNP Paribas Infrastruktur Plus 0.0123 0.0052 0.0071 -0.4030 -0.0176 17
10 BNP Paribas Maxi Saham 0.0127 0.0052 0.0075 -0.3715 -0.0202 24
11 BNP Paribas Solaris 0.0154 0.0052 0.0102 -0.4024 -0.0253 37
12 CIMB Principal Equity Aggressive 0.0087 0.0052 0.0035 -0.3796 -0.0092 7
13 Dana Ekuitas Andalan 0.0105 0.0052 0.0053 -0.3356 -0.0158 13
14 Dana ekuitas Prima 0.0137 0.0052 0.0085 -0.3769 -0.0226 31
15 Dana Pratama Ekuitas 0.0088 0.0052 0.0036 -0.3946 -0.0091 6
16 Dana Reksa Mawar 0.0128 0.0052 0.0076 -0.3840 -0.0198 21
17 FS Indo Equity Value Select Fund 0.0118 0.0052 0.0066 -0.3964 -0.0166 15
18 FS Indo Equity Deviden Yield fund 0.0128 0.0052 0.0076 -0.3559 -0.0214 25
19 FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0074 -0.3725 -0.0199 23
20 FS Indoequity Peka Fund 0.0134 0.0052 0.0082 -0.3677 -0.0223 30
21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 -0.4869 -0.0187 18
22 Grow-2-Prosper 0.0121 0.0052 0.0069 -0.3153 -0.0219 28
23 Lautandhana Equity 0.0084 0.0052 0.0032 -0.3917 -0.0082 5
24 Lautandhana Equity Progresif -0.0029 0.0052 -0.0081 -0.4620 0.0175 1
25 Makinta Growth Fund 0.0146 0.0052 0.0094 -0.3577 -0.0263 38
26 Makinta Mantap 0.0189 0.0052 0.0137 -0.5879 -0.0233 33
27 Mandiri Investa Attraktif 0.0113 0.0052 0.0061 -0.3739 -0.0163 14
28 Mandiri Investa UGM 0.0090 0.0052 0.0038 -0.3422 -0.0111 8
29 Manulife Dana Saham 0.0120 0.0052 0.0068 -0.3112 -0.0219 27
30 Manulife Saham Andalan 0.0127 0.0052 0.0075 -0.3399 -0.0221 29
31 Millenium Equity 0.0070 0.0052 0.0018 -0.3266 -0.0055 4
32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 -0.3930 -0.0433 41
33 NISP Indeks Saham Progresif 0.0096 0.0052 0.0044 -0.3403 -0.0129 9
34 Panin Dana Maksima 0.0254 0.0052 0.0202 -0.2376 -0.0850 44
35 Panin Dana Prima 0.0193 0.0052 0.0141 -0.3103 -0.0454 42
36 Pratama Saham 0.0109 0.0052 0.0057 -0.4026 -0.0142 11
37 Rencana Cerdas 0.0122 0.0052 0.0070 -0.3683 -0.0190 20
38 Schroder Dana Istimewa 0.0144 0.0052 0.0092 -0.3755 -0.0245 36
39 Schroder Dana Prestasi Plus 0.0110 0.0052 0.0058 -0.3398 -0.0171 16
40 Schroder Indo Equity Fund 0.0131 0.0052 0.0079 -0.3381 -0.0234 34
41 Simas Danamas Saham 0.0039 0.0052 -0.0013 -0.3406 0.0038 3
42 Syailendra Equity Opportunity 0.0201 0.0052 0.0149 -0.2903 -0.0513 43
43 TRIM Kapital 0.0171 0.0052 0.0119 -0.4400 -0.0270 40
44 TRIM Kapital Plus 0.0174 0.0052 0.0122 -0.4594 -0.0266 39
Jensen Ratio Method
No. Reksa Dana Return
(%)
Rf
(BI Rate)
(%)
Excess
Return Rm-Rf Beta Jensen Ranking
1 AXA CitraDinamis 0.0106 0.0052 0.0054 0.0112 -0.3893 0.0098 32
2 Bahana Dana Prima 0.0122 0.0052 0.0070 0.0112 -0.3683 0.0111 24
3 Batavia Dana Saham 0.0111 0.0052 0.0059 0.0112 -0.3879 0.0102 30
4 Batavia Dana Saham Agro -0.0029 0.0052 -0.0081 0.0112 -0.5020 -0.0025 43
5 Batavia Dana Saham Optimal 0.0144 0.0052 0.0092 0.0112 -0.3838 0.0135 10
6 BNI Reksa Dana Berkembang 0.0114 0.0052 0.0062 0.0112 -0.3122 0.0097 33
7 BNP Paribas Ekuitas 0.0139 0.0052 0.0087 0.0112 -0.3845 0.0130 13
8 BNP Paribas Infrastruktur Plus 0.0137 0.0052 0.0085 0.0112 -0.3946 0.0129 14
9 BNP Paribas Maxi Saham 0.0123 0.0052 0.0071 0.0112 -0.4030 0.0116 20
10 BNP Paribas Pesona 0.0127 0.0052 0.0075 0.0112 -0.3715 0.0117 19
11 BNP Paribas Solaris 0.0154 0.0052 0.0102 0.0112 -0.4024 0.0147 8
12 CIMB Principal Equity Aggressive 0.0087 0.0052 0.0035 0.0112 -0.3796 0.0078 38
13 Dana Ekuitas Andalan 0.0105 0.0052 0.0053 0.0112 -0.3356 0.0091 35
14 Dana Ekuitas Prima 0.0137 0.0052 0.0085 0.0112 -0.3769 0.0127 15
15 Dana Pratama Ekuitas 0.0088 0.0052 0.0036 0.0112 -0.3946 0.0080 37
16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0112 -0.3840 0.0119 17
17 FS Indo Equity Value Select Fund 0.0118 0.0052 0.0066 0.0112 -0.3964 0.0110 26
18 FS Indo Eqty Dividen Yield Fund 0.0128 0.0052 0.0076 0.0112 -0.3559 0.0116 21
19 FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0074 0.0112 -0.3725 0.0116 22
20 FS Indo Equity Peka Fund 0.0134 0.0052 0.0082 0.0112 -0.3677 0.0123 16
21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0112 -0.4869 0.0146 9
22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0112 -0.3153 0.0104 27
23 Lautandhana Equity 0.0084 0.0052 0.0032 0.0112 -0.3917 0.0076 40
24 Lautandhana Equity Progresif -0.0029 0.0052 -0.0081 0.0112 -0.4620 -0.0029 44
25 Makinta Growth Fund 0.0146 0.0052 0.0094 0.0112 -0.3577 0.0134 11
26 Makinta Mantap 0.0189 0.0052 0.0137 0.0112 -0.5879 0.0203 3
27 Mandiri Investa Attraktif 0.0113 0.0052 0.0061 0.0112 -0.3739 0.0103 28
28 Mandiri Investa UGM 0.0090 0.0052 0.0038 0.0112 -0.3422 0.0076 39
29 Manulife Dana Saham 0.0120 0.0052 0.0068 0.0112 -0.3112 0.0103 29
30 Manulife Saham Andalan 0.0127 0.0052 0.0075 0.0112 -0.3399 0.0113 23
31 Millenium Equity 0.0070 0.0052 0.0018 0.0112 -0.3266 0.0055 41
32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0112 -0.3930 0.0214 2
33 NISP Indeks Saham Progresif 0.0096 0.0052 0.0044 0.0112 -0.3403 0.0082 36
34 Panin Dana Maksima 0.0254 0.0052 0.0202 0.0112 -0.2376 0.0229 1
35 Panin Dana Pima 0.0193 0.0052 0.0141 0.0112 -0.3103 0.0176 5
36 Pratama Saham 0.0109 0.0052 0.0057 0.0112 -0.4026 0.0102 31
37 Rencana Cerdas 0.0122 0.0052 0.0070 0.0112 -0.3683 0.0111 25
38 Schroder Dana Istimewa 0.0144 0.0052 0.0092 0.0112 -0.3755 0.0134 12
39 Schroder Dana Prestasi Plus 0.0110 0.0052 0.0058 0.0112 -0.3398 0.0096 34
40 Schroder Indo Equity Fund 0.0131 0.0052 0.0079 0.0112 -0.3381 0.0117 18
41 Simas Danamas Saham 0.0039 0.0052 -0.0013 0.0112 -0.3406 0.0025 42
42 Syailendra Equity Opportunity 0.0201 0.0052 0.0149 0.0112 -0.2903 0.0182 4
43 TRIM Kapital 0.0171 0.0052 0.0119 0.0112 -0.4400 0.0168 7
44 TRIM Kapital Plus 0.0174 0.0052 0.0122 0.0112 -0.4594 0.0173 6
Market 0.0164 0.0052 0.0112 0.0112 1 0
Modigliani Ratio Method
No. Equity Funds Return
(%)
Rf
(BI Rate)
(%)
Excess
Return
Standard
Deviation
Stdev
Market Modigliani Ranking
1 AXA CitraDinamis 0.0106 0.0052 0.0053 0.0496 0.0492 0.0105 33
2 Bahana Dana Prima 0.0122 0.0052 0.0070 0.0519 0.0492 0.0118 24
3 Batavia Dana Saham 0.0111 0.0052 0.0058 0.0526 0.0492 0.0106 32
4 Batavia Dana Saham Agro -0.0029 0.0052 -0.0081 0.0664 0.0492 -0.0008 44
5 Batavia Dana Saham Optimal 0.0144 0.0052 0.0092 0.0542 0.0492 0.0136 10
6 BNI Reksa Dana Berkembang 0.0114 0.0052 0.0062 0.0539 0.0492 0.0109 31
7 BNP Paribas Ekuitas 0.0139 0.0052 0.0087 0.0508 0.0492 0.0136 9
8 BNP Paribas infrastruktur plus 0.0137 0.0052 0.0084 0.0543 0.0492 0.0128 15
9 BNP Paribas Maxi Saham 0.0123 0.0052 0.0070 0.0555 0.0492 0.0114 27
10 BNP Paribas Pesona 0.0127 0.0052 0.0075 0.0509 0.0492 0.0124 21
11 BNP Paribas Solaris 0.0154 0.0052 0.0101 0.0559 0.0492 0.0141 8
12 CIMB Principal Equity Aggressive 0.0087 0.0052 0.0034 0.0489 0.0492 0.0086 38
13 Dana Ekuitas Andalan 0.0105 0.0052 0.0053 0.0516 0.0492 0.0103 34
14 Dana Ekuitas Prima 0.0137 0.0052 0.0084 0.0554 0.0492 0.0127 17
15 Dana Pratama Ekuitas 0.0088 0.0052 0.0035 0.0640 0.0492 0.0079 40
16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0512 0.0492 0.0125 19
17 FS Indo Equity Value Select Fund 0.0118 0.0052 0.0065 0.0506 0.0492 0.0115 26
18 FS Indo Eqty Dividen Yield Fund 0.0128 0.0052 0.0075 0.0492 0.0492 0.0127 16
19 FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0074 0.0499 0.0492 0.0125 20
20 FS Indo Equity Peka Fund 0.0134 0.0052 0.0081 0.0498 0.0492 0.0132 12
21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0573 0.0492 0.0130 14
22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0576 0.0492 0.0111 29
23 Lautandhana Equity 0.0084 0.0052 0.0031 0.0523 0.0492 0.0081 39
24 Lautandhana Equity Progresif -0.0029 0.0052 -0.0081 0.0749 0.0492 -0.0001 43
25 Makinta Growth Fund 0.0146 0.0052 0.0094 0.0633 0.0492 0.0125 18
26 Makinta Mantap 0.0189 0.0052 0.0136 0.0711 0.0492 0.0146 6
27 Mandiri Investa Attraktif 0.0113 0.0052 0.0061 0.0499 0.0492 0.0112 28
28 Mandiri Investa UGM 0.0090 0.0052 0.0038 0.0503 0.0492 0.0089 37
29 Manulife Dana Saham 0.0120 0.0052 0.0068 0.0483 0.0492 0.0121 23
30 Manulife Saham Andalan 0.0127 0.0052 0.0075 0.0522 0.0492 0.0123 22
31 Millenium Equity 0.0070 0.0052 0.0017 0.0480 0.0492 0.0069 41
32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0528 0.0492 0.0210 2
33 NISP Indeks Saham Progresif 0.0096 0.0052 0.0043 0.0484 0.0492 0.0096 35
34 Panin Dana Maksima 0.0254 0.0052 0.0201 0.0578 0.0492 0.0223 1
35 Panin Dana Prima 0.0193 0.0052 0.0141 0.0528 0.0492 0.0183 4
36 Pratama Saham 0.0109 0.0052 0.0057 0.0686 0.0492 0.0093 36
37 Rencana Cerdas 0.0122 0.0052 0.0070 0.0519 0.0492 0.0118 25
38 Schroder Dana Istimewa 0.0144 0.0052 0.0092 0.0550 0.0492 0.0134 11
39 Schroder Dana Prestasi Plus 0.0110 0.0052 0.0058 0.0502 0.0492 0.0109 30
40 Schroder Indo Equity Fund 0.0131 0.0052 0.0079 0.0496 0.0492 0.0130 13
41 Simas Danamas Saham 0.0039 0.0052 -0.0014 0.0608 0.0492 0.0041 42
42 Syailendra Equity Opportunity 0.0201 0.0052 0.0148 0.0534 0.0492 0.0188 3
43 TRIM Kapital 0.0171 0.0052 0.0119 0.0613 0.0492 0.0148 5
44 TRIM Kapital Plus 0.0174 0.0052 0.0121 0.0633 0.0492 0.0146 7
Sortino Ratio Method
No. Equity Funds Return
(%)
Rf
(BI Rate)
(%)
Excess
Return
Downside
Risk Sortino Ranking
1 AXA CitraDinamis 0.0106 0.0052 0.0054 0.0352 0.1534 31
2 Bahana Dana Prima 0.0122 0.0052 0.0070 0.0357 0.1961 23
3 Batavia Dana Saham 0.0111 0.0052 0.0059 0.1066 0.0553 40
4 Batavia Dana Saham Agro -0.0029 0.0052 -0.0081 0.0538 -0.1506 44
5 Batavia Dana Saham Optimal 0.0144 0.0052 0.0092 0.1136 0.0810 38
6 BNI Reksa Dana Berkembang 0.0114 0.0052 0.0062 0.0389 0.1594 30
7 BNP Paribas Ekuitas 0.0139 0.0052 0.0087 0.0345 0.2522 9
8 BNP Paribas Infrastruktur plus 0.0137 0.0052 0.0085 0.0371 0.2291 15
9 BNP Paribas Maxi Saham 0.0123 0.0052 0.0071 0.0388 0.1830 26
10 BNP Paribas Pesona 0.0127 0.0052 0.0075 0.0346 0.2168 19
11 BNP Paribas Solaris 0.0154 0.0052 0.0102 0.0385 0.2649 8
12 CIMB Principal Equity Aggressive 0.0087 0.0052 0.0035 0.0349 0.1003 36
13 Dana Ekuitas Andalan 0.0105 0.0052 0.0053 0.0362 0.1464 32
14 Dana Ekuitas Prima 0.0137 0.0052 0.0085 0.0385 0.2208 17
15 Dana Pratama Ekuitas 0.0088 0.0052 0.0036 0.0460 0.0783 39
16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0326 0.2331 13
17 FS Indo Equity Value Select Fund 0.0118 0.0052 0.0066 0.0353 0.1870 25
18 FS Indo Eqty Dividen Yield Fund 0.0128 0.0052 0.0076 0.0339 0.2242 16
19 FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0074 0.0344 0.2151 20
20 FS Indo Equity Peka Fund 0.0134 0.0052 0.0082 0.0342 0.2398 11
21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0391 0.2327 14
22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0402 0.1716 28
23 Lautandhana Equity 0.0084 0.0052 0.0032 0.0387 0.0827 37
24 Lautandhana Equity Progresif -0.0029 0.0052 -0.0081 0.0680 -0.1191 43
25 Makinta Growth Fund 0.0146 0.0052 0.0094 0.0429 0.2191 18
26 Makinta Mantap 0.0189 0.0052 0.0137 0.0452 0.3031 5
