Risk Adjusted

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ANALISIS PENGUKURAN KINERJA REKSA DANA SAHAM DENGAN METODE RISK-ADJUSTED RETURN DI BURSA EFEK INDONESIA PERIODE 2011-2013.

ANALISIS PENGUKURAN KINERJA REKSA DANA SAHAM DENGAN METODE RISK-ADJUSTED RETURN DI BURSA EFEK INDONESIA PERIODE 2011-2013.

Tandelilin (2001) dalam bukunya menjelaskan bahwa, untuk melihat kinerja sebuah portofolio kita tidak bisa hanya melihat tingkat return yang dihasilkan portofolio tersebut, tetapi kita juga harus memperhatikan faktor risiko portofolio tersebut. Dengan berdasarkan pada teori pasar modal, beberapa ukuran kinerja portofolio sudah memasukkan faktor return dan risiko dalam penghitungannya yang biasa dikenal dengan metode Risk- Adjusted Return atau Risk-Adjusted Performance. Metode pengukuran kinerja Reksa Dana yang sudah memasukkan faktor risiko adalah sebagai berikut :
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Analisis Kinerja Reksa Dana yang Terdaftar di Bapepam Menurut Metode Risk Adjusted Return

Analisis Kinerja Reksa Dana yang Terdaftar di Bapepam Menurut Metode Risk Adjusted Return

Dalam penilaian kinerja reksa dana, risiko merupakan faktor yang sangat menentukan, karena meskipun suatu jenis reksa dana dapat menghasilkan keuntungan lebih tinggi dibandingkan dengan jenis reksa dana yang lain tidak dapat dijadikan pedoman reksa dana tersebut memiliki kinerja yang lebih baik jika faktor risiko diperhitungkan. Pengukuran kinerja dengan melihat risiko yang secara teori dapat diukur dengan beberapa metode seperti Sharpe, Treynor, dan Jensen (Tandelilin, 2001:324). Pengukuran kinerja ini bersifat risk adjusted berarti bahwa pengukuran kinerja portofolio (reksa dana) tidak hanya dilihat dari besarnya return portofolio (reksa dana) saja, tetapi juga harus memperhatikan besarnya risiko yang harus ditanggung.
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CONCLUSION AND SUGGESTION  THE PERFORMANCE ANALYSIS OF EQUITY FUNDS USING RISK ADJUSTED RETURN, RISK RATIO AND SNAIL TRAIL.

CONCLUSION AND SUGGESTION THE PERFORMANCE ANALYSIS OF EQUITY FUNDS USING RISK ADJUSTED RETURN, RISK RATIO AND SNAIL TRAIL.

From the three methods used we can see that most of the equity funds are adjusted well and ready to face the risk. In fact, there are still some equity funds with underperform performance compare to the benchmark in both risk and return. The calculation of risk adjusted return, risk ratio, and snail trail are connected with the result which stated that equity funds shows a high return and high risk as well.

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THE PERFORMANCE ANALYSIS OF EQUITY FUNDS  THE PERFORMANCE ANALYSIS OF EQUITY FUNDS USING RISK ADJUSTED RETURN, RISK RATIO AND SNAIL TRAIL.

THE PERFORMANCE ANALYSIS OF EQUITY FUNDS THE PERFORMANCE ANALYSIS OF EQUITY FUNDS USING RISK ADJUSTED RETURN, RISK RATIO AND SNAIL TRAIL.

Table 3.1 : List of Equity Funds Company Listed in BAPEPAM per December 2012 Table 4.1 : Equity Fund Return and Average Return Period January 2008 – December 2012 Table 4.2 : Equity Funds Standard Deviation Period January 2008 – December 2012 Table 4.3 : Equity Funds Risk Adjusted Return (RAR) Period January 2008 – December

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Metode Numerik Untuk Menentukan Nilai Opsi Dengan Model Risk Adjusted Pricing Methodology (Rapm).

Metode Numerik Untuk Menentukan Nilai Opsi Dengan Model Risk Adjusted Pricing Methodology (Rapm).

Puji syukur penulis panjatkan kehadirat Allah SWT atas limpahan rahmat dan ridho-Nya, kesempatan, dan kesehatan yang dikaruniakan-Nya sehingga karya ilmiah yang berjudul “ Metode Numerik untuk Menentukan Nilai Opsi dengan Model Risk Adjusted Pricing Methodology (RAPM)” ini dapat terselesaikan. Terima kasih penulis ucapkan kepada:

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INTRODUCTION  THE PERFORMANCE ANALYSIS OF EQUITY FUNDS USING RISK ADJUSTED RETURN, RISK RATIO AND SNAIL TRAIL.

