Alternatif Pengukuran Return dan Manfaatnya  

Oleh:

Frensidy, Budi

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI
Dalam koleksi: Manajemen Usahawan Indonesia vol. 36 no. 10 (Oct. 2007), page 34-39.
Topik: Real and Nominal Return; Time-Weighted and Money-Weighted Return; Arithmetic and Geometric Return; Risk Adjusted Return; Alpha

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: MM15.29 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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The main objective of any investments is return. Investors, in general, expect the return on their investments to be positive, and high enough to compensate forthe periodic inflation; orelse, the investor’s total wealth will decline. When inflation is taken into account, we have theterm real return. For one-year penod with no addition orwithdrawal of investment, there is only one single measure of return and the calculation is straight forward. However, there are more than one return measure for multiple periods especially when involving some addition or withdrawal. We can use time-weighted return (arithmetic or geometric) or money-weighted return (rough oraccurate measure). When risk is considered, there is still another measure, called risk-adjusted return. Sharpe’s, Treynor’s, and Roy’s ratios can be used for this purpose. To identify a portfolio with abnormal return, Jensen introduced alpha measure. Alpha Jensen was then modified by Treynor - Mazuy and Henriksson - Merton to separate the stock selection capability from market timing capability of a fund manager. Overall, there are various return measures and they can be used for different purposes.

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