Analisis perbandingan kinerja reksa dana saham dan reksa dana campuran dengan menggunakan Model sharpe, treynor, dan jensen

(1)

LAMPIRAN I

Daftar Manajer Investasi Reksa Dana Saham yang Menjadi Sampel

Penelitian:

No

Kode Reksa Dana

Manajer Investasi

Nama Reksa Dana

1 000D1B

PT BNI Asset

Management

BNI Reksa Dana

Berkembang

2 0086918

PT BNP Paribas

Investment Partners

BNP Paribas Inspira

3 0083089

PT BNP Paribas

Investment Partners

BNP Paribas Star

4 0086769

PT Batavia Prosperindo

Aset Manajemen

Batavia Dana Saham

Optimal

5 BAM SAH

PT Batavia Prosperindo

Aset Manajemen

Batavia Dana Saham

6 RDEP

PT Bahana TCW

Investment Management

Reksa Dana Ekuitas

Prima

7 RDMW

PT Danareksa Investment

Management

Danareksa Mawar

8 0098566

PT First State Investment

Indonesia

First State Indoequity

Sectoral Fund

9 0083139

PT Mandiri Manajemen

Investasi

Mandiri Investa Equitas

Danamis

10 0092882

PT Manulife Aset

Manajemen Indonesia

Manulife Dana Saham

11 0085209

PT Maybank GMT Asset

Management

Maybank GMT Dana

Ekuitas

12 0091033

PT Panin Asset

Management

Panin Dana Maksima

13 SIEF

PT Schroder Investment

Schoroder Indo Equity

Fund

14 000D80

PT Sinarmas Asset

Simas Danamas Saham

15 0085290

PT Syailendra Capital

Syailendra Equity

Oppurtunity Fund

16 035600246432

PT Trimegah Asset

Tram Consumption Plus

17 000D2B

PT Trimegah Asset

TRIM Capital

(2)

LAMPIRAN II

Daftar Manajer Investasi Reksa Dana Campuran yang Menjadi Sampel

Penelitian:

No

Kode Reksa Dana

Manajer Investasi

Nama Reksa Dana

1 610513

PT Batavia Prosperindo

Aset Manajemen

Batavia Prima

Campuran

2 0081406

PT Batavia Prosperindo

Aset Manajemen

Batavia Prima

Ekspektasi

3 RBQU

PT Bahana TCW

Investment Management

Bahana Quant Strategy

4 BNIADT

PT BNI Asset Management

BNI AM Dana

Terencana

5 0089763

PT BNP Paribas Investment

Partners

BNP Paribas Equitra

6 0081331

PT BNP Paribas Investment

Partners

BNP Paribas Dana

Invest

7 000D8F

PT Danareksa Investment

Management

Danamas Pasti

8 0098301

PT Mandiri Manajemen

Investasi

Mandiri Investa Aktif

9 0083378

PT Manulife Aset

Manajemen Indonesia

Manulife Dana

Campuran

10 0356000022435

PT Manulife Aset

Manajemen Indonesia

Manulife Dana Stabil

Berimbang

11 0086389

PT Maybank GMT Asset

Management

Maybank GMT Dana

Fleksi

12 0087577

PT Maybank GMT Asset

Management

Maybank GMT Dana

Unggulan

13 0081349

PT Panin Asset

Management

Panin Dana Bersama

14 RDAF

PT Danareksa Investment

Management

Reksa Dana Anggrek

Fleksibel

15 0094235

PT Schroder Investment

Schoreder Dana

Terpadu II

16 000D8S

PT Sinarmas Asset

Simas Satu Prima

17 0082412

PT Syailendra Capital

Syailendra Balanced

Oppurtunity

(3)

LAMPIRAN III

Data Nilai Aktiva Bersih (NAB)/Unit yang digunakan sebagai variabel

return

portofolio dalam penelitian

NAB 2013

BULAN

KODE REKSA DANA

00D1B 0086918 0083089 BAM SAH RDEP

JAN 2.400,80 1.135,04 1.304,98 42.333,01

_4.001,52

FEB 2.582,05 1.225,24 1.419,12 46.012,21

4.309,25

MAR 2.628,86 1.265,98 1.456,55 47.466,87

4.491,98

APR 2.648,74 1.294,16 1.468,88 49.945,85

_4.624,55

MEI 2.791,43 1.302,65 1.493,83 51.473,13

_4.833,38

JUN 2.477,50 1.222,15 1.411,35 47.693,76

4.392,97

JUL 2.273,21 1.164,33 1.326,04 46.087,15

4.109,29

AGT 1.987,51 1.053,54 1.207,26 42.493,67

_3.672,40

SEP 2.033,26 1.071,85 1.208,94 42.917,09

_3.763,95

OKT 2.109,63 1.128,55 1.268,31 44.707,78

3.949,60

NOV 1.945,67 1.057,39 1.181,06 42.280,78

3.632,80

DES 1.931,80 1.057,67 1.175,73 42.773,75

_3.605,79

BULAN

KODE REKSA DANA

0083139 0092882 0085209 0091033 SIEF

JAN 1.335,67 10.403,21 3.031,61 61.191,019 1.684,09

FEB 1.416,49 11.156,15 3.255,06 67.124,724 1.829,19

MAR 1.526,25 11.465,98 3.359,44 71.163,646 1.907,37

APR 1.518,23 11.735,99 3.436,83 73.985,547 1.969,12

MEI 1.655,78 11.955,53 3.590,67 76.961,918 2.044,72

JUN 1.471,97 11.298,61 3.301,61 71.632,162 1.889,27

JUL 1.318,45 10.743,61 3.086,45 65.814,933 1.822,82

AGT 1.148,66 9.889,60 2.847,28 57.186,275 1.649,39

SEP 1.173,43 9.939,01 2.927,00 61.692,246 1.669,60

OKT 1.225,31 10.419,58 3.063,11 64.472,024 1.747,35

NOV 1.147,65 9.792,60 2.880,65 58.271,101 1.661,25

(4)

BULAN

KODE REKSA DANA

0086769 RDMW 0098566 000D8O 0085290

JAN 2111,38 151.415.740.326,66 4.813,31 1.455,81 3.389,77

FEB 2297,06 129.485.656.413,55 5.163,60 1.592,40 3.592,87

MAR 2398,39 129.401.066.561,71 5.303,53 1.712,29 3.799,61

APR 2493,35 133.127.398.746,10 5.441,22 1.751,54 3.783,18

MEI 2583,38 132.939.370.035,04 5.388,56 1.851,15 3.838,79

JUN 2410,21 126.921.282.858,24 5.190,88 1.649,75 3.583,55

JUL 2324,34 123.897.996.240,39 4.914,61 1.548,32 3.395,79

AGT 2102,66 113.825.355.897,98 4.479,39 1.370,18 2.936,16

SEP 2148,42 115.766.021.189,05 4.591,96 1.403,19 3.064,85

OKT 2262,37 120.916.655.142,87 4.812,65 1.470,20 3.173,86

NOV 2130,41 111.939.104.776,57 4.502,96 1.383,46 2.947,50

DES 2144,72 111.961.852.962,91 4.489,11 1.363,86 2.964,29

BULAN

KODE REKSA DANA

035600246432 TRIM Capital

JAN 1.298,74 8.094,28

FEB 1.374,52 8.580,81

MAR 1.399,54 8.900,19

APR 1.403,63 8.854,13

MEI 1.428,00 8.961,88

JUN 1.345,51 8.349,84

JUL 1.263,25 7.996,92

AGT 1.120,83 7.112,18

SEP 1.150,22 7.246,47

OKT 1.197,43 7.582,98

NOV 1.128,65 7.103,65

(5)

NAB 2014

BULAN

KODE REKSA DANA

00D1B 0086918 0083089 BAM SAH RDEP

JAN 2.039,80 1.108,35 1.202,66 44.635,86 3.839,87

FEB 2.150,21 1.167,53 1.264,09 47.149,92 4.098,16

MAR 2.211,78 1.203,66 1.301,66 49.150,00 4.269,27

APR 2.252,49 1.231,42 1.326,48 49.560,76 4.315,67

MEI 2.276,99 1.247,68 1.339,21 49.152,41 4.371,59

JUN 2.271,47 1.247,79 1.329,85 48.513,17 4.289,27

JUL 2.370,26 1.321,09 1.389,10 51.679,79 4.546,57

AGT 2.383,55 1.320,59 1.393,64 52.234,18 4.626,53

SEP 2.385,56 1.327,09 1.381,65 52.139,51 4.486,19

OKT 2.370,46 1.321,61 1.363,33 52.170,33 4.559,33

NOV 2.448,39 1.349,95 1.397,08 53.312,44 4.667,16

DES 2.468,63 1.368,23 1.423,81 54.091,09 4.724,79

BULAN

KODE REKSA DANA

0083139 0092882 0085209 0091033 SIEF

JAN 1.153,08 10.055,42 2.915,65 61.339,85 1.748,89

FEB 1.254,78 10.614,15 3.101,78 66.109,47 1.843,75

MAR 1.311,80 11.031,67 3.244,76 67.971,91 1.919,24

APR 1.343,39 11.236,50 3.263,42 68.235,06 1.940,47

MEI 1.373,11 11.372,34 3.307,51 67.435,26 1.955,26

JUN 1.325,25 11.256,77 3.285,24 66.315,08 1.956,10

JUL 1.393,35 11.773,25 3.420,29 70.258,52 2.067,60

AGT 1.424,17 11.834,66 3.421,86 71.186,96 2.081,66

SEP 1.360,28 11.765,20 3.341,38 69.993,71 2.044,30

OKT 1.371,34 11.692,23 3.323,40 70.477,08 2.048,78

NOV 1.426,65 11.965,57 3.389,79 73.319,60 2.084,40

(6)

BULAN

KODE REKSA DANA

0086769 RDMW 0098566 000D8O 0085290

JAN 2.239,94 111.597.505.310,02 4.745,46 1.429,89 3.081,03

FEB 2.368,76 115.972.595.280,98 4.974,76 1.509,84 3.300,48

MAR 2.464,16 117.557.317.391,44 5.124,00 1.582,52 3.414,04

APR 2.482,73 118.512.865.467,02 5.176,15 1.600,32 3.420,00

MEI 2.479,87 118.821.307.748,65 5.220,15 1.609,48 3.381,07

JUN 2.431,16 118.424.414.151,64 5.179,88 1.583,53 3.336,96

JUL 2.625,93 122.079.197.654,64 5.476,91 1.669,20 3.500,01

AGT 2.664,94 129.509.173.453,23 5.508,60 1.705,43 3.464,46

SEP 2.651,03 109.079.647.354,59 5.483,96 1.694,02 3.350,88

OKT 2.640,51 109.115.463.402,01 5.450,74 1.707,11 3.352,71

NOV 2.698,64 115.191.512.375,74 5.567,86 1.739,05 3.420,55

DES 2.739,48 115.035.331.590,70 5.621,20 1.783,34

BULAN

KODE REKSA DANA

035600246432 TRIM Capital

JAN 1.298,74 8.094,28

FEB 1.374,52 8.580,81

MAR 1.399,54 8.900,19

APR 1.403,63 8.854,13

MEI 1.428,00 8.961,88

JUN 1.345,51 8.349,84

JUL 1.263,25 7.996,92

AGT 1.120,83 7.112,18

SEP 1.150,22 7.246,47

OKT 1.197,43 7.582,98

NOV 1.128,65 7.103,65

(7)

NAB/Unit Reksa Dana Campuran Tahun 2013

BULAN

KODE REKSA DANA

0081331 610513 0081406 000D8F 0098301

JAN 2.846,72 1.164,43 3.164,64 2.573,00 3.041,26 FEB 3.005,68 1.239,50 3.405,49 2.590,49 3.258,21 MAR 3.075,51 1.274,90 3.685,80 2.595,38 3.364,29

APR 3.140,01 1.330,65 3.663,74 2.612,81 3.372,72 MEI 3.125,54 1.367,31 3.745,97 2.617,35 3.441,34 JUN 2.986,84 1.265,49 3.640,87 2.578,28 3.267,12

JUL 2.856,32 1.230,17 3.520,25 2.589,64 3.145,88 AGT 2.638,65 1.148,98 3.135,95 2.586,78 2.926,08 SEP 2.681,27 1.166,28 3.438,29 2.598,19 2.914,52 OKT 2.819,26 1.206,27 3.325,57 2.657,22 3.026,79

NOV 2.660,12 1.150,61 3.133,61 2.605,47 2.900,47 DES 2.656,39 1.162,68 3.139,25 2.581,28 2.922,08

BULAN

KODE REKSA DANA

0089763 035600022435 0086389 0087577 0081349

JAN 15.777,69 1.669,59 2.415,96 1.056,28 5.230,23

FEB 16.987,66 1.710,69 2.570,87 1.057,00 5.657,90

MAR 17.517,95 1.708,23 2.603,85 1.062,77 5.938,69

APR 17.857,15 1.733,28 2.622,43 1.068,92 6.209,36

MEI 17.926,20 1.716,62 2.704,65 1.081,85 6.513,04

JUN 16.868,13 1.601,21 2.532,06 1.045,65 6.102,49

JUL 16.049,05 1.530,09 2.397,51 1.037,47 5.661,83

AGT 14.454,11 1.477,14 2.296,84 1.028,75 4.982,60

SEP 14.705,43 1.472,35 2.361,26 1.041,49 5.216,49

OKT 15.448,84 1.565,80 2.441,20 1.069,10 5.444,90

NOV 14.453,69 1.460,63 2.363,58 1.041,95 4.967,88

(8)

BULAN

KODE REKSA DANA

0094235 0094649 0082412 0086777 BNIADT

JAN 2.667,44 5.768,32 2.068,37 1.771,87 1.078,95

FEB 2.817,04 6.256,82 2.171,96 1.889,31 1.132,40

MAR 2.871,69 6.464,76 2.270,25 1.907,32 1.162,01

APR 2.946,55 6.636,76 2.253,76 1.917,14 1.190,59

MEI 2.995,86 6.680,84 2.263,52 1.962,97 1.234,32

JUN 2.810,15 6.442,96 2.159,82 1.825,31 1.162,81

JUL 2.730,19 6.318,58 2.105,97 1.732,80 1.120,26

AGT 2.547,24 5.889,91 1.893,20 1.597,86 1.050,35

SEP 2.552,54 6.088,08 1.978,14 1.617,98 1.069,68

OKT 2.659,74 6.315,32 2.016,65 1.676,99 1.099,76

NOV 2.482,48 6.013,52 1.898,06 1.605,37 1.029,10

DES 2.496,98 5.911,54 1.914,98 1.606,75 1.024,92

BULAN KODE REKSA DANA

RDAF 00D8S RBQU

JAN 3.231,24 1.009,14 1.231,01

FEB 3.403,35 1.059,28 1.292,92

MAR 3.450,14 1.099,18 1.333,61

APR 3.544,68 1.135,75 1.381,29

MEI 3.580,23 1.196,56 1.527,81

JUN 3.377,58 1.118,80 1.354,04

JUL 3.250,26 1.082,35 1.244,72

AGT 2.977,25 1.021,46 1.077,58

SEP 2.988,65 1.048,84 1.120,78

OKT 3.133,17 1.109,88 1.170,84

NOV 2.923,39 1.063,18 1.050,79

(9)

NAB/Unit Reksa Dana Campuran Tahun 2014

BULAN

KODE REKSA DANA

0081331 610513 0081406 000D8F 0098301

JAN 2.706,40 1.204,92 3.157,76 2.592,67 2.965,81

FEB 2.759,93 1.262,15 3.179,91 2.538,49 3.065,62

MAR 2.807,14 1.302,77 3.279,09 2.558,43 3.157,55

APR 2.874,96 1.316,31 3.316,29 2.577,41 3.217,28

MEI 2.891,15 1.320,49 3.324,28 2.576,44 3.236,79

JUN 2.881,81 1.310,76 3.285,66 2.587,82 3.231,56

JUL 2.996,07 1.384,98 3.467,52 2.597,87 3.340,05

AGT 3.010,64 1.388,97 3.510,45 2.612,87 3.341,08

SEP 3.018,55 1.389,21 3.478,03 2.626,65 3.333,76

OKT 3.013,64 1.396,47 3.531,84 2.640,09 3.330,19

NOV 3.063,34 1.423,42 3.618,67 2.653,86 3.399,56

DES 3.096,99 1.432,39 3.707,77 2.621,97 3.464,99

BULAN

KODE REKSA DANA

0089763 035600022435 0086389 0087577 0081349

JAN 15.081,76 1.461,86 2.377,91 1.054,59 4.963,80

FEB 15.865,65 1.518,67 2.485,97 1.087,83 5.026,49

MAR 16.375,73 1.568,21 2.590,81 1.118,91 5.067,47

APR 16.709,39 1.580,24 2.603,96 1.133,28 5.063,34

MEI 16.911,43 1.587,90 2.634,72 1.140,30 5.089,81

JUN 16.872,74 1.567,58 2.617,56 1.140,90 5.031,15

JUL 17.746,27 1.597,95 2.689,32 1.164,26 5.355,16

AGT 17.783,45 1.609,08 2.712,88 1.174,92 5.429,99

SEP 17.723,98 1.598,30 2.692,23 1.175,80 5.355,93

OKT 17.671,65 1.637,11 2.653,28 1.176,27 5.424,81

NOV 18.088,65 1.671,17 2.678,49 1.190,69 5.594,50

(10)