INTRODUCTION THE PERFORMANCE ANALYSIS OF EQUITY FUNDS USING RISK ADJUSTED RETURN, RISK RATIO AND SNAIL TRAIL.

The motivation to know the result of performance comparison to other type of mutual fund, which is an equity funds, is the researcher reason to do a research about “THE PERFORMANCE ANALYSIS OF EQUITY FUNDS USING RISK ADJUSTED RETURN, RISK RATIO, AND SNAIL TRAIL”. Researcher wants to know how the performance of equity funds performance compare to the market performance is.

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THE PERFORMANCE ANALYSIS OF EQUITY FUNDS USING RISK ADJUSTED RETURN, RISK RATIO AND SNAIL TRAIL.

THE PERFORMANCE ANALYSIS OF EQUITY FUNDS USING RISK ADJUSTED RETURN, RISK RATIO AND SNAIL TRAIL.

value of risk adjusted return compare to the benchmark. It means that investment managers are still unable to execute a right adjustment to get the return and they still have a good performance but they show an underperform performance because the value is lower than the benchmark. The other 4 equity funds show negative result, means that these equity funds are really risky because the investment manager unable to adjust the funds they manage. The equity funds with lower value of RAR compare to the benchmark still own an opportunity cost in managing their investment. If they do better performance, it is possible to create higher value compare to the benchmark, because in fact, there are several equity funds with higher value of benchmark. In outline, most of the equity funds show positive result but with lower value than the benchmark.
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Constructing Share Investment Portfolio: Valuing and Measuring Performance of IDX30 as a Stock-Based Invesment in Indonesia Financial Market with Risk Adjusted Performance

Constructing Share Investment Portfolio: Valuing and Measuring Performance of IDX30 as a Stock-Based Invesment in Indonesia Financial Market with Risk Adjusted Performance

This study is aimed to analyze, to construct, to measure and to value the portfolio performance of IDX30 as stock-based investment with risk adjusted performance. The findings are there were factors from a different group to another different variables, data analysis was performed using Paired Sample Test, ANOVA, and used different test by using One Way of Variance by Rank with Kruskal-Wallish, before it was analyzed, the data has to be standardized with z-score transformation. The results showed that there was different of IDX30 index performance between treatments (hypothesis 1 accepted), another results from expected return showed that there was different between individual performance method and risk adjusted performance on Sharpe (hypothesis 2 accepted) but there were not
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Measurement of shariah stock performance using risk adjusted performance

Measurement of shariah stock performance using risk adjusted performance

he results obtained from the calculation of the Islamic stock performance with the method of Risk Adjusted Performance shows that the Islamic stocks have performed well, because it tends to increase each year. Based on the rating sharia stock performance calculation by using method Sharpe, Treynor and Jensen show that there is the consistency of shares whose have the best ratings in each year. hese shares are AALI (Astra Agro Lestari Tbk), ANTM (Antam (Persero) Tbk), ASII (Astra International, Tbk), CPIN (Charoen Pokphand Indonesia Tbk), INDF (Indofood Sukses Makmur Tbk), KLBF (Kalbe Farma Tbk), LSIP (PP London Sumatra, PT), and UNTR (United Tractors Tbk). It could also be a reference to strengthening investor to invest in the stock. In addition to this performance analysis, can also use technical and fundamental analysis in order to know the ins and outs of the company’s performance from year to year and his track record does include companies that are healthy or not.
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THEORETICAL BACKGROUND  THE PERFORMANCE ANALYSIS OF EQUITY FUNDS USING RISK ADJUSTED RETURN, RISK RATIO AND SNAIL TRAIL.

THEORETICAL BACKGROUND THE PERFORMANCE ANALYSIS OF EQUITY FUNDS USING RISK ADJUSTED RETURN, RISK RATIO AND SNAIL TRAIL.

All investment has their own risk besides giving return to investors, as well as mutual fund. The risk of mutual fund tends to be lower if it is compared to direct investment of stocks. It occur as the effect of proportional portfolio owned by some investors, invested and diversified by fund manager to several instruments whether in capital market or money market. The risk is getting lower as the effect of regulation stated that mutual fund cannot buy a stock exceed five percent of an issue. On the other side, the regulation also stated that mutual fund cannot allocate the wealth exceed ten percent into a company. If mutual fund buys some effect issued by a company, then all of the value cannot exceed ten percent of Net Asset Value when the transaction happens.
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Studi komparatif kinerja reksa dana terproteksi dan reksa dana pendapatan tetap sebagai dasar pemilihan investasi di Indonesia (PT Danareksa Investment Management Tahun 2012).

Studi komparatif kinerja reksa dana terproteksi dan reksa dana pendapatan tetap sebagai dasar pemilihan investasi di Indonesia (PT Danareksa Investment Management Tahun 2012).

This research attemps to compare the performance between protected mutual fund and fixed income mutual fund that are handled by PT Danarareksa Investment Management on 2012. The object of this research are 11 protected mutual fund and 9 fixed income mutual fund actively operated during this research period. The sampling method is non probability sampling with saturated sampling (census). The secondary data are collected using library studies. The data are analized using mathematical formula with value of risk adjusted performance’s method (Sharpe’s method, Treynor’s method, and Jensen’s method) and holding period return’s method that would be discussed against the theories. The result of this research shows that fixed income mutual fund has a better performance than protected mutual fund with index accumulation value of risk adjusted performance 4,158346 and holding period return performance 8,4261%. Protected mutual fund just produced index accumulation value of risk adjusted performance 2,250306 and holding period return performance 5,9226%.
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Studi komparatif kinerja reksa dana terproteksi dan reksa dana pendapatan tetap sebagai dasar pemilihan investasi di Indonesia (PT Danareksa Investment Management Tahun 2012)

Studi komparatif kinerja reksa dana terproteksi dan reksa dana pendapatan tetap sebagai dasar pemilihan investasi di Indonesia (PT Danareksa Investment Management Tahun 2012)

This research attemps to compare the performance between protected mutual fund and fixed income mutual fund that are handled by PT Danarareksa Investment Management on 2012. The object of this research are 11 protected mutual fund and 9 fixed income mutual fund actively operated during this research period. The sampling method is non probability sampling with saturated sampling (census). The secondary data are collected using library studies. The data are analized using mathematical formula with value of risk adjusted performance’s method (Sharpe’s method, Treynor’s method, and Jensen’s method) and holding period return’s method that would be discussed against the theories. The result of this research shows that fixed income mutual fund has a better performance than protected mutual fund with index accumulation value of risk adjusted performance 4,158346 and holding period return performance 8,4261%. Protected mutual fund just produced index accumulation value of risk adjusted performance 2,250306 and holding period return performance 5,9226%.
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KINERJA REKSA DANA SYARIAH SEBELUM DAN SAAT KRISIS KEUANGAN DI INDONESIA ( Periode 2012 dan 2013)

KINERJA REKSA DANA SYARIAH SEBELUM DAN SAAT KRISIS KEUANGAN DI INDONESIA ( Periode 2012 dan 2013)

Menurut Hartono (2013:705) Pengukuran kinerja dapat dilakukan dengan menggunakan metode risk adjusted return yaitu metode Sharpe, Treynor, dan Jensen. Kinerja reksa dana merupakan hal utama yang dijadikan pertimbangan untuk memilih reksa dana yang tepat dalam melakukan investasi, sehingga kinerja merupakan tuntutan utama investor dalam pemilihan reksa dana yang lebih baik diantara reksa dana sebelum dan saat krisis keuangan. Nilai Aktiva Bersih (NAB) portofolio reksa dana merupakan salah satu indikator pengukuran kinerja baik syariah maupun konvensional (Pratomo dan Nugraha, 2004).
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Directory UMM :Journals:Journal of Health Economics:Vol19.Issue3.May2000:

Directory UMM :Journals:Journal of Health Economics:Vol19.Issue3.May2000:

The most effective way to inhibit regulation-induced selection is to refrain from premium rate restrictions. As an alternative way of increasing access to coverage for high-risk individuals, we consider explicit cross-subsidies from low-risk to high-risk individuals, whereas rate restrictions aim at implicit cross-subsidies. We assume that the insurers are fully free to set their premiums based on the equivalence principle. As argued in Section 2.2, we assume that in the long run a competitive market for individual health insurance will result in high premiums for high-risk individuals such that their access to coverage can be considered to be jeopardized. To satisfy the solidarity principle the sponsor organizes a subsidy system such that the high-risk persons receive a risk-adjusted premium subsidy from a solidarity fund. 19 This fund is filled with mandatory solidarity contribu-
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Impact of Percutaneous Coronary Intervention Performance Reporting on Cardiac Resuscitation Centers

Impact of Percutaneous Coronary Intervention Performance Reporting on Cardiac Resuscitation Centers

1.7% of the overall population but accounted for 21% of the observed mortality, with an adjusted OR of 27.8. The adop- tion of these unique variables resulted in an improvement in the area under the receiver-operating characteristic from 0.87 to 0.90 (P<0.001) and significantly impacted the individual hospitals’ publicly reported risk-adjusted mortality. Models predict a 75-year-old STEMI patient resuscitated after CA with a GCS score >6 without shock would have a predicted mortality of 2.63%. The same patient with a GCS score <7, which fulfills compassionate use criteria, would have a pre- dicted mortality of 54.9%. Each year, an adjudication com- mittee reviews and further defines the compassionate use criteria to ensure that the variable is capturing the correct elevated risk factors for mortality. Every patient classified as having received compassionate use PCI was reviewed by an adjudication committee to determine whether the case met the established criteria. Compassionate use was coded 128 times in 2009 and denied 37 times. However, the possibility of being denied the compassionate use designation is a factor considered by the operators when criteria are not met after OHCA (eg, sedative administration or GCS not documented after prolonged arrest), and models can only be constructed for the patients actually selected for PCI.
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Risk & refinements in capital budgeting

Risk & refinements in capital budgeting

Risk-Adjustment Techniques Risk-Adjusted Discount Rates Bennett Company Bennett Company Risk Adjusted Discount Rate Applied to Project B RADR = 11% Present Year Project B PVIF Value.[r]

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9 BAB II TINJAUAN PUSTAKA 2.1 Penelitian Terdahulu

9 BAB II TINJAUAN PUSTAKA 2.1 Penelitian Terdahulu

Sharpe (1999) beranggapan bahwa bila seorang investor memilih ukuran perusahaan dalam mencari laba saham, sama artinya dengan memilih pengaruh firrm size. Penelitian lebih lanjut yang dilakukan Jones (1996), menyatakan bahwa size effect adalah anomali dimana risk adjusted return dari perusahaan dengan ukuran kecil lebih tinggi dari perusahaan dengan ukuran besar.

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The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI) | Zulkafli | Gadjah Mada International Journal of Business 17959 47067 2 PB

The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI) | Zulkafli | Gadjah Mada International Journal of Business 17959 47067 2 PB

Despite providing a better perfor- mance, SRI is against “sin-stocks”. Instead, SRI argues that an investment should follow the term “Doing well while doing good” as noted by Hamilton et al. (1993). In this context, SRI funds use screening to distinguish them from other investments without neglecting the main purpose of an investment; its returns. This argument is also supported by Derwall et al. (2005) who specifically discussed what is called the “eco-efficiency premium puzzle” which explains that SRI portfolio funds have a bet- ter risk-return profile than the conventional funds. By applying screening to an investment portfolio, the investor is open to risk adjusted returns that are matched to their mindset. In line with this, the investors are more con- vinced about the performance of SRI invest- ments. This can be connected to Galema et al. (2008) who argued that the establishment of SRI portfolios with good implementation in the environmental, diversity and technol- ogy fields of eco-friendly products had a sig- nificant impact on stock returns.
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Risk Analysis | Karya Tulis Ilmiah Risk Analysis

Risk Analysis | Karya Tulis Ilmiah Risk Analysis

Risk analysis adalah proses identifikasi yang dilakukan untuk mengetahui risiko yang mungkin terjadi dalam suatu pekerjaan maupun suatu kondisi. Di dalam risk analysis melibatkan proses identifikasi kemungkinan ancaman bahaya yang dapat terjadi dalam suatu pekerjaan di dalam organisasi (Wold and Shriver, 1997). Risk analysis juga dapat digunakan untuk menghitung akibat dari setiap potensial ancaman bahaya pada berbagai pekerjaan dalam suatu organisasi.

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Process, Risk Dashboard, Risk Management, Risk Map, Risk Mitigation, Value at Risk

Process, Risk Dashboard, Risk Management, Risk Map, Risk Mitigation, Value at Risk

This condition makes the company have to reschedule their completion date of product and make some amendment for the contracts with the customer. In the middle of 2015, PT Barata Indonesia have established commercial and risk bureau whom responsible to company’s risk management. Unfortunately, there were no risk assessment performed on bogie S2HD-9C’s production process. Usually the production department makes a small notes for every defects occurred on each batch of production. But there were no further analysis or assessment in order to handle any possibilities of risk.
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