Perbandingan Kinerja Reksa Dana Terbaik Dan Portofolio Optimal Reksa Dana Dengan Metode Sharpe / Maria Villya Setyawan

Setyawan, Maria Villya (2017) Perbandingan Kinerja Reksa Dana Terbaik Dan Portofolio Optimal Reksa Dana Dengan Metode Sharpe / Maria Villya Setyawan. Skripsi thesis, Universitas Tarumanagara.

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Abstract

Mutual fund is a portfolio consists of bonds, stocks, and money market instrument, which is managed by fund manager. As a portofolio, mutual fund helps investors to spread the risk of possible loss. However, some single mutual funds can be combined together to become a portfolio of mutual funds to reduce risks even more. The main aim of this study is to compare the performances of the best single mutual fund and the optimal portfolio of mutual funds to find the best way for investing. This study examined mutual funds from Schroder Investment Management Indonesia, BNP Paribas Investment Partners, Bahana TCW Investment Management, Mandiri Manajemen Investasi, and Batavia Prosperindo Aset Manajemen, which are the top five mutual fund companies that have the highest Asset Under Management in 2015. For the period November 2016, there are only 91 of 104 mutual funds that have positive value of Sharpe ratio. The best mutual fund among them is BDKM with 6,20% of expected return, 0,31 %of risk, and 3,2672 Sharpe ratio. Meanwhile, the best of optimal portfolio is sub optimal 3-1 which consists of 77,22% BDKM, 0,78% RGA, and 22% RDBDL. This optimal portfolio has 6,38% of expected return, 0,335% of risk, and 3,5211 Sharpe ratio. In conclusion, the optimal portfolio of three mutual funds is expected to provide better performance than the best single mutual funds in November 2016.

Item Type: Thesis (Skripsi)
Subjects: Skripsi/Tugas Akhir
Skripsi/Tugas Akhir > Fakultas Ekonomi
Divisions: Fakultas Ekonomi > Manajemen
Depositing User: Puskom untar untar
Date Deposited: 04 Jul 2018 08:06
Last Modified: 28 May 2021 08:31
URI: http://repository.untar.ac.id/id/eprint/2859

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