Penggunaan Metode Jensen Dalam Pengukuran Kinerja Reksa Dana: Studi Kasus Tujuh Reksa Dana Saham

Pengarang :	Victor Siagian
Sumber :	Akuntabilitas : Jurnal Ilmiah Akuntansi
Penerbit :	Jurusan Akuntansi Universitas Pancasila
Tahun Terbit Artikel:	2006
Volume :	6
No :	1
Halaman :	22-33
Kata Kunci :	Mutual funds; Corporate performance; Measurements; Shares
Abstrak :	The objective of this research is to evaluate the performance of mutual fund in Indonesia. For measuring the performance of mutual fund, this research was implemented using Alpha Jensens model. Using Jensens model caused by unconditional model, in which the performance of mutual fund is able to be compared without focusing on the differentiation of portfolio diversification level. The performance was measured by intercepting the regression between an excess of portfolio return as a dependent variable and an excess market return as an independent variable. The result of this research is that there are only three out of seven mutual funds which were observed, have been outperformed toward market performs as a benchmark of performance. Variable of consistent excess market return that influenced the portfolio return was positively significant. The bad mutual fund performance is more caused by stock selection ability of portfolio managers in selecting accurate stock of portfolio.
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