BULAN

KODE REKSA DANA

0094235 0094649 0082412 0086777 BNIADT

JAN 2.555,93 6.056,43 1.982,65 1.630,53 1.065,48

FEB 2.666,16 6.263,99 2.089,24 1.714,52 1.103,81

MAR 2.741,53 6.433,18 2.153,41 1.794,38 1.117,06

APR 2.756,48 6.477,85 2.171,10 1.830,56 1.122,23

MEI 2.770,91 6.553,05 2.160,85 1.854,23 1.127,32

JUN 2.756,10 6.499,26 2.143,75 1.829,48 1.122,27

JUL 2.852,53 6.875,49 2.201,07 1.909,15 1.138,20

AGT 2.856,79 6.991,30 2.188,72 1.933,55 1.147,00

SEP 2.808,62 6.840,33 2.125,28 1.880,83 1.148,36

OKT 2.861,15 6.967,87 2.123,56 1.926,69 1.149,64

NOV 2.945,66 7.190,49 2.164,03 2.008,89 1.170,78

DES 3.004,71 7.376,41 2.213,97 2.068,92 1.171,04

BULAN

KODE REKSA DANA

RDAF 00D8S RBQU

JAN 2.993,06 1.070,04 1.064,61

FEB 3.096,94 1.127,46 1.112,63

MAR 3.172,04 1.158,48 1.161,80

APR 3.226,44 1.168,41 1.164,62

MEI 3.252,83 1.179,89 1.169,96

JUN 3.216,81 1.178,98 1.152,63

JUL 3.336,06 1.215,92 1.205,03

AGT 3.342,27 1.223,14 1.211,28

SEP 3.330,77 1.222,26 1.196,58

OKT 3.332,28 1.232,67 1.209,34

NOV 3.385,11 1.232,33 1.237,15

(11)

LAMPIRAN IV

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

return pasar dalam penelitian adalah:

Data IHSG Tahun 2013-2014

TAHUN

2013

2014

JAN

4.453,70

4.418,76

FEB

4.795,79

4.620,22

MAR

4.940,99

4.768,28

APR

5.034,07

4.840,15

MEI

5.068,63

4.893,91

JUN

4.818,90

4.878,58

JUL

4.610,38

5.088,80

AGT

4.195,09

5.136,86

SEP

4.316,18

5.137,58

OKT

4.510,63

5.089,55

NOV

4.256,44

5.149,89

(12)

LAMPIRAN V

Data suku bunga Sertifikat Bank Indonesia (SBI) yang digunakan sebagai variabel

return free

dalam penelitian adalah:

Data SBI dari Tahun 2013-2014

TAHUN

2013

2014

JAN

4.84021%

7.23217%

FEB

4.86119%

7.17434%

MAR

4.86950%

7.12591%

APR

4.89075%

7.13529%

MEI

5.02275%

7.14912%

JUN

5.27558%

7.13715%

JUL

5.52051%

7.09418%

AGT

5.85743%

6.97263%

SEP

6.95555%

6.88248%

OKT

6.96715%

6.84809%

NOV

7.22435%

6.86651%

(13)

LAMPIRAN VI

Hasil Uji Hipotesis

1. Paired Sample Test Indeks

Sharpe

2. Paired Sample Test Indeks

Sharpe

Paired Samples Test

Paired Differences

t df Sig. (2-tailed) Mean Std. Deviation

Std. Error

Mean

95% Confidence Interval of the

Difference

Lower Upper

Pair 1 TreynorSaham –

TreynorCampuran

,0166294 ,3309185 ,0802595 -,1535132 ,1867720 ,207 16 ,838 Paired Samples Test

Paired Differences

Std. Error

Mean

Difference

Lower Upper

Pair 1 SharpeSaham –

SharpeCampuran

(14)

3. Paired Sample Test Indeks

Jensen

Paired Samples Test

Paired Differences

Std. Error

Mean

Difference

Lower Upper

Pair 1 JensenSaham –

JensenCampuran

(15)