EVALUATION PERFORMANCE OF EQUITY FUNDS BY · PDF fileMeasurement Model Index Sharpe, Treynor,...

EVALUATION PERFORMANCE OF EQUITY FUNDS BY SHARPE,

TREYNOR, JENSEN, MODIGLIANI, SORTINO, AND EROV

(Case Study Equity Funds Listed in Securities and Exchange

Commission (BAPEPAM) Period 2010 – 2012)

By:

Arfian Fidya Utama

ID: 109081100003

MANAGEMENT DEPARTMENT

INTERNATIONAL CLASS PROGRAM

FACULTY OF ECONOMICS AND BUSINESSES

STATE ISLAMIC UNIVERSITY SYARIF HIDAYATULLAH

JAKARTA

1434 H /2013

i

EVALUATION PERFORMANCE OF EQUITY FUNDS BY SHARPE,

TREYNOR, JENSEN, MODIGLIANI, SORTINO, AND EROV

(Case Study Equity Funds Listed in Securities and Exchange

Commission (BAPEPAM) Period 2010 – 2012)

THESIS

Submitted to faculty of Economics and Business in Partial Recruirements for

Acquiring the Bachelor Degree of Economics

By:

Arfian Fidya Utama

ID: 109081100003

MANAGEMENT DEPARTMENT

INTERNATIONAL CLASS PROGRAM

FACULTY OF ECONOMICS AND BUSINESSES

STATE ISLAMIC UNIVERSITY SYARIF HIDAYATULLAH

JAKARTA

1434 H /2013

iii

CURRICULUM VITAE

PERSONAL DATA

Name : Arfian Fidya Utama

Date of Birth : Tangerang, March 26th 1991

Address : JL. Inpres VI / 29 RT/RW 001/001

Gaga,Larangan, Kota Tangerang

Religion : Islam

Phone : 0813-8641-5623

Email : [email protected]

EDUCATIONAL BACKGROUND

1. 1996 – 1997 : TK Al- fiah

2. 1997 – 2003 : SDN Kreo 4

3. 2003 – 2006 : SMP Negeri 11 Tangerang

4. 2006 – 2009 : SMA Hang Tuah 1 Jakarta

5. 2009 – 2013 : UIN Syarif Hidayatullah Jakarta

mailto:[email protected]

iv

ABSTRACT

The aim of the research is about the performance evaluation on equity funds based on

Sharpe, Treynor, Jensen, Modigliani (M2), Sortino, and EROV measurement, it is

also to explain the performance of equity funds (or investment funds) so it can be a

consideration factor in the investment decision. To invest on equity funds, investors

should be compare composition of knowing their investment policy and measurement

of their performances.

The methods of measurement used in evaluating equity funds performances are 6

methods of Risk-Adjusted Ratio Performance Measures, they are The Sharpe

Measurement (RVAR), The Treynor Measurement (RVOL), Jensen's Differential

Return (Alpha), Modigliani (M2), Sortino, and Exceess Return on VaR (EROV).

Coefficient determination is used to know which equity fund has the best

diversification. The sample is in 44 mutual funds with 3 years periods from 2010 to

2012. Benchmark for equity funds is needed to be a performance comparison is JCI.

The results based on 6 methods shows the different appraisals and ranks. However, in

general, there's only one equity fund that has the best or optimal performance, which

Is Panin Dana Maksima.

Keyword: Performance evaluation, Equity Funds, Risk Adjusted Ratio Method.

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ABSTRAK

Tujuan dari penelitian ini adalah tentang evaluasi terhadap kinerja reksa dana

saham berdasarkan Sharpe, Treynor, Jensen, Modigliani (M2), Sortino, dan

pengukuran EROV, juga untuk menjelaskan kinerja reksa dana saham (atau dana

investasi) sehingga dapat menjadi faktor pertimbangan dalam pengambilan

keputusan investasi. Untuk berinvestasi di reksa dana saham, investor harus

membandingkan mengetahui kebijakan komposisi investasi dan pengukuran kinerja

mereka.

Metode pengukuran yang digunakan dalam mengevaluasi reksa dana saham adalah

6 metode Risk-Adjusted Pengukuran Kinerja, mereka adalah Sharpe (RVAR),

Treynor (RVOL), Jensen (Alpha), Modigliani (M2), Sortino, dan Exceess Return On

VaR (EROV). Koefisien determinasi digunakan untuk mengetahui reksa dana saham

mana yang memiliki diversifikasi terbaik. Sampel adalah 44 reksa dana dengan

periode 3 tahun 2010-2012. Benchmark untuk reksa dana saham yang dibutuhkan

untuk menjadi perbandingan kinerja IHSG.

Hasil berdasarkan 6 metode menunjukkan penilaian yang berbeda dan jajaran.

Namun, secara umum, hanya ada satu reksa dana saham yang memiliki yang terbaik

atau optimal kinerja yang adalah Panin Dana Maksima.

Kata Kunci : Evaluasi Performa, Reksa Dana Saham, Metode Risk-Adjusted Rasio.

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LIST OF CONTENNT

COVER PAGE IN .............................................................................................. i

SHEET STATEMENT AUTHENTICITY SCIENTIFIC WORKS ................... ii

CURICULUM VITAE ........................................................................................ iii

ABTSRACT ........................................................................................................ iv

ABSTRAK .......................................................................................................... v

PREFACE ........................................................................................................... vi

LIST OF CONTENT ..........................................................................................viii

LIST OF TABLE ................................................................................................ xi

LIST OF PICTURE ............................................................................................ xii

LIST OF APPENDIX ......................................................................................... xiii

CHAPTER I INTRODUCTION

1.1 Background ............................................................................................ 1

1.2 Problem Formulation ............................................................................. 10

1.3 Purpose of The Research ....................................................................... 10

1.4 The Benefits of This Research ............................................................... 11

CHAPTER II LITERATURE REVIEW

2.1 Investment.............................................................................................. 13

2.1.1 Understanding Mutual Funds ...................................................... 13

2.1.2 Type of Investment ...................................................................... 14

2.1.3 Purpose of Investment ................................................................. 15

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2.2. Mutual Funds ........................................................................................ 16

2.2.1 Understanding Mutual Funds ...................................................... 16

2.2.2 Form, Nature, and Types Mutual Funds ...................................... 18

2.2.2.1 Mutual Funds Based on Legal Forms .............................. 18

2.2.2.2 Mutual Funds Based on Character................................... 18

2.2.2.3 Mutual Funds by Type of Investment .............................. 21

2.2.3 Portfolio Management of Mutual Funds ..................................... 23

2.2.4 Benefits of Mutual Funds ............................................................ 23

2.2.5 Mutual Funds Investment Risk .................................................... 27

2.2.6 Mutual Fund Performance Measurement Model ......................... 31

2.2.7 Benchmark ................................................................................... 38

2.3 Previous Research .................................................................................. 38

2.4 Framework ............................................................................................. 42

2.5 Hypothesis ............................................................................................. 44

CHAPTER III RESEARCH METHODOLOGY

3.1 The Scope of Research .......................................................................... 45

3.2 Sampling Methods ................................................................................ 45

3.3 Data Collection Method ........................................................................ 48

3.4 Data Analysis Methods ......................................................................... 48

3.5 Theoritical Hypothesis ........................................................................... 54

3.6 Research Operational of Variables ....................................................... 56

CHAPTER IV ANALYSIS AND DISCUSSION

4.1 Descriptive Statistics Analysis .............................................................. 64

x

4.2 Analysis Performance of Equity Funds ................................................. 69

4.3 Performance Comparisons Monthly Equity Funds with Risk-Adjusted

Return Methods .................................................................................... 92

4.4 Hypothesis Testing ................................................................................ 98

4.4.1 Normality Test Data ...................................................................... 99

4.4.2 Comparations Test Different Equity Funds Return with Benchmark

Return ..........................................................................................101

4.4.3 Comparations Test The Result of Performance of Equity Funds By

Measurement Model Index Sharpe, Treynor, Jensen, Modigliani,

Sortino, and EROV .....................................................................102

CHAPTER V CONCLUSIONS AND IMPLICATIONS

5.1 Conclusion ...........................................................................................105

5.2 Implication ...........................................................................................106

RERFERENCES .................................................................................................107

APPENDIX .........................................................................................................110

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LIST OF TABLE

Table 1.1 Type of NAV Mutual Funds on October 29th

, 2010 ............................. 2

Table 1.2 Industrial Development of Mutual Funds 1996-2012 .......................... 5

Table 2.1 Summary of Previous Research ........................................................... 41

Table 3.1 Equity Funds to Study Sample ............................................................. 46

Table 3.2 Research Variable, Operational Definition and Formulation .............. 62

Table 4.1 Descriptive Statistics Average Monthly Equity Fund Indonesia Years

2010-2012 ........................................................................................... 66

Table 4.2 Performance Equity Funds Based Sharpe Ratio Method .................... 71

Table 4.3 Performance Equity Funds Based Treynor Ratio Method .................. 74

Table 4.4 Performance Equity Funds Based Jensen Alpha Ratio Method ......... 78

Table 4.5 Performance Equity Funds Based Modigliani Index .......................... 82

Table 4.6 Performance Equity Funds Based Sortino Ratio Method ................... 86

Table 4.7 Performance Equity Funds Based EROV Ratio Method .................... 90

Table 4.8 Performance Comparisons Monthly Equity Funds with Six Model of

Measurement Years January 2010 – December 2012 ......................... 92

Table 4.9 Testing by Kolmogorov-Smirnov Return of Equity Funds and Return

Benchmark .......................................................................................... 99

Table 4.10 Kolmogorov-Smirnov Test Performance Measurement Model........100

Table 4.11 Result of Mann-Whitney Test ...........................................................101

Table 4.12 Kruskall-Wallis Test .........................................................................103

Table 4.13 Chi- Square .......................................................................................103

xii

LIST OF PICTURE

Picture 2.1 Framework .......................................................................................... 43

Picture 4.1 Best ten Sharpe Ratio Method ............................................................ 72

Picture 4.2 Best ten Treynor Ratio Method .......................................................... 76

Picture 4.3 Best ten Jensen Ratio Method ............................................................. 80

Picture 4.4 Best ten Modigliani Ratio Method...................................................... 84

Picture 4.5 Best ten Sortino Ratio Method ........................................................... 87

Picture 4.6 Best ten EROV Ratio Method ............................................................ 91

Picture 4.7 Average Return of Performance of Six Indicators.............................. 94

xiii

Table of Appendix

Appendix I List Sample of Equity Funds ........................................................110

Appendix II Descriptive Statistic of Equity Funds ..........................................112

Appendix III Comparisons Six Indicator Methods ...........................................114

Appendix IV Risk Adjusted Method Six Indicators .........................................116

Appendix V Result of Testing Hypothesis ......................................................124

1

CHAPTER I

INTRODUCTION

1.1. Background

The economic situation in Indonesia is still not stable, people are faced

with various options on how to invest their own funds in order to gain optimal

results. In Indonesia there are a variety of investment options with varying

degrees of risk and returns that can be given, but the obstacle is how to choose the

right investments according with the ability of each investor because not all

investors have the same knowledge, funds and time for each the investment

choices.

Mutual fund is one of the alternative investments in the capital market for

the society especially small investors. Mutual fund is designed as a place to

collect funds from the society who has limited capital, knowledge and time.

Mutual fund is the familiar instrument in the Indonesian capital market.

Understanding of mutual funds in the Capital Market Law No. 8 Years

1995 is a place used to collect funds from the public investors to be invested in

portfolio securities by investment managers. Portfolio itself is a collection of

securities such as stocks, bonds, SBI, time deposits, government securities and

money market securities. Before investing in mutual funds we need to know what

types of Mutual Funds in accordance with our investment objectives and needs.

The types of mutual funds available in Indonesia there are four categories based

2

insturment, namely money market funds, fixed income funds, equity funds and

balanced funds.

Each type of mutual fund has different cirteria. Fixed income funds 80

percent of its investment portfolio in effects in the form of debt securities such as

bonds. Money market mutual funds portfolio investment in money market

instruments such as SBI. Equity fund whose investment portfolio consists of

stock. Balanced funds are investment instruments can be shaped stock and bonds

or in combination with other instruments. Each type of mutual Funds also have

different performance as seen from the Net Asset Value (NAV) any type of

mutual fund. Performance for each type NAV of mutual fund seen from as at

October 29th

, 2010 that is registered with Securities and Exchange Commission

(Bapepam) can be seen in Table 1.1 below:

Table 1.1

Type of NAV Mutual Funds on October 29th,

2010

No Type of Mutual Funds Net Asset Value (NAV)

1 Fixed Income Funds 22.941.696.480.467,07

2 Money Market Funds 7.494.940.770.221,47

3 Equity Funds 40.115.204.202.815,39

4 Balanced Funds 15.794.027.804.413,38

Total 86.345.869.257.917,10

Source : Bapepam.go.id

Phenomena in Table 1.1 shows each type of NAV mutual fund on

October 29th

,2010. Tabel 1.1 shows that the highest NAV is the type of Equity

fund that have the highest risk among the types of Other Mutual funds. means

investors are more interested in investing into equity funds.

3

According Pratomo and Ubaidullah (2000:73), compared to money market

mutual funds and fixed-income funds, equity funds providing growth potential for

greater investment value, so does the risk. Equity funds become an attractive

alternative for investors who understand the potential for long-term stock

investments, so that the funds are used to invest in fund for long-term needs,

investors should also understand and be willing to accept the risks that accompany

investments.

Mutual funds were first introduced in Indonesia precisely on 7 September

1995 with a form of the Company and are covered by PT. BDNI. Prestige of

mutual funds in the publlic continues to grow as one of the prospective investment

alternatives. This is evidenced by the development of a number of mutual funds in

Indonesia amounted to only 25 mutual funds in 1996, and a decade later, exactly

september 2006 the number of mutual funds in Indonesia has reached 370 mutual

fund. The number of mutual fund is also supported by the growth of managed

funds that have been collected from people who are known with a total net asset

value (NAV). In 1996 it was noted that the total value of the NAV of mutual

funds in Indonesia amounted to 2.8 trillion rupiah. While at the end of September

2006 has reached 39.95 trillion rupiah. During this period, the total NAV of

mutual funds have reached the highest point in February 2005, reaching 113.7

trillion rupiah. However, after the mutual fund market in Indonesia experienced

significant turmoil due to mass redemptions by investors at the end of 2005

amounted to 29.41 trillion rupiah stay. Along the improving macro-economic

4

conditions of Indonesia, the total NAV of mutual funds returned to growth.

(Manurung, 2008: 10)

Development of mutual funds in recent years has increased making

investors to participate in advancing the industry. mutual funds became popular

and much in demand by investors, particularly small investors because mutual

funds have many benefits and convenience offered, among others, the mutual

fund is an alternative to diversify investments; income levels are usually higher

than the interest rate time deposits; period the expected level of income as well as

the risks that may arise can be tailored to the wishes and interests of the owner of

the funds; professional investment managers because it is managed by a

professional investment manager, and experienced in managing investment

portfolios; Investors do not have to think or make their own analysis to sort out

the type of portfolio, fairly deliver and receive the results. (Darmawi, 2006:203)

Development of mutual funds in Indonesia is relatively rapid due to some

benefits invest in mutual fund. The benefits include lower transaction costs, high

liquidity, investment diversification and is managed by professional management.

The advantages making a lot of investors who have limited time, energy, and

knowledge in the sector of investment in the capital market to prefer mutual funds

rather than directly involved in the capital market.

Table 1.2 below shows from 1996 to 2012 mutual funds grow rapidly and

continues significant growth. Development mutual funds in Indonesia in 1996-

2012 can be seen in Table 1.2 as the following:

5

Table 1.2

Industial Development of Mutual Funds 1996-2012

Years Number of Funds Net Asset Value

1996 25 2,782

1997 77 4,916

1998 81 29,992

1999 83 4,974

2000 94 5,515

2001 108 8,003

2002 131 46,613

2003 186 69,477

2004 246 104,037

2005 328 29,405

2006 403 51,620

2007 473 92,190

2008 567 74,065

2009 610 112,983

2010 612 149,087

2011 646 168,236

2012 652 168,568

Source : Bapepam.go.id

From Table 1.2 above the Mutual Fund industry in 2004 showed the rapid

growth in 2004 there were 246 products mutual fund. Since the introduction of

mutual funds in Indonesia in 1995 mutual funds experienced rapid growth from

the year 1996-2012 there were 652 number of mutual funds in 2012. Can be seen

that happen NAV increase from 2000 to 2004 but decline again in 2005 and in

6

2012 occurred the highest NAV during the year 1996-2012 amount Rp.168.568

Trillion. This phenomenon showed that the NAV in mutual funds has increased

and decreased which shows instability on the performance of mutual funds each

year suspected because of the instability of mutual fund performance.

The portfolio performance evaluation primarily refers to the determination

of how a particular investment portfolio has performed relative to some

comparison benchmark. The evaluation can indicate the extent which the portfolio

has outperformed or under-performed, or whether it has performed at par with the

benchmark.

The evaluation of portfolio performance is important for several reasons.

First, the investor, whose funds have been invested in the portfolio, needs to know

the relative performance of the portfolio. The performance review must generate

and provide information that will help the investor to assess any need for

rebalancing of his investments. Second, the management of the portfolio needs

this information to evaluate the performance of the manager of the portfolio and

to determine the manager’s compensation, if that is tied to the portfolio

performance. The performance evaluation methods generally fall into two

catagories, namely conventional and risk-adjusted methods. (Samarakoon et al,

2005)

Conventional methods, Benchmark Comparison. The most straightforward

conventional method involves comparison of the performance of an investment

portfolio against a broader market index. The most widely used market index in

the U.S. is the S&P 500 index, which measures the price movements of 500 U.S.

7

stocks compiled by the Standard and Poor’s Corporation. If the return on the

portfolio exceeds that of the benchmark index, measured during identical time

periods, then the portfolio is said to have beaten the benchmark index. While this

type of comparison with a passive index is very common in the investment world,

this creates a particular problem. The level of risk of the investment portfolio

may not be the same as that of the benchmark index portfolio. Higher risk should

leads to commensurately higher returns, in the long-term. This means if the

investment portfolio has performed better than the benchmark portfolio it may be

due to the investment portfolio being more risky than the benchmark portfolio.

Therefore, a simple comparison of the return on an investment portfolio with that

of a benchmark portfolio may not produce valid results. (Samarakoon et al, 2005).

In Indonesia the most widely used market index is the JCI index (IHSG), which

measures the price movements of Indonesian stocks listed in IDX.

The risk-adjusted methods make adjustments to returns in order to take

account of the differences in risk levels between the managed portfolio and the

benchmark portfolio. While there are many such methods, the most notables are

the Sharpe ratio (S), Treynor ratio (T), Jensen’s alpha (α), Modigliani and

Modigliani (M2

), Sortino ratio, and EROV.

Investors in determining investment options in mutual funds certainly do

research on its performance. Performance is an interesting object for research,

especially for investors who want to invest through mutual funds. Mutual fund

performance measurement can be performed using a model or parameter that can

be universally accepted premises which are often associated with return and risk

8

(risk-adjusted performance). This is because the measurement of the performance

of mutual funds without taking into account the element of risk would likely result

in misleading information to investors. (Samarakoon et al, 2005)

Therefore, this question come to mind whether these companies could

obtain the excess return on their investment operation or not? By applying

obtained results of this research, investors are able to make the portfolio

individually and gain better results then that of the past. It is obvious that each

investor tries to gain more return with less risk. So, with respect to the importance

evaluation, it is necessary to introduce and employ efficient methods for

investment decision. The aim of this research is to assist with a specialized active

institution in the market. Other ambitions of the paper are followed as: help to

increase the efficiency of the market, help to increase intellectual decision,

creation of better opportunity for operational and financial investment. In regard

to the financial crisis of previous years, it's importance has been evident more than

ever (Ataie, 2012).

Previous research on mutual funds has been done by other researchers,

such as that conducted by Siagian (2006) states that individually are only three of

seven mutual funds that have outperformed performance against the performance

of the market. Khan (2010) in which measurement methods in use, namely

Sharpe, Treynor and Jensen has a good performance, while Fama net selectivity

has a poor performance.

Anik (2001) conducted a study evaluating the performance of the Mutual

Fund stated that Jensen's method is the best measurement methods used during the

9

study compared with the Sharpe and Treynor methods. Kuolis et al (2011) The

results showed that the ranking of Sharpe and Treynor same calculation. Kolbadi

(2011) conducted a study there is a meaning full different between result of

performance evaluation by using Sterling, Sortino and Sharpe in investment

companies. Ataie (2012) in her study that the performance with EROV ratio has

better results compared to the performance of the M3 measure and Sortino ratio.

Differences were found in this study with previous studies is the study

Siagian (2006) the method of measurement used in this study more while Siagian

only one. The research conducted by Khan (2010) used the method of Sharpe,

Treynor, Jensen and Fama Net selectivity whereas in this study using Sharpe,

Treynor, Jensen, Modigliani, Sortino, and EROV. Study by Anik(2001), the

different in this study is adding Modigliani, Sortino,and EROV methods. The

conducted by Kuolis,et al (2011) used the Sharpe and Treynor only, and data

using Greek equity fund whereas in this study using Sharpe, Treynor, Jensen, M2,

Sortino, and EROV and using different data. Kolbadi (2011) the methods

measurement used Sharpe, Sortino and Sterling, but in this study using six

methods measurement are Sharpe, Treynor, Jensen, Modigliani, Sortino, and

EROV. Ataie (2012) used different data listed in Tehran Stock Exchange whereas

in this study using data listed in Securities and Exchange Commision

(BAPEPAM). Overall difference with previous studies is that the data used in this

study uses the most recent period is January 2010 - December 2012.

10

Realizing this, the authors are interested in conducting research entitled:

"Evaluation Performance of Equity Funds by Sharpe, Treynor, Jensen,

Modigliani (M2), Sortino, and EROV (Case Study Equity Funds Listed in

Securities and Exchange Commision (BAPEPAM) Period 2010 – 2012)."

1.2. Problem Formulation

Based on the background, the problem formulations in this research are:

1. Is there difference between returns of Equity Funds with returns of

Benchmark index market JCI (Jakarta Composite Index)?

2. What the result of evaluating the performance of equity funds through Sharpe,

Treynor, Jensen, Modigliani, Sortino, and EROV measures are equal?

1.3. Purpose of The Research

The purposes of this research are:

1. Describing there is difference in returns of Equity funds with return of

benchmark index market JCI (Jakarta Composite Index).

2. Comparing the result of evaluation the performance of equity funds through

Sharpe, Treynor, Jensen, Modigliani, Sortino, and EROV measures are equal.

11

1.3. The Benefits of This Research

The benefits of this research are:

1. Theoretical

Theoretically this study can contribute in the sector of management, especially

concerning Financial Management of mutual funds performance measurement

analysis with measurement risk-adjusted performance methods Sharpe,

Treynor, Jensen, Modigliani, Sortino, and EROV.

2. Practical

a. For Authors

Applying financial management especially in the areas that have been

acquired during college, particularly in analyzing the performance

measurement of equity funds in Indonesia.

b. For Practitioners

This research is useful to give an overview on the performance of

equity funds in Indonesia that can be used as a reference for people to

invest their money in mutual funds that maximize income from invested

funds and be able to select investment managers who are able to

manage their funds properly. with the information about the

performance of equity fund is expected to support the efforts of

empowering the public and disclosure of information to public on the

performance, risk, and return of equity funds.

12

c. For Investment Managers

The results of this study are expected to provide an overview of the

performance of equity funds as they do in managing. This study also

provides information to the Investment Manager of the influences of the

variables in this study on the performance of equity funds that they

manage.

13

CHAPTER II

LITERATURE REVIEW

2.1. Investment

2.1.1. Understanding Investment

Investments are generally divided into two investments in financial assets

and real assets. Real assets (tangible assets) in the form of land, buildings,

machinery, while knowledge and financial assets (Intangible assets) in the form of

stocks or bonds. Real assets to produce goods and services, while explaining the

allocation of financial assets or earnings on investor wealth (Bodie et al, 2005:4).

"Mutual funds are simply a means of combining or pooling the funds of a

large group of investors. The buy and sell decisions for the resulting pool are then

made by a fund manager ". (Bradford and Jordan 2002: 135).

According Husnan (2005:47) the general investment activities are all

activities of the fund by individuals and companies to obtain a larger income than

the sacrifices that have been made. The activities of diverse kinds, starting with a

simple investment activities such as buying gold or deposits to the most complex

and intricate as a multidisciplinary activity which is worth billions of dollars.

14

Basically the goal of investing is to make some money. Another

investment objectives are more specifically is to get a better life in the future,

reducing inflationary pressure and the urge to save on taxes (Tandelilin, 2001:3).

2.1.2. Types of Investment

According Jogiyanto (2008:6) Investments in financial assets can be in the

form of direct investment and indirect investment. Direct investment made by

purchasing directly from a company's financial assets either through

intermediaries or in other ways. on the contrary, indirect investments made by

buying shares of an investment company which has a portfolio of financial assets

from other companies.

a. Direct Investment

According Jogiyanto (2008:6) direct investment can be done by

purchasing financial assets that can be traded in the money market,

capital market, or derivatives market. Direct investment can also be

done with the purchase of financial assets that can not be traded.

b. Indirect Investment

According Jogiyanto (2008:6) indirect investments made by

buying securities from the investment firm. Investment company is a

company that provides financial services by selling shares to the

public and use the proceeds to be invested into the portfolio.

15

2.1.3. Purpose of Investment

Husnan (2005:48) investment objective is basically to make some money.

but that statement seems too simple, so it needs to look for a more precise answer

about the purpose of investing. as mentioned above, the broader investment

objective is monetary welfare, which can be measured by the sum of current

income plus the value of future income.

According Rodoni (2009:47), the reason for investing is:

a. To Obtain a Better Life in The Future

Everyone wants a better life in the future. To that, investors make

investments for the purpose of profit in order to earn a better living in the

future.

b. Reduce Inflation Pressures

With investing, a person or investor can avoid the falling value of their

wealth from inflation.

c. The urge to save on taxes

Government policies to increase investment tax facilities one of which is

given to person or company that invests.

16

2.2. Mutual Funds

2.2.1. Understanding Mutual Funds

A mutual fund is an investment company that issue shares to the public.

The money it receives from shareholders is pooled and invested in a wide range of

stock, bonds, or money market securities to meet specific objectives. (Hirschey

and Nofsinger, 2008 : 454)

According Williams (2001) a mutual fund is an investment company that

pools the funds of many investors in a large portfolio. Each investor who

purchases shares of the mutual fund owns a portion of a profesionally managed,

diversified investment portfolio. As the prices of the investments in the portfolio

change, the shares will fluctuate in value.

Manurung (2008) cites Giles et al (2003) stated that, Fund is a pool of

money contributed by a range of investors who may be individuals or companies

or other organizations, which is managed and investedas a whole, on behalf of

those investors. Meanwhile, according Pozen (1998) stated that, A mutual fund is

an investment company that pools money from shareholders and invests in a

diversified of securities.

Understanding of mutual funds in the Capital Market Law No. 8 Years

1995 is a place used to collect funds from the public investors to be invested in

portfolio securities by investment managers. Portfolio itself is a collection of

securities such as stocks, bonds, SBI, time deposits, government securities and

money market securities.

17

Definition outlined clearly stated that the Mutual Fund has the

characteristics, namely (Manurung, 2008: 2):

1. Collection of funds and the owner, where the owner is the owner of a mutual

fund that invested parties or put their money into mutual funds with different

variations.

2. Invested to the effect known as an investment instrument. The funds collected

from the community invested in investment instruments such as checking

accounts, time deposits, REPO, commercial paper, bonds, stocks, options,

futures, and so on.

3. Mutual funds are managed by investment managers. The investment manager

can be considered from two sides, namely as an institution and as individuals.

As an institution must have permission to manage the fund company, where

such permission is obtained from the Securities and Exchange Commission (the

Capital Market Supervisory Agency) for companies and business in Indonesia.

4. Mutual fund is an investment instrument medium and long term.

5. Mutual funds are risky investment products. Risky mutual fund because its

portfolio instruments prices change all the time.

18

2.2.2. Form, Nature, and Types of Mutual Funds

2.2.2.1. Mutual Funds Based on Legal Form

In Indonesia, there are two legal forms of the Fund, the Investment Funds

Limited Liability Company (Ltd. Mutual Funds) and Mutual Funds of investment

contracts Collective (CIC). In terms of ownership, PT. Mutual Fund will issue

shares that may be purchased by investors. Thus, by having the right to ownership

of the shares of PT. The. Meanwhile, CIC Fund issued investment units. By

having units of Mutual Funds CIC, then investors have ownership of wealth

Mutual funds net assets. Investment Funds Company is a company (in this case

the limited liability company) is engaged in the management of the investment

portfolio securities is available in the investment market. Of these activities PT

Fund will benefit in the form of an increase in the value of corporate assets (as

well as the value of its shares), which then would also be enjoyed by the investors

who own shares in the company. (Huda and Nasution 2007:96).

Some characteristics of the Mutual Fund are identical to the other

companies in the form of Ltd. are following: (Rodoni, 2006:171)

1. Have wealth.

2. Have management.

3. Have costs, such operating costs and others.

19

4. The company has an obligation in accordance with the general provisions set

out in the company law (in particular for corporate mutual fund type),

including obligations under capital licensing and taxation.

5. Responsible for shareholders (shareholders).

6. Has a wealth of operational or personnel.

Meanwhile, Mutual Fund Investment Contracts Colective is a contract

made between the Investment Manager and the Custodian Bank also bind holders

of units as investors. Through this contract the investment manager is authorized

to manage portfolios and collective investment Custodian Bank to carry out care

and administration of collective investment. Function of collective investment

contracts as well as the Articles of Association and By laws in a company.

Currently, all Mutual Funds in Indonesia is the CIC Investment Fund (Huda and

Nasution 2007:97).

2.2.2.2. Mutual Funds Based on Character

The two types of mutual funds available are open- and close-end funds.

Open-end funds, the largest catagory, continously sell shares to the public and

redeems shares for anyone wishing to sell. In contrast, close-end funds sell a fixed

number of shares in an initial offering and all subsequent buying and selling of

shares takes place in secondary market between shareholders. Unless otherwise

noted, all reference to mutual funds will be to open-end funds. (Williams,

2001:267)

20

Based on the operational character, the Mutual Fund may be divided into

the Open-end Funds and Closed-end funds. Some differences can both be

explained as follows. Open-end Fund to sell its shares in a public offering to so

listed on the stock exchanges. Investors can not sell back their shares to other

investors through a stock exchange where the trading price is determined by

market mechanisms (Huda and Nasution 2007:97).

Open-end funds are always ready to redeem or issue of units at their net

asset value (although it will involve the purchase and redemption of sales

materials (Bodie, et al 2006:142).

Closed-end funds do not redemption or issuance of fund units. Closed

mutual fund units traded in organized exchanges and can be purchased through

brokers such other shares (Bodie, et al 2006: 142).

Meanwhile, the closed-end fund its shares sell shares or units continuously

throughout an investor is buying. This stock does not need to be listed on the

stock exchange and the price is determined based on the Net Asset Value (NAV) /

Net Asset Value (NAV) per share is computed by the Custodian Bank (Huda and

Nasution 2007:97).

There are several perceived benefits to purchasing close-end funds. One is

that managers of close-end funds may invest all of their available funds without

leaving a cash cushion for investor redemptions. Another is that the price of a

close-end fund may vary significantly from its NAV. (Williams, 2001:269)

21

2.2.2.3. Mutual Funds by Type of Investment

When we want to start investing, we should already know what kind of

mutual funds in accordance with our investment objectives and needs. In terms of

Bapepam-LK, mutual funds in Indonesia is divided into four (4) categories, are

following: (Pratomo and Ubaidillah, 2009:474)

1. Money Market Fund

Money market funds are defined as funds that invest 100% in money market

securities, the debt securities with a maturity of less than one year. Eg deposits,

SBI, bonds, and so on. This type of mutual fund is a type of mutual fund with the

lowest level of risk. The purpose of investing in this type of mutual fund that is

for the protection of capital and provide liquidity. Types of mutual funds can earn

interest tuku level higher than the individual investor with limited funds, in

addition to the money market funds can diversify investments. (Pratomo and

Ubaidillah, 2009:68-71).

2. Fixed Income Fund

Fixed income mutual fund is a mutual fund that invests at least 80% of the

portfolio under management to the debt securities primarily on the instrument

bonds. Advantage of the income fund tetan where capital investment is very light

and spread risk through diversification. Fixed income funds have the potential

characteristics of the larger investment returns, but the risk is also higher than the

public hearing. Investment in mutual fund type is suitable for medium-term

investment goals and long (>3 years) with moderate risk. Generally, Fixed Income

22

Funds provide profit sharing in the form of cash (dividends) are paid regularly (3

monthly, 6 monthly or annual). (Pratomo and Ubaidillah, 2009: 71-73).

3. Equity Fund

Equity funds are mutual funds that invest at least 80% of the portfolio under

management in equity securities (stocks). In mutual funds of this type generally

gives a higher yield potential in the form of capital gains and dividends through

growth in stock prices. In addition, the equity fund also provides the potential

growth of the investment value, so the risk. (Pratomo and Ubaidillah, 2009: 73-

74).

4. Balanced Fund

Balanced Fund investments can mix both debt and equity securities and a portion

of the allocation that is more flexible. Seeing good flexibility in choosing the type

of investment (stocks or bonds or other securities) as well as the composition of

its allocation, the balanced funds can be oriented to stocks, bonds or money

market. In terms of investment management, this flexibility can be used to switch

from stocks to bonds or deposits, depending on market conditions by trading

activity, or often called the effort doing market timing. Potential results of

Balanced funds risk can be in the middle between Fixed Income Funds and Equity

Funds so that investors who lacked the courage to accept the risk is too great but

would like to get the results "a little bigger" can choose the type of mutual fund as

an alternative to the Equity Funds. (Pratomo and Ubaidillah, 2009: 74-75).

23

2.2.3. Portfolio Management of Mutual Funds

Investment management is a process of managing money or also often

called portfolio management. Investment concept that has temporarily delayed

consumption. Fabozi stated that there are five stages in the investment

management (Manurung, 2008:83):

1. The determination of the investment policy

2. Establishment of investment policy

3. Portfolio strategy selection

4. The selection of assets

5. Measurement and evaluation of performance

2.2.4. Benefits of Mutual Fund

Basically any investment contains two elements, namely the return (profit)

and risk. Here are some of the benefits in investing through mutual funds (Huda

and Nasution, 2007: 100).

1. Liquidity levels are good, which is a liquidity here is the ability to manage

money in and out of mutual funds. In this case the most appropriate is a mutual

fund for stocks that were listed on the exchange in which transactions take

place every day, unlike time deposits or certificates of deposit a certain period.

In addition, investors can relisted shares / units in accordance with any

24

provision made by each mutual fund making it easier for investors to manage

cash.

2. Professional managers, mutual funds managed by the Investment Manager is

powerful, he is looking for the best investment opportunities for the fund. In

principle, investment managers are working hard to investigate thousands of

investment opportunities for shareholders / mutual fund units. While the

investment option itself is affected by the investment objective of the mutual

fund.

3. Diversification, is a term that you do not put all your money in an investment

opportunity, with the intention of dividing the risks. Investment managers

choose a variety of stocks, so that does not affect the performance of the

overall stock mutual fund. In general, mutual funds have about 30 to 60 types

of shares of various companies.

4. Low cost, because the mutual fund is a collection of many investors that the

magnitude of the ability to invest will result in low transaction costs.

According Williams (2001: 267-269) Benefit of mutual fund are following:

1. Professional Management

In today’s complex,volatile investment environment, many individuals feel

overwhelmed by the prospect of making investment decisions, but do not

want to hire expensive professionals. Mutual funds can solve this problem.

25

With an investment as small as $250, you can leave the buy and sell decisions

to the trained professionals who are supported by extensive research staffs.

2. Diversification

Diversification means buying many different securities to reduce the risk of

any spesific security.

While the theory of diversifying to reduce risk is widely accepted, it can be

time consuming and expensive interms of commissions to own a large

portfolio of different investments. Mutual funds can invest with much lower

commissions due to their large dollar volume of trading and can spread out

the work required to follow a large portfolio.

3. Convenience in Buying and Selling Shares

Mutual Fund shares are easy to buy and sell. You may use a broker or

purchase shares directly from the investment company by mail, or by phone

or internet if you have an established account. The sahre price of any

purchase or sale transaction is based on the net asset value (NAV) of each

share. The NAV is computed at the end of each trading day by taking the total

value of the portfolio at the day’s closing prices and dividing it by the number

of mutual funds shares outstanding. Purchases may take place at NAV (no-

load funds) or NAV plus a commision (load funds).

26

4. Low Initial Investments

Initial investments in many mutual funds are as low as $1,000, with

minimums for subsequent investments often in the $250 range. Many

companies have lower minimums for IRA purchases, typically $250 to open

an account and $50 thereafter. Automatic invetment programs, in which you

invest periodically through an electronic funds transfer from your bank, may

have even lower minimum investment amounts, some beginning at $25.

5. Variety and Flexibility in Choosing Investment Objectives

Mutual funds have become such a popular investment vehicle that thousands

of different funds are now available, with investment objectives that run the

entire range of possibilities. Stated investment objectives usually include both

the risk level of the portfolio and the types of securities that can be inckuded.

6. Regulation

Mutual funds are regulated by the Securities and Exchange Commission

(SEC), which requires that investors receive a prospectus when purchasing a

fund. The SEC also regulates much of the information provided in the

prospectus and required that it be presented in a standardized format. When

disclosing annual returns, funds must give 1-, 5-, and 10-year annual returns

which include dividends, capital gains, and changes in net asset value. This

prevents a fund company from presenting only the attractive informationto

entice investors to buy.

27

2.2.5. Mutual Funds Investment Risk

The context of investment management, risk is the magnitude of the

deviation between the expected return with actual return. the greater the deviation

means that the greater the level of risk. when the risk is expressed as the extent to

which the results obtained can deviate from the expected results, then used the

size of the spread. statistical tool that is used as a measure of the spread is the

variance or standard deviation. the greater the value, the greater the mean

deviation (meaning the higher the risk). (Halim, 2005 : 4)

In the context of the portfolio, the risk can be divided into two, are

following:

1. Systematic risk

Risks caused by macro factors affecting all securities that can not

be eliminated by diversification.

Systematic risk is measured by β in the CAPM, the return of an

asset is expressed in the form of the relationship between risk free rate plus

the market risk premium

E (r) = Rf + (Rm-Rf) β

Portfolio return is also stated as follows:

E (Rp) = Rf + (Rm - Rf) βp

where:

28

Ri = rate of return that investors demand

Rf = risk-free rate of return on investment

Rm = rate of return on the market

Β = Systematic risk

2. Unsystematic risk

Risks caused by factors unique to the securities, and can be

eliminated by diversifying (Rodoni Ahmad, 2009:28).

According to Manurung (2008:42) Mutual fund investors are being sought

to replace the investment of other instruments as interest rate of Bank Indonesia

Certificates (SBI) hold Bank Indonesia lowered to levels below 10%. Mutual

funds provide higher returns than deposits, mutual funds but also a risky

investment, there are four aspects that would explain why mutual funds are a risky

investment:

1. The proceeds of the portfolio invested in the securities. Securities portfolio, a

collection of effects (more than one effect) that deliver results to its owner.

2. The securities portfolio is very varied so that each instrument has a rate of

return that varies. The rate of return of the investment instruments of the

securities portfolio is subject to change at any time and cause can not be

determined from the rate of return on the overall portfolio. As a result,

29

investment managers can not determine or guarantee the portfolio rate of

return.

3. Cash flows are fluctuations. Cash flows are referred to in the case of mutual

funds, namely the difference between incoming and outgoing funds. Incoming

funds are investors who buy mutual funds, while the exit is an investment fund

that sells mutual funds are concerned, the investment manager expects cash

flow is constant and predictable so that investment managers to manage

portfolios well. Therefore, mutual funds have a cash flow that changes every

time because of the incoming investors to invest into mutual funds can not be

set any time. Changes in cash flows will affect the risk of the portfolio and also

affect the risk of the portfolio and at the same time also affects the rate of

return and rate of return is uncertain.

4. Investment manager skill. Investment manager to manage the portfolio of

expertise is also one incidence risk of the portfolio as well as certainty returns.

Known investment manager has asset allocation (asset allocation), the ability of

the selection of investment instruments (stock selection) and the ability to

judge time selling at the market (market timing). The third skill will determine

the rate of return on the portfolio managed by the investment manager.

In addition to the benefits they will get, there are also some risks in

investing in Mutual Funds (Huda and Nasution, 2007: 102)

1. Risk of changes in economic and political conditions. Open economic system

adopted by Indonesia is very vulnerable to changes in the international

30

economy. Changes in economic and political conditions at home and abroad

or regulations especially in the field of Money Market and Capital Market are

factor that can affect the performance of the companies listed on the

Indonesian Stock burs, which will indirectly affect the performance of the

portfolio.

2. Reduced Risk Value Units. Participation Units of the Fund may fluctuate due

to the increase or decrease in the Net Asset Value of Mutual Funds. The

decrease can be attributed, among others:

a. Changes in prices of equity securities and other securities.

b. The costs are charged each time investors make a purchase and sale.

3. Risk of Default by the parties last. This risk can occur when co-manager

investment business fails to meet its obligations. Business partners may

include but are not limited to, issuers, brokers, custodian banks and realtors.

4. Liquidity Risk. Resale (Repayment) depends on the liquidity of the portfolio

or the ability of the Investment Manager to back (pay off) to provide cash.

The risk that always comes to investing as follows (Manurung, 2008:48):

1. Interest rate risk is the main risk faced by investors, due to rising interest rates

will lower bond prices and interest rates declining bond prices increase. This

risk is often referred to as market risk.

2. Reinvestment Risk, the risk posed by the interest earned by investing the

proceeds reinvestment strategy. Interest Rate Risk and Risk Reinvestment

have mutually eliminated the effect (offsetting effect). A strategy based on the

removal effect called immunization.

31

3. Call risk is the risk faced by investors in which the issuer has the right to

repurchase (call) on the bonds. When interest rates fall below the coupon bond

and the issuer will normally exercise its right to buy the bonds. Investors can

usually compensate by increase price but very difficult to do so.

4. Default risk is the risk faced by investors or bondholders because the bonds

cannot pay the bonds at maturity. Therefore investors should be careful to buy

bonds, especially bonds are not included in the investment grade.

5. Inflation risk is the risk faced by investors due to inflation so that the cash

flows received by investors vary in their ability to purchase (purchasing

power).

6. Exchange Risk is the risk faced by investors as a result of changes in exchange

rates, this risk will usually be found in bonds denominated in foreign

currencies.

7. Liquidity Risk is the risk faced by investors in order to sell the bonds in the

market. a measure of the liquidity can be considered of the difference between

the purchase price and the sale of such bonds.

2.2.6. Mutual Fund Performance Measurement Model

Portfolio performance measures that have included risk factors some of

which are methods Sharpe, Treynor, Jensen, Sortino, and EROV. Before knows

the models measuring the performance of mutual funds, you should know first

formula in calculating the returns of a portfolio. Meanwhile, to measure the rate of

return of a mutual fund are as follows:

32

Where:

RRD = Return of Mtual fund

NAVupt-1 = The net asset value in now

NAVupt = Net asset value on the last month

After calculating fund returns of mutual fund the model will be used in measuring

the performance of a portfolio or mutual fund performance is as follows:

1. Sharpe Methods

In this method of portfolio performance is measured by comparing

only between the portfolio risk premium (that is the difference in the average

rate of return on a portfolio with an average risk-free interest rate). Sharpe

Index mathematically formulated as follows:

Spi =

Where:

Spi = Sharpe Index Portfolio

Rpi = Average rate of return on portfolio i

Rf = The average risk-free investment rate (using SBI)

p = Standard deviation of returns portfolio

Rpi-Rf = Risk Premium Portfolio

33

The formula essentially calculate the slope (slope) line connecting the

risky portfolio with the risk-free rate, the slope of the line is given by (Rp-

Rf)/p. Thus, the greater the slope of the line means that the better the lines

that make up the portfolio. Because, the greater the ratio the better the

portfolio risk premium.

Sharpe is relevant index used to investor that invest their funds only or

mostly on the portfolio, so the portfolio risk is expressed in standard deviation.

(Halim, 2005: 68-69)

2. Treynor Index

In this method of portfolio performance is measured by comparing the

portfolio risk premium (that is the difference in the average rate of return on a

portfolio with an average risk-free interest) with the risk represented by the

portfolio beta (market risk or systematic risk). Treynor index mathematically

formulated as follows:

Tpi =

Where:

TPI = Treynor Index Portfolio


Rf = The average risk-free investment rate (using SBI)

p = Beta portfolio (market risk or systematic risk)

Rpi-Rf = Risk premium Portfolio

The formula essentially calculate the slope (slope) line connecting the

risky portfolio with the risk-free interest. The slope of the line is given by (Rp-

34

Rf)/p. Thus, the greater the slope of the line means that the better the lines

that make up the portfolio. Because, the greater the ratio of risk premium to

beta portfolio, it can be said that the better performance of the portfolio.

The use of beta as a measure of portfolio risk that implicitly reflects

the existing portfolio is a portfolio that has been well diversified.

The use of relevant Treynor used for investors who have a variety of

portfolios or invest their funds in various mutual funds . (Halim, 2005: 68-69).

3. Jensen Index

Jensen measurement method basically assesses the performance of

investment managers based on how much investment managers to provide

portfolio earnings above market earnings in accordance with its risk. Excess is

described by Jensen as the intersection of the linear regression line or often

referred to as the intersection of Jensen (Jensen Intercept), which is expressed

with the alpha value (symbol). The higher the positive alpha value, the better

the performance of the mutual fund. Jensen method is formulated as follows:

JPI = (Rpi-Rf) - p (Rm-Rf)

Where:

JPI = Index portfolio Jensen


Rf = The average of the interest risk-free investment (using SBI)

pi = Beta portfolio (market risk or systematic risk)

Rpi-Rf = Risk Premium Portfolio

35

Rm = Return Market (using JCI)

4. Modigliani Index

New size of the risk-adjusted performance of the so-called M2.

Development name Franco Modigliani and Leah Modigliani. It is the

volatility-adjusted return that followed the return of the portfolio will be

compared.

According to Charles P. Jones (2007: 617) in essence, M2 equate

volatility portfolios whose performance is measured by the market. It is by

using T-bills and the portfolio being evaluated is lower than the market, the

leverage can be used to increase volatility. If the risk is greater than the

market, some of the funds can be placed in T-bills. The funds can be delivered

to fit the lower volatility than the market as adjusted, comparable to leverage

the portfolio to the market, can be compared with the market return, or a

particular benchmark. M2 big advantage is that the result expressed as a

decimal or percentage, which can be easily understood by everyone. M2 can

be calculated as follows:

Where:

M = Modigliani Index

Rf = Risk Free (Risk-Free Asset)

m = Standard Deviation Market

p = Standard Deviation Portfolio

M = Rf + (Rp-Rf)

36

5. Sortino Ratio

Sortino ratio is the actual rate of return in excess of the investor's target

rate of return, per unit of downside risk. A measure of excess return per unit of

risk based on downside semi-variance, instead of total risk (the standard

deviation of the portfolio) is used by the Sharpe ratio. Since the Sortino ratio

takes into account only the downside size and frequency of returns, it

measures the reward to negative volatility trade-off. For the case where the

target return is equal to the mean of the distribution, the LPM of order 2

corresponds to the semi-variance (Burkler and Hunziker, 2008). In all other

cases it is referred to as downside variance (Bacon, 2008).

SOR =

Where:

SOR = Sortino ratio

Rpi = The average rate of return on portfolio i

Rf = Average Risk-free (SBI)

σdown = Downside deviation

Negative deviations from the return threshold are more strongly

weighted due to the LPM of order 2 and thus, express a higher risk-aversion of

the investor (Poddig et al, 2003).

37

6. Excess Return on Value-at-Risk (EROV)

Excess Return on VaR is basically a Sharpe Ratio using Value-At-Risk

instead of Volatility as the risk measure (Bacon, 2004). Assuming normally

distributed returns, the VaR of a long-position is calculated as a quantile of the

standard normal distribution at a certain confidence level α, using the expected

value – i.e. the mean - and the standard deviation (Jorion, 2006:110).

VaR = - (r + Zα * σ)

Where:

α = confidence level

Zα = quantile of the standard normal distribution

When VaR is used to assess risk-adjusted performance, the measure

Excess Return on VaR (EVaR) emerges. It compares the excess return of an

asset to the VaR of the asset. EVaR can be calculated by the following

formula (Wiesinger, 2010).

EROV = {r - rf}/VaR

Where:

EROV = Excess return on VaR

38

r = Portfolio returns

rf = Risk free rate

VaR = Portfolio VaR (here: parametric VaR assuming a normal

distribution)

2.2.7. Benchmark

In doing performance evaluation, investment managers should have a

benchmark or benchmark that can be used as a benchmark assessment. The use of

this measure is useful to compare the performance generated by the investment

manager to the return obtained by an alternative.

Benchmarks used there are four kinds: (1) the market index (in this case

the index JCI), (2) investment style indices generic, (3) benchmark Sharpe

(Sharpe benchmark), and the normal portfolio. However, in this study we use the

benchmarks are benchmark market index.

2.3. Previous Research

Research conducted by Siagian (2006) states that there are only 3

individual mutual funds that have outperformed performance against the

performance of the market, with levels of alpha values ranged from 0.7165 to

1.8210 (although this result was not statistically significant at the level of 5%).

The third fund is the Smart Plan, Community Development Equity Fund and Indo

Solar equator. While the other 4 shows the performance of mutual funds

underperform the market performance, with alpha values ranging from -0.182 to -

39

3.5161. Differences in the characteristics of the fund with other funds to be

another cause of bad performance of mutual funds that are observed.

According to Khan (2010) in his study entitled Implementation Model to

measure mutual fund performance concluded that the measurement model.

Performance of mutual funds, each model has its own significance. Sharpe, Jensen

and Treynor describe assessment funds have consistently shown that the

maximum performance of the benchmark. Jensen positive result indicates that the

Superior Return generated for management expertise and superior performance.

Fama is implying negative results. The actual results of the portfolio is less than

that mandated by the total portfolio risk, the reasons for the selection of poor

funding. Results of the study states that Sharpe, Jensen and Treynor had positive

results of benchmark, being Fama produces negative values or lower than the

benchmark value.

Anik (2010) conducted a study on mutual fund performance evaluation

using the method of Sharpe, Treynor and Jensen period (1) 2005 - (12) 2007.

Variables considered in this study are the return and net asset value. The method

used in this study is the Sharpe, Treynor and Jensen for mutual fund performance

measurement. The results of this study demonstrated the best performance by the

Sharpe method is Si Dana Dynamis Fund. The best performance is shown by

Treynor method is Nikkor Tron. Meanwhile, Jensen method, the best performance

shown by this method are Rencana Cerdas and Bahana Prima. Of some selected

methods in measuring the performance of mutual funds, Jensen method proved

the best method to use in measuring the performance of mutual funds. The high

40

growth in net asset value does not guarantee that the fund has an excellent

performance.

Kuolis,et al (2011) This paper empirically examines the performance of

fifteen Greek mutual equity funds. The data on which this study was based is

monthly and refer to the period January, 2000 to December, 2008. Based on the

Treynor-Mazuy model and Sharpe and Treynor measures, the paper evaluates

which equity fund entails selectivity and market timing. The results showed that

the ranking of Sharpe and Treynor same calculation.

Kolbadi (2009) This study on Examining Sharpe, Sortino, Sterling Ratio in

Portfolio Management, Evidence from Tehran Stock Exchange. The method used

in this study is the Sharpe, Sortino and Sterling Ratio to measure performance.

The results of this study there is a meaning full different between result of


companies.

Ataie (2012), in this study on Evaluation Performance of 50 Companies

Listed in Tehran Stock Exchange by Sortino, EROV and M3. The method used in

this study is the Sortino, EROV, and M3 to measure performance of 50 companies

in Tehran Stock Exchange. The result is performance with EROV ratio has better

results compared to the performance of the M3 measure and Sortino ratio. And by

three indicators compare than the market are not equal or no indicators higher than

market.

41

Table 2.1.

Summary of Previous Research

No. Author Title Method Result

1. Zeba Sharif

Khan (2010)

Implementation of

Models to Measure the

Performance of Mutual

Fund

Sharpe,

Treynor,

Jensen, Fama

Not

Selectivity

Sharpe, Jensen and Treynor

positive and superior of

benchmarknya, while Fama

produce a negative value or

lower than its benchmark

value

2. Victor Siagian

(2006)

Use methods Jensen In

the mutual fund

Performance

Measurement

Case Study Seven

Mutual Fund Shares

Jensen Three of seven mutual

funds have performed

outperform from market

performance. Differences

in the characteristics of the

fund. Funds with other

funds to be another cause

of bad performance of

mutual funds that are

observed

3. Alexandros

Kuolis,et al

(2011)

An Assessment of the

performance of Greek

Mutual Equity Funds

Selectivity and Market

Timing

Sharpe and

Treynor

The results showed that the

ranking of Sharpe and

Treynor same calculation.

4. Pegah Kolbadi

(2011)

Examining Sharpe,

Sortino, and Sterling

Ratio in Portfolio

Management, Evidence

from Tehran Stock

Exchange

Sharpe,

Sortino, and

Sterling

there is a meaning full

different between result of

performance evaluation by

using Sterling, Sortino and

Sharpe in investment

companies.

5. Sri Anik

(2010)

Evaluation of Mutual

Fund Performance

Methods Sharpe, Treynor

and Jensen

Sharpe,

Treynor, and

Jensen

evaluating the performance

of the Mutual Fund stated

that Jensen's method is the

best measurement methods

used during the study

compared with the Sharpe

and Treynor methods

6. Younes Ataie

(2012)

Evaluation Performance

of 50 Companies Listed

in Tehran Stock

Exchange by Sortino,

EROV and M3

Sortino,

EROV, M3

Performance with EROV

ratio has better results

compared to the

performance of the M3

measure and Sortino ratio.

Source: Various Journals

42

2.3. Framework

The framework is part of the literature review contains an overview of all

the theories are used as a foundation in research. In this framework given brief

schematic flow studies illustrate the research process will be conducted.

This study aims to analyze the performance of equity fund that has the best

performance is measured by three indices, namely the model Sortino, EROV, and

M3 and rank structure formed by three index mutual funds that model.

Framework of this research described as follows:

43

Picture 2.1

Framework

Equity Funds Registered in Bapepam-LK

Equity Funds selection criteria

Data Classification

Sharpe

Method

Data Processing

Treynor

Method

Jensen

Method

Modigliani

Method

Rating/Ranking Equity Funds

Normality Test Data

Normal Data

Non Normal Data

One Way ANOVA

Kruskal Wallis Test

Sortino

Method

EROV

Method

Return of

Equity Funds Return of

Benchmark

Normality Test Data

Normal Data Non Normal Data

Independent Sampel t test

Mann Whitney test

44

2.4. Hypothesis

Hypothesis is a temporary answer to the formulation of the problem, the

researchers propose hypotheses as follows:

1. H0 : There is no difference Between returns of Equity funds with return of


H1 : There is difference Between returns of Equity funds with return of


2. H0 : The result of evaluating the performance of equity funds through Sharpe,

Treynor, Jensen, Modigliani, Sortino, and EROV measures are equal.

H1 : The result of evaluating the performance of equity funds through Sharpe,

Treynor, Jensen, Modigliani, Sortino, and EROV measures are not equal.

45

CHAPTER III

RESEARCH METHODOLOGY

3.1. The Scope of Research

The research was conducted in equity funds that have been listed before

January 2010 and is still active in December 2012 that will be assessed its

performance. Data needed for research are Jakarta Composite Index (JCI) , the

Interest Rate (SBI), Net Asset Value (NAV).

The data used for the purposes analysis is secondary data obtained from

the monthly publication IDX, BAPEPAM, and BI. While the data for the existing

shares in a equity fund portfolio each month obtained from the Custodian Bank

monthly report from each of the equity funds to BAPEPAM.

3.2. Sampling Methods

Populations used in this study are that equity funds listed in the Securities

and Exchange Commission until December 2012. This study uses monthly data

from January 2010 to December 2012 which will provide an overview of the

performance of equity funds in Indonesia. the population to be sampled for the

data study. not all equity funds taken for this reseach. The sampling using

46

purposive sampling to select sample with certain criteria. criteria used in

sampling, following:

1. Equity funds are still active until December 2012. Equity funds operating in

January 2010 - December 2012 and recorded in the Securities and Exchange

Commission (BAPEPAM).

2. Based on the criteria for selecting the sample that had been previously

determined, up to December 2012. Based NAV obtained from January 2010 -

December 2012 then the entry criteria for the sample is 44 equity funds that

will be sampled. equity funds were sampled from a conventional mutual fund,

not Islamic mutual funds.

Table 3.1

Equity Funds to Study Sample

No. Equity Funds Investment Managers Custodian Bank

1 AXA Citradinamis PT AXA Asset Management Indonesia Deutsche Bank AG

2 Bahana Dana Prima PT Bahana TCW Investment Management Standard Chartered Bank

3 Batavia Dana Saham PT Batavia Prosperindo Aset Management Deutsche Bank AG

4 Batavia Dana Saham Agro PT Batavia Prosperindo Aset Management Deutsche Bank AG

5 Batavia Dana Saham Optimal PT Batavia Prosperindo Aset Management Deutsche Bank AG

6 BNI Dana Reksa Berkembang BNI Asset Management Bank CIMB Niaga

7 BNP Paribas Ekuitas PT BNP Paribas Investment Partners Deutsche Bank AG

8 BNP Paribas Infrastruktur Plus PT BNP Paribas Investment Partners Citybank AN

9 BNP Paribas Maxi Saham PT BNP Paribas Investment Partners Deutsche Bank AG

10 BNP Paribas Pesona PT BNP Paribas Investment Partners Deutsche Bank AG

11 BNP Paribas Solaris PT BNP Paribas Investment Partners Citybank AN

12 CIMB Principal Equity Aggresive PT CIMB Principal Asset Management Deutsche Bank AG

47


13 Dana Ekuitas Andalan PT Bahana TCW Investment Management Bank CIMB Niaga

14 Dana Ekuitas Prima PT Bahana TCW Investment Management Bank CIMB Niaga

15 Dana Pratama Ekuitas PT Bahana TCW Investment Management Bank CIMB Niaga

16 Dana Reksa Mawar PT Danareksa Investment Management Citybank AN

17 FS Indo Equity Value Select Fund PT First State Investment Indonesia Deutsche Bank AG

18 FS Indo Equity Dividen Yield Fund PT First State Investment Indonesia Hongkong and Shanghai Banking Corp.

19 FS Indo Equity Sectoral Fund PT First State Investment Indonesia Deutsche Bank AG

20 FS Indo Equity Peka Fund PT First State Investment Indonesia Citybank AN

21 GMT Dana Ekuitas PT GMT Asset Management Deutsche Bank AG

22 Grow-2-Prosper PT Corfina Capital Deutsche Bank AG

23 Lautandhana Equity PT Lautandhana Investment Management Bank CIMB Niaga

24 Lautandhana Equity Progresif PT Lautandhana Investment Management Bank CIMB Niaga

25 TRIM KAPITAL PLUS PT Trimegah Asset Management Bank CIMB Niaga

26 Makinta Growth Fund PT Emco Asset Management Bank CIMB Niaga

27 Makinta Mantap PT Emco Asset Management Bank CIMB Niaga

28 Mandiri Investa Attraktif PT Mandiri Manajemen Investasi Deutsche Bank AG

29 Mandiri Investa UGM PT Mandiri Management Investasi Deutsche Bank AG

30 Manulife Dana Saham PT Manulife Aset Manajemen Indonesia Deutsche Bank AG

31 Manulife Saham Andalan PT Manulife Aset Manajemen Indonesia The Hongkong And Shanghai Banking Corp.

32 Millenium Equity PT Millenium Danatama Indonesia Bank CIMB Niaga

33 MNC Dana Ekuitas PT MNC Asset Management Bank Rakyat Indonesia (PERSERO)

34 NISP Indeks Saham Progresif PT NISP Asset Management Deutsche Bank AG

35 Panin Dana Maksima PT Panin Asset Managment Deutsche Bank AG

36 Panin Dana Prima PT Panin Asset Managment Bank Central Asia

37 Pratama Saham PT Pratama Capital Asset Deutsche Bank AG

38 Rencana Cerdas PT Ciptadana Asset Management Deutsche Bank AG

39 Schroder Dana Istimewa PT Schroder Investment Management Deutsche Bank AG

40 Schroder Dana Prestasi Plus PT Schroder Investment Management Deutsche Bank AG

41 Schroder Indo Equity Fund PT Schroder Investment Management Bank Permata

48


42 Simas Danamas Saham PT Sinarmas Asset Management Bank CIMB Niaga

43 Syailendra Equity Opportunity PT Syailendra Capital Deutsche Bank AG

44 TRIM Kapital PT Trimegah Asset Management Bank CIMB Niaga

Source: BAPEPAM

3.3. Data Collection Method

According to the type of data needed is secondary data and sampling

techniques are used, the method of data collection was conducted using the

documentation method. By way of recording data that is listed in BAPEPAM

www.bapepam.go.id for data on Net Asset Value (NAV) of the monthly

observation period January 2010- December 2012, the data recorded monthly

composite index of www.idx.co.id observation period January 2010 – December

2012 and recorded data monthly interest rate of Bank Indonesia Certificates

January 2010- December 2012 obtained from the website of Bank Indonesia,

which www.bi.go.id. The data obtained then reprocessed and adjusted to the

needs of this research.

3.4. Data Analysis Methods

The steps in analyzing the data obtained from the Securities and Exchange

Commission (BAPEPAM) website, BI website and Yahoo Finance to assess and

compare the performance of Equity funds are as follows:

1. Calculate the Return of each Equity Funds.

49

Return (rates of return) earned Equity fund investors from positional changes

NAV. The formula used to calculate this return is:

where:

Ri = rate return mutual fund shares

NAV1 = stock price at period 1

NAVt-1 = stock price in the period before 1

2. Calculate the Return of (Benchmark) market index

Return the market and is used to benchmark or benchmark for the asset

portfolio risk.

where:

Rm = return rate mutual funds

IHSG1 = stock price at period 1

IHSGt-1 = stock price in the period before 1

50

3. Calculate the risk-free interest rate

SBI interest rate fluctuates in accordance with the policy of neutral bank,

Bank Indonesia. SBI return calculation reflects the level of the risk free rate.

SBI rate is in percentage form so that calculations can be done by SBI interest

rate dividing by the number of months in a year.

RSBI =

where:

RSBI = Return rate of Bank Indonesia

SBI = Interest Rate of Bank Indonesia

n = 12 for monthly data

The next variable returns averaged SBI. This step uses "AVERAGE" in

Microsoft Excel. This variable is used as a variable rate of return

(performance) risk-free investment / risk free asset return, where return SBI

reflect the risk-free rate of return for mutual funds in Indonesia.

4. Calculating Standard Deviation Portfolio (stdevp) and Standard Deviation

Market (stdevm)

Calculation of Daily standard deviation on research conducted on the

return across equity funds and market return. In the Microsoft Excel program,

this calculation can be done with the formula "STDEV".

51

Stage of monthly standard deviation are as follows:

a. Calculate the monthly returns where NAV is at the end of the month

period and early of the month NAV period is the NAV at the previous

month.

b. The standard deviation obtained from STDEV return NAV of equity

funds .

c. Standard deviation obtained from STDEV market index return JCI

(benchmark)

5. Calculate the portfolio beta and market beta

Beta is a parameter that indicates volatility relative from return of stock

portfolio to the market return portfolio. Beta calculation in the study is beta

portfolio while retun of market index (benchmark). Beta calculation in this

study using linear regression Y = a + bY + e function application of SPSS

with the provisions of return portfolio mutual fund as Y axis and the market

return as the axis X.

