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Penilaian Kinerja

Reksadana
MUTIARA DEVIKA
YUDHISTIRA

(1506809772)
(1506809974)

Data NAB masing-masing reksadana melalui website


http://aria.bapepam.go.id/reksadana/statistik.asp?page=s
tatistik-nab-rd (OJK)
Risk Free = SBI
Risk Market = IHSG

Reksadana Campuran

Instrumen
Saham
Obligasi
Pasar Uang

Min
2%
20%
1%

Saham : 65.47 %
Obligasi : 29.46 %
Pasar Uang : 5.07%

Max
79%
79%
79%

Beta
: 0.0864
Standard Error : 0.0303
Sharpe Index : - 0.0171
Treynor Measure : - 0.006
Jensens Measure : 0.0047
Information Ratio : 0.1553

Intercept
X Variable 1

Coefficients Standard Error


t Stat
P-value
0.004696619 0.003919955 1.198131006 0.235739129
0.086429964 0.107157636 0.806568403 0.423210205

Intercept
X Variable 1
X Variable 2

Intercept
X Variable 1
X Variable 2

Coefficients Standard Error


t Stat
P-value
0.009556876
0.005056095 1.890169303 0.06382349
-0.043464788
0.13695365 -0.3173686 0.752123575
-3.537106441
2.360575238 -1.498408686 0.139545176

Coefficients Standard Error


t Stat
P-value
0.013506417
0.006508201 2.075291924 0.042483234
0.299501706
0.164908525 1.816168724 0.074604574
-0.626778237
0.372817395 -1.68119365 0.098197506

Intercept
X Variable 1
X Variable 2

Coefficients Standard Error


t Stat
P-value
0.009556876
0.005056095 1.890169303 0.06382349
-0.043464788
0.13695365 -0.3173686 0.752123575
-3.537106441
2.360575238 -1.498408686 0.139545176

Tidak signifikan
Intercept
X Variable 1
X Variable 2

Coefficients Standard Error


t Stat
P-value
0.013506417
0.006508201 2.075291924 0.042483234
0.299501706
0.164908525 1.816168724 0.074604574
-0.626778237
0.372817395 -1.68119365 0.098197506

Tidak signifikan

Reksadana Campuran

Instrumen
Saham

Min
80%

Max
100%

Pasar Uang

0%

20%

Saham : 89.93 %
Pasar Uang : 10.07 %

Beta
: 0.1090
Standard Error : 0.0398
Sharpe Ratio : 0.0235
Treynor Ratio : 0.0086
Jensens Ratio : 0.0061
Information Ratio : 0.1541

Intercept
X Variable 1

Coefficients Standard Error


t Stat
P-value
0.006127019 0.005135604 1.193047397 0.237708463
0.109036562 0.140389169 0.776673609 0.440507415

Intercept
X Variable 1
X Variable 2

Intercept
X Variable 1
X Variable 2

Coefficients Standard Error


t Stat
P-value
0.009355914
0.006720298 1.392187441 0.169273722
0.022741415
0.182031649 0.124931103 0.901017665
-2.349864934
3.137553484 -0.748948168 0.456968089

Coefficients Standard Error


t Stat
P-value
0.013372858
0.008653648 1.545343477 0.127797638
0.284282757
0.219271081 1.296489974 0.200031143
-0.515509472
0.49571769 -1.039925511 0.302765658

Intercept
X Variable 1
X Variable 2

Coefficients Standard Error


t Stat
P-value
0.009355914
0.006720298 1.392187441 0.169273722
0.022741415
0.182031649 0.124931103 0.901017665
-2.349864934
3.137553484 -0.748948168 0.456968089

Tidak signifikan
Intercept
X Variable 1
X Variable 2

Coefficients Standard Error


t Stat
P-value
0.013372858
0.008653648 1.545343477 0.127797638
0.284282757
0.219271081 1.296489974 0.200031143
-0.515509472
0.49571769 -1.039925511 0.302765658

Tidak signifikan

Reksadana Saham

Instrumen
Saham
Pendapatan
Tetap

Min
80%
0%

Max
100%
20%

Pasar Uang

0%

20%

Saham : 98.34 %
Pasar Uang : 1.66 %

Beta
: 0.1465
Standard Error : 0.0451
Sharpe Ratio : - 0.0210
Treynor Ratio : - 0.0064
Jensens Ratio : - 0.0011
Information Ratio : - 0.0241

Intercept
X Variable 1

Coefficients Standard Error


t Stat
P-value
-0.001088689
0.00582642 -0.186853941 0.852427227
0.146573284 0.159273608 0.920260962 0.361248211

Intercept
X Variable 1
X Variable 2

Intercept
X Variable 1
X Variable 2

Coefficients Standard Error


t Stat
P-value
0.005307674
0.007547025 0.703280265 0.484743922
-0.024375319
0.204425079 -0.119238398 0.905505745
-4.655025656
3.523533537 -1.321124265 0.191739021

Coefficients Standard Error


t Stat
P-value
0.010834264
0.009714363 1.115282993 0.269409293
0.434939084
0.246148088 1.766981363 0.082584822
-0.848265503
0.556479958 -1.524341518 0.132952979

Intercept
X Variable 1
X Variable 2

Coefficients Standard Error


t Stat
P-value
0.005307674
0.007547025 0.703280265 0.484743922
-0.024375319
0.204425079 -0.119238398 0.905505745
-4.655025656
3.523533537 -1.321124265 0.191739021

Tidak signifikan
Intercept
X Variable 1
X Variable 2

Coefficients Standard Error


t Stat
P-value
0.010834264
0.009714363 1.115282993 0.269409293
0.434939084
0.246148088 1.766981363 0.082584822
-0.848265503
0.556479958 -1.524341518 0.132952979

Tidak signifikan

Ketiga reksadana tidak memiliki kemampuan


market timing.
Reksadana Mandiri Investa Aktif dan Schroder Dana
Prestasi Plus memiliki abnormal return tetapi tidak
signifikan. Sedangkan Manulife Saham Andalan
tidak memiliki abnormal return dan tidak signifikan.

TERIMA KASIH