Berburu Manajer Investasi yang Menghasilkan Alfa Positif : Evaluasi Monthly Return Reksa Dana Saham Tahun 2004 - 2006  

Oleh:

Untung, Rahman

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI
Dalam koleksi: Manajemen Usahawan Indonesia vol. XXXVI no. 04 (2007), page 18-21.
Topik: reksa dana; equity mutual fund manager performance; risk - adjusted return; jensen's alpha; stock selection ability; market timing ability

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: MM15.28 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

Indirect investing in capital market instruments especially equity mutual fund has attracted many investors lately. It is important for such prospects and investors to understand the performance of equity mutual fund manager in terms of return and risk. Prospects and ivestors should evaluate the manager using risk - adjusted return performance method. This paper evaluates the stock selection and market timing ability of equity mutual fund manager in indonesia during year 2004 - 2006 using modified jensen's alpha method and monthly return data. The mean hypothesis tests showed that mutual fund manager in average has neither superior stock selection ability not superior market timing ability. However, there was one equity mutual fund manager with superior stock selection ability or positive alpha. These results strengthened the arguments against the use of market timing strategy and against the use of technical analysis in achieving superior return along the three - year horizon. The results also indirectly confirmed the contribution of fundamental analysis and the inability of technical analysis in assisting equity mutual fund manager achieving superior return.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali