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Analisis Kinerja Reksa Dana dengan Metode Sharpe, Metode Treynor dan Metode Sortiono (Studi pada Reksa Dana Saham di Bursa Efek Indonesia Periode Tahun 2012-2014)

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(1)

LAMPIRAN I

Daftar Reksa Dana Saham yang Menjadi Populasi Penelitian:

No

Manajer Investasi

Nama Reksa Dana

Kode

Reksa

Dana

Kriteria

Penentuan

Sampel

Sampel

1

2

3

1

AAA Asset

Management

AAA Blue Chip

Value Fund 2

61170

2

2

PT AMCI Manajemen

Investasi Indonesia

Amobligasi Jibor 1

Year Plus

AMC

01

3

PT AXA Asset

Management Indonesia

Reksa Dana AXA

Citradinamis

BIIDI

NA

Sampel

4

PT Aberdeen Asset

Management

Reksa Dana NISP

Indeks Saham

Progresif

CPF2

5

PT Archipelago Asset

Management

Archipelago Equity

Growth

00846

99

6

PT Ashmore Asset

Management

Ashmore Dana

Ekuitas Nusantara

D0AS

01

7

PT Avrist Asset

Management

Avrist Equity–Cross

Sectoral

00877

83

8

PT BNI Asset

Management

BNI Reksa Dana

Berkembang

000DI

B

Sampel

9

PT BNP Paribas

Investment Partners

BNP Paribas Maxi

Saham

00822

14

10

PT Bahana TCW

Investment

Management

Reksa Dana Ekuitas

Prima

RDEP

Sampel

11

PT Batasa Capital

Big Dana Syariah

Terproteksi

BIGD

ST

12

PT Batavia

Prosperindo Aset

Manajemen

Batavia Dana Saham

Optimal

00867

69

Sampel

13

PT Bowsprit Asset

Management

Reksa Dana

Penyertaan Terbatas

Bowsprit

00D87

A

14

PT CIMB Principal

Asset Management

CIMB-Principal

Equity Aggressive

00995

56

Sampel

15

PT Ciptadana Asset

Management

Rencana Cerdas

00910

17

Sampel

16

PT Corfina Capital

Grow-2-Prosper

00865

04

Sampel

(2)

18

PT Danareksa

Investment

Management

Danareksa Mawar

RDM

W

19

PT Danatama Makmur

Danareksa Seruni

RDSN

20

PT Dhanawibawa

Manajemen Investasi

RDPT Dhanawibawa

Eksklusif 1

RDPT

21

PT Eastspring

Investment Indonesia

Reksa Dana

Eastspring Investment

Value

ESIFI

F

22

PT Emco Asset

Management

Reksa Dana Makinta

Growth Fund

00D68

B

Sampel

23

PT Equator Investment

Equator Alpha

00873

95

24

PT Equity Securities

Indonesia

Reksa Dana Prima

00928

41

25

PT Eurocapital

Peregrine Securities

Reksa Dana V plus

RVPI

26

PT First State

Investment Indonesia

Reksa Dana First

State Indoequity Peka

Fund

FIPF

Sampel

27

PT GAP Capital

GAP Equity Fund

00851

26

28

PT Henan Putihrai

Asset Management

Reksa Dana HPAM

Saham Dinamis

HPA

MD

29

PT Indo Premier

Investment

Management

Premier Ekuitas

Makro Plus

00882

45

30

PT Indoasia Aset

Manajemen

I Am Equity Fund

IND0

2IA

31

PT Indosurya Asset

Management

Reksa Dana Indosurya

Balance Fund

R099

32

PT Insight Asset

Management

Reksa Dana Guru

00866

52

33

PT Intru Nusantara

Garuda Satu

GARS

AT

34

PT Jisawi Finas

Jisawi Profresif

61200

3

35

PT Kharisma Asset

Management

Kharisma Flexi

Terbatas

71080

1

36

PT Kiwoom

Investment

Management Indonesia

Kiwoom Indonesia

Optimum Fund

61210

1

37

PT Kresna Asset

Mrs Cash Kresna

MRS

(3)

Management

Progressive

39

PT Lippo Securities

Tbk

Reksa Dana Lippo

Dana Prima

RDLD

P

40

PT MNC Asset

Management

Reksa Dana MNC

Dana Ekuitas

BIG-EQ

Sampel

41

PT Mandiri

Manajemen Investasi

Mandiri Investa UGM

00833

03

Sampel

42

PT Manulife Aset

Manajemen Indonesia

Manulife Dana Saham

00928

82

Sampel

43

PT Maybank GMT

Asset Management

Maybank GMT Dana

Ekuitas

00852

09

Sampel

44

PT Mega Asset

Management

Mega Asset Maxima

0D10

AQ

45

PT Mega Capital

Investama

RDPT Mega Saham

Maxima

0D10

AI

46

PT Millenium

Danatama Indonesia

Reksa Dana

Millenium Equity

00D61

B

Sampel

47

PT Minna Padi Aset

Manajemen

Minna Padi Keraton II

61190

1

48

PT Narada Kapital

Indonesia

Narada Saham

Indonesia

00877

68

49

PT Net Assets

Management

Net Dana Flexi

NETF

LEXI

M

50

PT Nikko Securities

Indonesia

Nikko Indonesia

Equity Fund

RB00

11ND

EQSH

51

PT OSO Manajemen

Investasi

OSO Sustainability

Fund

OSUS

52

PT Optima Investama

Optima Pasar Uang

00D32

B

53

PT PG Asset

Management

Reksa Dana PG

Sejahtera

00D31

B

54

PT PNM Investment

Management

PNM Saham Agresif

00849

62

55

PT Pacific Capital

Investment

Reksa Dana Pacific

Equity Fund

00849

62

56

PT NISP Asset

Management

Reksa Dana NISP

Indeks Saham

Progresif

NISP

Sampel

57

PT Panin Asset

Management

Panin Dana Prima

GR00

2PR

Sampel

58

PT Panin Asset

Management

Panin Dana Maxima

00910

33

Sampel

59

PT Paramitra Alfa

Reksa Dana Paramitra

00D18

(4)

60

PT Pavillion Capital

Reksa Dana Pavillion

Dana Anugrah

00D40

A

61

PT Phillip Asset

Reksa Dana Phillip

Rupiah

00D66

A

62

PT Pratama Capital

Pratama Saham

00994

24

Sampel

63

PT Prospera Asset

Prospera Bijak

00843

43

64

PT Quant Kapital

Reksa Dana Quant

Investa

RDQI

S

65

PT RHB OSK Asset

RHB OSK Alpha

Sector

RHB

ASR

66

PT Recapital Asset

Reksa Dana

Terproteksi

RECA

PIT

67

PT Reliance Asset

Reksa Dana Reliance

RELI

AN

68

PT Samuel Aset

SAM Indonesian

Equity

00846

65

69

PT Schroder

Investment

Reksa Dana Schroder

Indo

SIEF

Sampel

70

PT Semesta Aset

Semesta Dana Saham

00885

34

71

PT Signature Capital

Synergy Capital

00851

67

72

PT Sinarmas Asset

Reksa Dana Simas

000D8

0

73

PT Sucorinvest Asset

Management

Sucorinvest Equity

Fund

008D5

7

74

PT Surya Timur Alam

Reksa Dana Star

Balanced

008D6

0

75

PT Syailendra Capital

Syailendra Equity

00824

12

Sampel

76

PT Treasure Fund

TF Super Maxxi

62210

1

77

PT Trimegah Asset

TRIM Kapital

000D2

B

Sampel

78

PT Valbury Capital

Reksa Dana Valbury

VALB

UR

(5)

LAMPIRAN II

Sampel Reksa Dana Saham:

No

Kode Reksa Dana

Manajer Investasi

Nama Reksa Dana

1

BIIDINA

PT AXA Asset

Management Indonesia

Reksa Dana AXA Citradinamis

2

000D1B

PT BNI Asset

Management

BNI Reksa dana Berkembang

3

RDEP

PT Bahana TCW

Investment Management

Reksa Dana Dana Ekuitas Prima

4

0086769

PT Batavia Prosperindo

Aset Mnj

Batavia Dana Saham

5

0099556

PT CIMB Principal

Asset Management

CIMB-Principal Equity

Aggressive

6

0091017

PT Ciptadana Asset

Management

Rencana Cerdas

7

0086504

PT Corfina Capital

Grow-2-Prosper

8

00D68B

PT Emco Asset

Management

Reksa Dana Makinta Growth

Fund

9

FIPF

PT First State

Investments Indonesia

Reksa Dana First State

Indoequity Peka Fund

10

00D54N

PT Lautandhana

Investment Management

Reksa Dana Lautandhana Equity

Progresive

11

BIG-EQ

PT MNC Asset

Management

Reksa Dana MNC Dana Ekuitas

12

0083303

PT Mandiri Manajemen

Innvestasi

Mandiri Investa UGM

13

0092882

PT Manulife Aset

Manajemen Indonesia

Manulife Dana Saham

14

0085209

PT Maybank GMT

Asset Management

Maybank GMT Dana Ekuitas

15

00D61B

PT Millenium Danatama

Indonesia

Reksa Dana Millenium Equity

16

NISP

PT NISP Asset

Management

Reksa Dana NISP Indeks Saham

Progresif

17

GR002PRIMASH

PT Panin Asset

Management

Panin Dana Prima

18

0091033

PT Panin Asset

Management

Panin Dana Maksima

19

0099424

PT Pratama Capital

Assets Management

Pratama Saham

(6)

21

0082412

PT Syailendra Capital

Syailendra Equity Opportunity

Fund

22

000D2B

PT Trimegah Asset

Management

TRIM Kapital

(7)

LAMPIRAN III

Data Nilai Aktiva Bersih (NAB) yang digunakan sebagai variabel

return

portofolio

dalam penelitian:

BULAN KODE REKSA DANA SAHAM

BIIDINA 000D1B RDEP 0086769 0099556

JAN 56,679,108,391 38,546,577,205 405,875,360,886 119,362,641,298 28,756,410,075

FEB 59,797,259,639 39,975,927,784 369,875,654,599 119,942,012,829 31,248,616,570

MAR 55,681,423,479 37,284,695,046 274,360,575,736 117,333,565,849 27,035,577,046

APR 48,942,550,367 40,178,566,196 274,685,644,122 105,602,611,024 36,770,155,263

MEI 48,452,436,037 35,684,601,485 353,161,728,656 103,623,139,306 38,081,691,263

JUN 51,555,346,833 37,299,789,785 362,984,074,898 108,103,534,950 43,447,988,756

JUL 52,518,410,172 38,393,404,616 369,435,773,460 52,741,270,070 41,999,562,460

AGT 53,206,685,340 36,770,387,871 292,548,873,227 49,887,241,697 37,494,677,132

SEP 73,169,582,202 38,785,444,515 309,393,819,097 63,041,086,138 38,188,249,640

OKT 90,808,695,023 39,396,364,612 235,135,495,128 125,234,204,288 39,178,925,422

NOV 89,545,319,878 37,950,007,464 412,572,668,152 192,545,605,500 43,380,333,236

DES 89,178,688,513 38,740,498,211 580,038,342,455 224,793,718,823 43,135,487,417

(8)

Lanjutan Data NAB 2012

BULAN

KODE REKSA DANA SAHAM

0091017 0086504 00D68B FIPF 00D54N

JAN

104,619,298,377 38,764,503,795 7,890,261,027 143,092,722,492 66,856,520,381

FEB 106,728,679,745 40,385,566,206 18,378,013,060 149,920,588,040 72,598,045,839

MAR 108,265,585,578 40,582,609,237 22,086,850,790 154,453,881,445 81,344,493,358

APR 109,075,069,637 38,920,713,357 38,753,747,934 260,425,296,195 82,745,671,204

MEI 98,495,695,627 34,344,690,495 25,809,752,567 377,335,516,967 76,854,952,369

JUN 101,133,481,234 35,426,198,381 27,199,519,812 517,412,132,232 78,907,325,180

JUL 106,613,144,039 37,267,460,529 28,554,949,533 517,849,798,180 82,862,009,932

AGT 98,290,495,485 30,895,749,476 27,692,375,089 502,067,749,475 80,290,978,903

SEP 104,158,225,478 31,703,541,288 29,002,306,235 552,799,330,751 84,097,726,406

OKT 103,526,181,938 26,364,591,982 31,643,819,766 637,185,351,871 85,613,050,343

NOV 100,499,341,546 26,781,827,035 30,597,577,448 865,259,456,935 86,129,072,974

(9)

Lanjutan Data NAB 2012:

BULAN

KODE REKSA DANA SAHAM

BIG-EQ 0083303 0092882 0085209 00D61B

JAN 209,708,058,078 108,369,304,991 3,071,828,863,458 76,492,534,322 28,637,403,807

FEB 193,862,892,685 106,400,204,201 3,085,455,658,259 77,383,514,380 28,634,314,521

MAR 350,458,151,963 106,259,277,586 3,134,184,197,133 75,750,002,435 28,132,439,749

APR 462,760,983,494 102,440,640,921 3,122,536,566,715 77,312,084,888 27,988,182,412

MEI 442,691,395,052 89,357,307,324 2,882,344,340,798 73,183,895,058 25,908,311,987

JUN 467,278,850,225 93,654,360,624 2,972,351,702,236 84,853,882,852 26,451,206,963

JUL 549,887,323,410 96,824,204,548 3,090,290,547,424 81,185,373,777 27,867,767,171

AGT 543,981,081,625 92,722,556,859 2,986,885,547,570 76,560,349,759 25,561,463,857

SEP 701,816,831,652 80,794,975,522 3,102,216,897,702 83,521,183,908 26,573,074,929

OKT 983,165,035,685 79,120,772,458 3,174,337,259,517 82,338,814,830 27,043,989,780

NOV 926,559,120,862 77,683,458,832 3,188,466,285,545 80,475,169,455 73,643,530,628

(10)

Lanjutan Data NAB 2012:

BULAN

KODE REKSA DANA SAHAM

NISP GR002PRIMASH 0091033 0099424 SIEF

JAN 97,244,937,918 881,631,999,197 4,785,944,170,792 551,025,322,940 619,844,017,574

FEB 82,453,987,603 908,573,059,525 4,837,463,751,321 583,670,935,781 575,745,363,389

MAR 72,688,182,080 911,625,307,775 4,726,177,059,510 537,337,541,508 491,672,995,532

APR 64,298,559,528 953,189,204,575 4,640,803,366,278 536,772,158,008 489,150,911,259

MEI 59,295,160,282 1,263,022,981,537 4,596,189,123,984 530,812,129,741 443,255,807,060

JUN 61,544,685,932 1,315,817,447,415 4,965,662,536,491 523,120,647,873 460,407,487,486

JUL 61,578,384,410 1,342,262,280,368 5,215,370,790,255 499,947,853,603 483,389,035,759

AGT 58,855,999,479 1,345,648,711,332 5,077,930,918,289 470,856,982,368 462,126,384,487

SEP 58,772,931,508 1,395,165,341,419 5,115,979,829,501 489,239,364,496 476,864,215,372

OKT 53,746,427,972 1,164,808,691,627 4,620,569,176,386 477,849,668,754 485,209,269,118

NOV 53,171,494,766 1,128,096,304,029 4,636,103,548,407 456,745,572,564 485,685,540,483

DES 56,414,426,421 915,324,777,240 4,634,511,565,119 448,132,248,232 491,531,448,221

BULAN KODE REKSA DANA SAHAM 0082412 000D2B

JAN 124,682,984,642 455,565,730,397

FEB 137,110,395,559 409,603,645,911

MAR 132,830,539,123 419,810,266,662

APR 146,210,696,229 455,358,973,346

MEI 237,704,261,649 418,454,198,094

JUN 272,474,236,840 426,463,173,687

JUL 308,878,241,230 439,357,923,089

AGT 289,180,725,175 399,525,615,965

SEP 365,677,799,901 404,112,954,267

OKT 371,119,631,793 446,229,179,393

(11)

NAB 2013

BULAN

KODE REKSA DANA SAHAM

0091017 0086504 00D68B FIPF 00D54N

JAN 104,911,016,499 24,379,105,488 34,899,248,972 837,736,524,585 86,233,596,794

FEB 111,604,657,988 25,925,086,031 35,969,319,847 568,353,240,045 93,603,915,075

MAR 89,841,180,858 263,350,459,655 38,501,933,244 490,496,553,221 102,550,312,573

APR 85,038,961,974 229,565,354,763 38,172,605,337 506,671,283,991 102,665,797,949

MEI 86,646,717,564 162,255,466,812 38,553,772,970 558,806,837,086 109,510,474,840

JUN 83,805,668,687 142,899,050,962 34,683,533,680 668,244,776,010 101,058,497,486

JUL 75,892,873,302 138,943,040,636 33,101,659,552 666,313,539,036 95,749,978,447

AGT 68,995,091,620 136,317,988,449 29,450,451,515 623,477,119,706 85,973,086,972

SEP 72,862,493,381 141,044,658,479 30,383,241,666 655,907,975,949 87,331,307,146

OKT 76,346,255,793 151,761,299,321 32,046,363,957 717,159,629,977 91,747,390,978

NOV 72,692,887,776 133,066,127,073 29,127,741,032 681,101,876,849 86,002,363,926

DES 69,254,421,240 141,432,149,970 28,210,129,350 672,952,498,865 85,740,894,752 BUL

AN

KODE REKSA DANA SAHAM

BIIDINA 000D1B RDEP 0086769 0099556

JAN 92,312,249,124 39,880,992,717 560,083,347,910 226,784,837,211 43,371,463,963

FEB 100,609,146,910 39,458,011,083 381,798,435,832 247,604,038,792 48,300,917,403

MAR 138,968,999,104 40,143,396,111 580,277,974,565 275,230,349,020 49,262,473,831

APR 144,985,220,970 81,249,553,696 682,510,837,198 363,910,449,091 54,130,075,336

MEI 148,479,977,778 85,897,575,823 786,367,047,328 350,215,854,699 59,476,073,310

JUN 147,719,454,936 76,454,172,311 906,386,014,576 394,205,096,032 56,261,622,165

JUL 142,569,461,223 44,313,880,554 870,493,999,079 390,222,442,768 47,946,046,491

AGT 129,742,756,859 38,838,627,340 778,744,823,830 352,799,595,868 41,899,409,470

SEP 132,972,908,144 39,731,984,834 824,935,615,551 362,244,099,054 43,097,663,000

OKT 169,275,637,511 41,267,253,544 936,696,702,012 384,125,561,307 45,018,752,930

NOV 158,613,531,967 38,074,133,006 862,159,896,339 365,666,440,917 41,190,217,664

(12)

Lanjutan Data NAB 2013:

BULAN

KODE REKSA DANA SAHAM

BIG-EQ 0083303 0092882 0085209 00D61B

JAN 968,640,014,349 63,078,276,024 3,125,059,474,590 72,567,518,488 167,267,362,478

FEB 919,845,086,923 61,445,609,698 3,181,439,317,098 72,481,607,424 189,495,356,869

MAR 933,210,212,558 49,828,978,618 3,234,638,632,259 73,485,280,268 222,265,776,046

APR 935,255,125,211 103,889,614,005 3,206,979,377,955 73,481,126,945 209,965,977,683

MEI 945,714,943,526 112,046,087,855 3,122,249,166,714 74,468,331,203 220,336,006,672

JUN 926,783,842,659 102,061,067,845 2,977,678,235,632 76,772,327,633 220,138,022,609

JUL 880,371,971,926 95,282,704,889 2,806,584,840,267 79,309,840,626 202,985,769,615

AGT 824,632,096,036 82,469,593,505 2,593,400,085,042 75,000,020,173 197,504,729,774

SEP 802,817,712,456 81,580,958,288 2,566,711,692,288 75,587,185,136 9,023,897,821

OKT 836,036,270,450 85,456,311,975 2,690,664,990,914 79,769,615,070 209,716,193,258

NOV 780,104,612,782 79,768,328,127 2,525,279,286,063 75,858,838,896 222,930,320,676

(13)

Lanjutan Data NAB 2013:

BULAN KODE REKSA DANA SAHAM

NISP GR002PRIMASH 0091033 0099424 SIEF

JAN 55,342,972,392 943,930,058,973 4,468,061,967,831 460,453,802,688 505,990,375,154

FEB 46,677,595,231 1,090,046,037,203 4,698,034,030,671 339,365,894,138 549,587,790,297

MAR 43,683,248,168 1,229,573,980,893 4,954,313,454,366 362,228,605,024 573,078,685,885

APR 41,106,861,371 1,230,942,658,596 5,446,541,684,779 393,633,023,944 591,629,717,638

MEI 37,869,367,441 1,448,481,429,432 6,275,016,499,327 415,506,444,666 614,343,597,989

JUN 35,592,475,488 1,922,350,007,930 6,562,246,251,997 423,892,503,715 567,637,919,988

JUL 32,308,362,479 1,746,429,401,736 6,278,982,828,808 404,557,172,210 547,673,505,270

AGT 29,402,777,941 1,603,283,420,516 5,553,855,350,792 360,296,622,267 495,566,914,736

SEP 29,511,347,495 1,768,621,501,655 6,138,337,465,334 392,923,534,934 501,639,448,490

OKT 30,394,264,993 1,988,863,996,598 6,601,820,869,886 411,796,574,204 524,999,941,209

NOV 28,752,597,606 2,039,972,709,734 6,121,334,745,641 380,655,261,605 499,128,946,188

DES 28,517,461,956 2,044,973,101,401 6,116,656,590,110 371,534,082,427 498,316,830,577

BULAN KODE REKSA DANA SAHAM 0082412 000D2B

JAN 487,733,964,284 514,203,447,247 FEB 432,266,793,213 530,022,863,226 MAR 543,233,766,877 547,434,593,965

APR 631,357,926,351 457,318,229,955 MEI 641,029,532,849 447,438,537,210 JUN 654,761,150,986 419,746,733,007 JUL 687,010,852,676 403,037,685,104

AGT 664,232,989,922 365,308,793,779 SEP 694,197,640,797 366,165,852,746 OKT 707,763,995,819 384,178,894,623 NOV 666,171,907,874 359,754,188,681

(14)

BULAN

KODE REKSA DANA

BIIDINA 000D1B RDEP 0086769 0099556

JAN 166,401,087,718 .26

FEB 172,683,488,492 .02

MAR 174,290,287,418 .52

APR 165,765,802,416 .87

MEI 167,241,472,886 .01

JUN 166,310,017,317 .27

JUL 174,235,723,856 .87

AGT 173,685,190,295 .98

SEP 147,020,044,683 .18

OKT 147,928,354,153 .63

NOV 149,095,651,099 .24

DES 152,219,369,254 .18

BULAN KODE REKSA DANA SAHAM

91017 0086504 00D68B FIPF 00D54N

JAN 71,267,124,05 8.62

FEB 76,751,598,29 6.50

MAR 78,677,249,46 4.70

APR 78,711,351,12 9.97

MEI 80,650,062,13 0.98

JUN 80,630,888,14 9.58

JUL 84,401,592,35 1.76

AGT 81,676,957,95 6.26

SEP 80,492,504,70 8.74

(15)

Lanjutan Data NAB 2014:

BULAN

KODE REKSA DANA SAHAM

BIG-EQ 0083303 0092882 0085209 00D61B

JAN 803,998,407,670.51 81,378,873,352.55 2,508,045,552,036.64 76,199,825,858.16 239,113,338,468. 11

FEB 840,366,636,109.87 85,915,804,154.16 2,571,296,138,817.14 82,117,054,545.38 245,117,434,123. 17

MAR 829,311,544,373.94 87,310,756,026.85 2,626,772,428,042.03 87,075,952,872.30 250,908,946,061. 11

APR 778,928,015,529.92 90,358,325,244.24 2,668,328,627,824.08 86,596,087,259.83 250,835,907,888. 37

MEI 712,012,170,132.78 90,439,955,997.08 2,636,990,625,124.83 87,067,076,872.54 262,278,838,823.68

JUN 610,223,279,967.40 89,203,636,517.89 2,636,737,324,059.20 86,991,869,130.46 56,465,641,211.0 6

JUL 603,128,656,684.53 90,663,624,549.98 2,622,907,676,856.79 84,121,692,370.59 227,693,508,837. 56

AGT 603,999,110,108.37 91,218,086,578.43 2,543,882,133,508.92 82,424,290,822.21 223,919,916,027.19

SEP 587,410,027,596.08 90,543,498,728.28 2,501,734,845,274.05 79,763,872,996.64 232,669,568,431. 72

OKT 532,357,946,752.76 90,628,774,171.82 2,489,564,235,581.48 77,754,307,033.70 245,072,203,508. 83

NOV 492,648,287,995.97 93,793,605,285.97 2,479,313,061,667.97 73,127,194,651.21 241,725,158,063. 73

DES 421,189,270,600.79 421,575,805,482.11 2,460,487,746,382.48 68,919,357,049.22 234,764,539,936. 12

BULAN

KODE REKSA DANA

NISP GR002PRIMASH 0091033 0099424 SIEF

JAN 27,801,329,161.4 2

FEB 28,448,885,406.1 9

MAR 31,344,353,877.15 2,067,693,868,334.18 7,087,336,944,656.26 576,917,024,027.86 576,644,054,121.30

APR 32,027,722,045.9 9

MEI 34,158,283,876.0 8

JUN 31,765,210,435.4 1

JUL 27,879,255,768.0 0

AGT 26,729,218,973.9 1

SEP 27,001,989,172.04 1,488,821,435,431.66 6,497,710,372,642.47 578,057,493,798.00 63,321,908,136.30

OKT 28,892,542,782.1 3

4 63,460,558,065.26

NOV 29,867,728,912.3 3

(16)

Lanjutan Data NAB 2014:

BULAN KODE REKSA DANA SAHAM 0082412 000D2B

JAN 701,124,214,215.57 417,094,180,607.41

FEB 661,464,827,125.55 438,997,225,388.57

MAR 634,047,200,041.74 449,687,180,830.07

APR 625,295,416,006.28 457,321,004,955.67

MEI 599,252,228,220.21 476,408,769,409.74

JUN 586,299,286,888.20 473,046,656,624.77

JUL 555,679,721,845.73 388,506,662,625.57

AGT 552,650,838,388.38 406,942,693,937.77

SEP 535,189,984,934.95 525,021,299,513.67

OKT 518,767,394,456.03 539,510,027,170.95

NOV 527,543,591,326.82 659,545,020,205.77

(17)

LAMPIRAN IV

Data Indeks Harga Saham Gabungan (IHSG) yang digunakan sebagai variabel

return

pasar dalam penelitian adalah:

Data IHSG dari Tahun 2012-2014

TAHUN

2012

2013

2014

JAN

3,941.6930

4,453.7030

4,418.75684

FEB

3,985.2100

4,795.7890

4,620.21582

MAR

4,121.5510

4,940.9860

4,768.27686

APR

4,180.7320

5,034.0710

4,840.146

MEI

3,832.8240

5,068.6280

4,893.9082

JUN

3,955.5770

4,818.8950

4,878.58203

JUL

4,142.3370

4,610.3770

5,088.80176

AGT

4,060.3310

4,195.0890

5136.86279

SEP

4,262.5610

4,316.1760

5,137.5791

OKT

4,350.2910

4,510.6310

5,089.54688

NOV

4,276.1410

4,256.4360

5,149.88818

(18)

LAMPIRAN V

Data Suku Bunga SBI yang digunakan sebagai variabel

return free

dalam penelitian

adalah:

Tingkat Suku Bunga SBI Tahun 2012-2014

TAHUN

2012

2013

2014

JAN

4.88325%

4.84021%

7.23217%

FEB

3.82290%

4.86119%

7.17434%

MAR

3.82637%

4.86950%

7.12591%

APR

3.92570%

4.89075%

7.13529%

MEI

4.23785%

5.02275%

7.14912%

JUN

4.32005%

5.27558%

7.13715%

JUL

4.45727%

5.52051%

7.09418%

AGT

4.54005%

5.85743%

6.97263%

SEP

4.67165%

6.95555%

6.88248%

OKT

4.74612%

6.96715%

6.84809%

NOV

4.77039%

7.22435%

6.86651%

(19)

LAMPIRAN VI

T-TEST PAIRS=SharpeReksadanaSaham WITH SharpeIHSG (PAIRED) /CRITERIA=CI(.9500)

/MISSING=ANALYSIS.

T-Test

Notes

Output Created 25-MAY-2015 11:17:06

Comments

Input Data E:\paired t-tes sharpe.sav

Active Dataset DataSet1

Filter <none>

Weight <none>

Split File <none>

N of Rows in Working Data

File 3

Missing Value Handling Definition of Missing User defined missing values are treated

as missing.

Cases Used Statistics for each analysis are based

on the cases with no missing or

out-of-range data for any variable in the

analysis.

Syntax T-TEST

PAIRS=SharpeReksaDanaSaham

WITH SharpeIHSG (PAIRED)

/CRITERIA=CI(.9500)

/MISSING=ANALYSIS.

Resources Processor Time 00:00:00.05

Elapsed Time 00:00:00.05

Paired Samples Statistics

Mean N Std. Deviation

Std. Error

Mean

Pair 1 SharpeReksaDanaSaham .0686667 3 .02281082 .01316983

(20)

Paired Samples Correlations

N Correlation Sig.

Pair 1 SharpeReksaDanaSaham &

SharpeIHSG 3 .454 .700

Paired Samples Test

Paired Differences

t df

Sig.

(2-taile

d) Mean

Std.

Deviatio

n

Std. Error

Mean

95% Confidence

Interval of the

Difference

Lower Upper

P

ai

r

1

SharpeRek

saDanaSa

ham -

SharpeIHS

G

1.7603333

3

1.17468

691 .67820580 -1.15775072

4.67841

738 2.59

(21)

T-TEST PAIRS=TreynorReksadanaSamham WITH TreynorIHSG (PAIRED) /CRITERIA=CI(.9500)

/MISSING=ANALYSIS.

T-Test

Notes

Output Created 07-MAY-2015 21:49:01

Comments

Input Data C:\Users\Win7\Documents\treynorpaire

dtest.sav

Active Dataset DataSet0

Filter <none>

Weight <none>

Split File <none>

N of Rows in Working Data

File 3

Missing Value Handling Definition of Missing User defined missing values are treated

as missing.

Cases Used Statistics for each analysis are based

on the cases with no missing or

out-of-range data for any variable in the

analysis.

Syntax T-TEST

PAIRS=TreynorReksaDanaSaham

WITH TreynorIHSG (PAIRED)

/CRITERIA=CI(.9500)

/MISSING=ANALYSIS.

Resources Processor Time 00:00:00.03

(22)

Paired Samples Statistics

Mean N Std. Deviation Std. Error Mean

Pair 1 TreynorReksaDanaSaham -.0073333 3 .07358215 .04248268

TreynorIHSG -.0486667 3 .01184624 .00683943

Paired Samples Correlations

N Correlation Sig.

Pair 1 TreynorReksaDanaSaham &

TreynorIHSG 3 -.770 .440

Paired Samples Test

Paired Differences

t df

Sig.

(2-tailed) Mean

Std.

Deviation Std.

Error

Mean

95% Confidence Interval of

the Difference

Lower Upper

a Treyn

orRek

saDa

naSa

ham -

Treyn

orIHS

G

.041333

33 .08305019

.04794

905 -.16497476

.24764143

(23)

T-TEST PAIRS=SortinoReksaDanaSaham WITH SortinoIHSG (PAIRED) /CRITERIA=CI(.9500)

/MISSING=ANALYSIS.

T-Test

Notes

Output Created 25-MAY-2015 12:36:00

Comments

Input Data C:\Users\Win7\Documents\sortinopaire

dtest.sav

Active Dataset DataSet1

Filter <none>

Weight <none>

Split File <none>

N of Rows in Working Data

File 3

Missing Value Handling Definition of Missing User defined missing values are treated

as missing.

Cases Used Statistics for each analysis are based

on the cases with no missing or

out-of-range data for any variable in the

analysis.

Syntax T-TEST

PAIRS=SortinoReksaDanaSaham

WITH SortinoIHSG (PAIRED)

/CRITERIA=CI(.9500)

/MISSING=ANALYSIS.

(24)

Paired Samples Statistics

Mean N Std. Deviation Std. Error Mean

Pair 1 SortinoReksaDanaSaham .0573667 3 .27089475 .15640115

SortinoIHSG -.8083333 3 .13640503 .07875348

Paired Samples Correlations

N Correlation Sig.

Pair 1 SortinoReksaDanaSaham &

SortinoIHSG 3 .937 .227

Paired Samples Test

Paired Differences

t df

Sig.

(2-tailed) Mean

Std.

Deviation

Std. Error

Mean

95% Confidence Interval

of the Difference

Lower Upper

P

ai

r

1

SortinoRe

ksaDana

Saham -

SortinoIH

SG

.86570

000 .15080627 .08706804 .49107647

1.2403235

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