27 Mandiri Investa Attraktif 0.0113 0.0052 0.0061 0.0351 0.1738 27
28 Mandiri Investa UGM 0.0090 0.0052 0.0038 0.0360 0.1056 35
29 Manulife Dana Saham 0.0120 0.0052 0.0068 0.0329 0.2067 21
30 Manulife Saham Andalan 0.0127 0.0052 0.0075 0.0363 0.2066 22
31 Millenium Equity 0.0070 0.0052 0.0018 0.0330 0.0545 41
32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0295 0.5763 2
33 NISP Indeks Saham Progresif 0.0096 0.0052 0.0044 0.0341 0.1290 33
34 Panin Dana Maksima 0.0254 0.0052 0.0202 0.0299 0.6756 1
35 Panin Dana Prima 0.0193 0.0052 0.0141 0.0317 0.4448 3
36 Pratama Saham 0.0109 0.0052 0.0057 0.0484 0.1178 34
37 Rencana Cerdas 0.0122 0.0052 0.0070 0.0357 0.1961 24
38 Schroder Dana Istimewa 0.0144 0.0052 0.0092 0.0365 0.2521 10
39 Schroder Dana Prestasi Plus 0.0110 0.0052 0.0058 0.0348 0.1667 29
40 Schroder Indo Equity Fund 0.0131 0.0052 0.0079 0.0336 0.2351 12
41 Simas Danamas Saham 0.0039 0.0052 -0.0013 0.0463 -0.0281 42
42 Syailendra Equity Opportunity 0.0201 0.0052 0.0149 0.0335 0.4448 4
43 TRIM Kapital 0.0171 0.0052 0.0119 0.0420 0.2833 6
44 TRIM Kapital Plus 0.0174 0.0052 0.0122 0.0448 0.2723 7
EROV (Exceess Return On VaR)
No Equity Funds Return
(%)
Rf
(BI Rate)
(%)
Excess
Return
Standard
Deviation VaR EROV Ranking
1 AXA CitraDinamis 0.0106 0.0052 0.0054 0.0496 0.0712 0.0758 33
2 Bahana Dana Prima 0.0122 0.0052 0.007 0.0519 0.0734 0.0953 24
3 Batavia Dana Saham 0.0111 0.0052 0.0059 0.0526 0.0757 0.0779 32
4 Batavia Dana Saham Agro -0.0029 0.0052 -0.0081 0.0664 0.1125 -0.0720 44
5 Batavia Dana Saham Optimal 0.0144 0.0052 0.0092 0.0542 0.0750 0.1226 10
6 BNI Reksa Dana Berkembang 0.0114 0.0052 0.0062 0.0539 0.0775 0.0800 31
7 BNP Paribas Ekuitas 0.0139 0.0052 0.0087 0.0508 0.0699 0.1244 9
8 BNP Paribas Infrastruktur Plus 0.0137 0.0052 0.0085 0.0543 0.0759 0.1120 15
9 BNP Paribas Maxi Saham 0.0123 0.0052 0.0071 0.0555 0.0793 0.0896 27
10 BNP Paribas Pesona 0.0127 0.0052 0.0075 0.0509 0.0713 0.1052 20
11 BNP Paribas Solaris 0.0154 0.0052 0.0102 0.0559 0.0768 0.1328 8
12 CIMB Principal Equity Aggressive 0.0087 0.0052 0.0035 0.0489 0.0720 0.0486 38
13 Dana Ekuitas Andalan 0.0105 0.0052 0.0053 0.0516 0.0746 0.0710 34
14 Dana Ekuitas Prima 0.0137 0.0052 0.0085 0.0554 0.0777 0.1094 17
15 Dana Pratama Ekuitas 0.0088 0.0052 0.0036 0.0640 0.0968 0.0372 40
16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0512 0.0717 0.1060 19
17 FS Indo Equity Value Select Fund 0.0118 0.0052 0.0066 0.0506 0.0717 0.0921 26
18 FS Indo Eqty Dividen Yield Fund 0.0128 0.0052 0.0076 0.0492 0.0684 0.1111 16
19 FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0074 0.0499 0.0697 0.1061 18
20 FS Indo Equity Peka Fund 0.0134 0.0052 0.0082 0.0498 0.0688 0.1192 12
21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0573 0.0802 0.1134 14
22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0576 0.0829 0.0832 29
23 Lautandhana Equity 0.0084 0.0052 0.0032 0.0523 0.0779 0.0411 39
24 Lautandhana Equity Progresif -0.0029 0.0052 -0.0081 0.0749 0.1265 -0.0640 43
25 Makinta Growth Fund 0.0146 0.0052 0.0094 0.0633 0.0898 0.1046 21
26 Makinta Mantap 0.0189 0.0052 0.0137 0.0711 0.0984 0.1392 7
27 Mandiri Investa Attraktif 0.0113 0.0052 0.0061 0.0499 0.0710 0.0859 28
28 Mandiri Investa UGM 0.0090 0.0052 0.0038 0.0503 0.0740 0.0514 37
29 Manulife Dana Saham 0.0120 0.0052 0.0068 0.0483 0.0677 0.1005 23
30 Manulife Saham Andalan 0.0127 0.0052 0.0075 0.0522 0.0734 0.1021 22
31 Millenium Equity 0.0070 0.0052 0.0018 0.0480 0.0722 0.0249 41
32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0528 0.0649 0.2619 2
33 NISP Indeks Saham Progresif 0.0096 0.0052 0.0044 0.0484 0.0703 0.0626 35
34 Panin Dana Maksima 0.0254 0.0052 0.0202 0.0578 0.0700 0.2887 1
35 Panin Dana Prima 0.0193 0.0052 0.0141 0.0528 0.0678 0.2079 4
36 Pratama Saham 0.0109 0.0052 0.0057 0.0686 0.1023 0.0557 36
37 Rencana Cerdas 0.0122 0.0052 0.007 0.0519 0.0734 0.0953 25
38 Schroder Dana Istimewa 0.0144 0.0052 0.0092 0.0550 0.0764 0.1205 11
39 Schroder Dana Prestasi Plus 0.0110 0.0052 0.0058 0.0502 0.0718 0.0807 30
40 Schroder Indo Equity Fund 0.0131 0.0052 0.0079 0.0496 0.0687 0.1149 13
41 Simas Danamas Saham 0.0039 0.0052 -0.0013 0.0608 0.0964 -0.0135 42
42 Syailendra Equity Opportunity 0.0201 0.0052 0.0149 0.0534 0.0680 0.2191 3
43 TRIM Kapital 0.0171 0.0052 0.0119 0.0613 0.0840 0.1416 5
44 TRIM Kapital Plus 0.0174 0.0052 0.0122 0.0633 0.0870 0.1402 6
APPENDIX 5
Testing Hypotesis
Result of Normality Data of Equity funds Return with Benchmark Return
Test Statisticsa
Return
Most Extreme Differences
Absolute ,841
Positive ,841
Negative -,159
Kolmogorov-Smirnov Z 3,944
Asymp. Sig. (2-tailed) ,000
a. Grouping Variable: Label
Result of Normality Data of Measurement Performances by Six Indicators
Test Statisticsa
Return
Most Extreme Differences
Absolute ,432
Positive ,045
Negative -,432
Kolmogorov-Smirnov Z 2,025
Asymp. Sig. (2-tailed) ,001
a. Grouping Variable: model
Result of Mann-Whitney Test
Test Statisticsa
Return
Mann-Whitney U 308,000
Wilcoxon W 1298,000
Z -5,888
Asymp. Sig. (2-tailed) ,000
a. Grouping Variable: Label
Result of Kruskall Wallis Test
Ranks
Methods N Mean Rank
Return
Sharpe 44 190,82
Treynor 44 33,78
Jensen 44 93,44
Modigliani 44 97,90
Sortino 44 210,07
EROV 44 168,99
Total 264
Test Statisticsa,b
performance
Chi-Square 189,305
Df 5
Asymp. Sig. ,000
a. Kruskal Wallis Test
b. Grouping Variable: metode