6. Measure the performance of the optimal portfolio with three models index.

a. Sharpe Method Model

Spi =

where :

52

Sp i = Index Sharpe Portofolio



p = The standard deviation of portfolio returns

b. Treynor Method Model

Tpi =

where:

Tpi = Index Treynor Portofolio



p = Beta portfolio

c. Jensen Method Model

Jpi = (Rpi-Rf) - p (rm-Rf)

where:

Jpi = Index Jensen portofolio



53

pi = Beta portfolio 1 (market risk or systematic risk)

Rm = Return Market index (benchmark)

d. Modigliani Method

M = Rf + (Spi . m)

where:

M = Modigliani Square

Spi = Indeks Sharpe Portfolio (Rpi-Rf /p)

Rf = Risk Free

m = Market Standard Deviation

p = Portfolio Standard Deviation

Rpi-Rf = Risk Premium Portofolio

e. Sortino Method Model

SOR =

where:




54

f. EROV Method Model

EROV = {r - rf} / VaR

where:



rf = Risk free rate

VaR = Value at Risk portfolio

7. Performance Evaluation of Equity Funds

Evaluation performance of equity funds in this study is based on

monthly and based on descriptive statistics and based Sharpe, Treynor, Jensen,

Modigliani (M-Square), Sortino, and EROV methods. The evaluation that

doing to compare and rank funds based on performance obtained from the six

methods of risk-adjusted methods.

3.5. Theoritical Hypothesis

In a hypothesis test, assisted procedures performed using the computer

program SPSS 20.0 and Microsoft Excel 2007.

55

Before doing comparison test, the data must first be tested for normality

test to know whether or not the data were normally distributed or not, to test

whether or not the data were normally used tools are the Kolmogorov-Smirnov

test. According Widarjono (2010: 111). Kolmogorov-Smirnov test is a test used

to determine whether the sample comes from a population with a specific

distribution in this case the normal distribution. The null hypothesis (H0) in the

Kolmogorov-Smirnov test is that the data follow a particular distribution (normal

distribution), while the alternative hypothesis (Ha) data follow a particular

distribution (not normally distributed). The steps are:

Ho: The data are normally distributed

Ha: The data are not normally distributed

Moreover the null hypothesis can be accepted or rejected based on the

probability that there is value. If the probability value is greater than the level of

significance () then Ho is accepted. Conversely, if the probability value is less

than significant level () then Ho is rejected and Ha accepted.

The criteria used to reject or accept Ho based on the probability value is:

If the probability > 0.05 then Ho is accepted,

If probability < 0.05 then Ho is rejected

Having performed the Kolmogorov-Smirnov test then subsequently

determined based on these results, whether the data were normally distributed or

not. If the data are normally distributed then the tests using comparisons test

56

independent sample t tests to determine whether there is difference the return of

equity funds and return of benchmark. If the data is not normally distributed then

the test will be performed using the Mann-Whitney test. In determining whether

the result of evaluation the performance of equity funds through Sharpe, Treynor,

Jensen, Modigliani, Sortino, and EROV methods are not equal used by one way

ANOVA if data normally distributed and if data not normally distributed using the

Kruskal-Wallis test.

After doing the test for normality of data, then the next step to comparison

test and rank the methods based performance. The steps are:

a. Comparisons test Return Equity funds with Return Benchmark (JCI) which is

only considering the evaluation of portfolio performance returns.

b. Comparisons Test between the result of evaluation the performace of equity

funds based Six methods model.

3.6. Research Operational of Variables

Variables used in this study are Return of Equity Funds, Return index

market JCI (benchmark), Risk free, method of Sharpe, Treynor method, Jensen

method, Method Modigliani, Sortino method, EROV method. Operational

variables can be defined as follows:

1. Return of Equity Fund

Return Equity Fund within a specified period to be shows a

measure of performance that has been Achieved by the company are

57

calculated the data of the NAV per unit. Returns of Equity Fund can be

calculated in the following:

RRD =

where:

RRD = Return of Equity Fund

= Net Asset Value of The Current Month

= Net Asset Value in The Last Month

2. Return Index Market JCI (benchmark)

A measure of the ability of the market performance as a

comparison, in showing a performance that has been Achieved in the

specified period roomates is calculated from the value of the index market

JCI (benchmark). Return market Index (benchmark) calculated as follows:

where:

Rm = Return of maket index (IHSG)

IHSGt = Return of market index (IHSG) current day

IHSGt-1= Return of market index (IHSG) last day

58

3. Risk Free

Investment with risk-free the assumed with an average rate of

interest rate of Bank Indonesia Certificates (SBI) on specified period. Risk

free can be determined by the the following:

RSBI =

where :

RSBI = Return of rate of interest rate of Bank Indonesia Certificates (SBI)

SBI = Rate of interest rate of Bank Indonesia Certificates (SBI)

N = 12 for monthly data

4. Sharpe Method

The method is used to measure the performance of mutual funds

based on how much additional investment obtained for each unit of risk

taken. measurement Sharpe formulated as follows:

Spi =

where :

Spi = Indeks Sharpe Portofolio



59


5. Treynor Method

Treynor method is similar to the Sharpe method using the Risk

Premium, but the difference method Treynor using the beta (β) which is

the risk of fluctuations relative to the market risk. Treynor method can be

formulated as follows:

Tpi =

where:

Tpi = Index Treynor Portfolio



p = Beta portfolio 1 (market risk or systematic risk)

6. Jensen Method

Alpha () is Risk Adjusted Measures of Portfolio Performance by

Jensen, measured by the difference between the portfolio return minus the

risk-free rate of return beta multiplied by the difference between the return

of benchmark and risk-free rate.

Jpi = (Rpi-Rf) - p (Rm-Rf)

60

Where:

Jpi = Index Jensen portfolio





7. Modigliani Method

Risk Adjusted Measures of Portfolio Performance by Franco

Modigliani and Leah Modigliani, measured by the risk free plus the

amount times of the RVAR (Sharpe ratio) with standard deviation of

market benchmark.

M = Rf + (Spi . m)

where:

M = Modigiliani Square

Spi = Indeks Sharpe Portofolio (Rpi-Rf /p)

Rf = Risk Free (Aset Bebas Risiko)

m = Standar Deviasi Market

p = Standar Deviasi Portofolio

61


8. Sortino Method

The Sortino Ratio can be Regarded as a modification of the Sharpe

Ratio as it replaces the standard deviation by downside deviation considers

only the negative deviations from the mean or a minimum return

threshold. Sortino ratio can be calculated by the following formula :

SOR =

where:

SOR = Sortino ratio




9. EROV Ratio Method

Excess Return on VaR is basically a Sharpe Ratio using Value-At-

Risk instead of volatility as the risk measure (Carl R. Bacon, 2004). This

method is similar to the method of measurement Sharpe. There is a

difference in the type of risk used is the risk The biggest disadvantage

faced by mutual funds in a given period with certain level of confidence

level (this study using the confidence level 95% with a coefficient of -

1.65). Calculation formula used is:

62


where:



rf = Risk free rate


To learn more about the operational variables used in the method of

measuring the performance of equity funds, can be seen in Table 3.1 the following

operational definition:

Table 3.2.

Research Variable, Operational Definition and Formulation

No. Variable Operational Definition Formulation

1. Return Reksa

Dana

Different return reksadana

current month(NABt) and return

before the current month (NABt-

1) divided with return before the

current month (NABt-1)

2. Return Market Different between return IHSG

current month (IHSG) with

return IHSG before current

month (IHSGt-1)

3. Risk Free Investment is risk-free interest

rate is assumed an average of

Certificates of Bank Indonesia

=

4. Sharpe Method Risk Adjusted of Portofolio by

Sharpe, measures with rasio

excess (RP-RF) portfolio return to

divided standard deviation (P).

Spi =

63

No. Variable Operational Definition Formulation

5. Treynor Method Risk Adjusted Measures of

Portfolio by Treynor,

measures with ratio excess

portofolio return (RP-RF) to

beta or systematic risk (P)

Tpi =

6. Jensen () Method Alpha () yaitu Risk Adjusted

Measures of Portofolio

Performance oleh Jensen,

measured by the difference

between the portfolio return

and risk-free (Rp-RF) minus

beta times different return

between benchmark with risk-

free (Rm-RF).

Jpi = (Rpi-Rf) - p (rm-Rf)

7. Modigliani Method Risk Adjusted Measures of

Portofolio Performance by

Leah Modigliani dan Franco

Modigliani, measure with risk

free (RF) plus the time of

RVAR (RP-RF/p) with

standard deviation benchmark.

M2 = Rf + (Rp-Rf)

8. EROV Method Risk Adjusted Measures of

Portofolio Performance

Excess Return on VaR is

basically a Sharpe Ratio using

Value-At-Risk instead of

volatility as the risk measure.

EROV = {r-rf) / VaR

9. Sortino Method The Sortino Ratio can be

Regarded as a modification of

the Sharpe Ratio as it replaces

the standard deviation by

downside deviation

SOR =

Source : Data Proceed

64

CHAPTER IV

ANALYSIS AND DISCUSSION

Analysis and discussion in this chapter will begin with descriptive

statistics monthly to the period 1 January 2010 – 31 December 2012. Then

continued with the analysis of the performance of mutual funds using Sharpe,

Treynor, Jensen, Modigliani, Sortino, and EROV.

4.1. Descriptive Statistics Analysis

In this section we will describe the descriptive data object study. The

reason why the data is displayed, because there are the possibility of descriptive

data will be used to complete the description of the results in this study. More

detail can be seen in the table below.

Table 4.1

Descriptive Statistics Average Monthly Equity Fund Indonesia

Years 2010-2012

MUTUAL FUNDS Return

(%)

Rf (BI

Rate)

(%)

Rm

(IHSG)

(%)

Excess Return Standard

deviation Beta Downside Risk

VaR

(%) Rank (%) Rank (%) Rank

AXA CitraDinamis 0.0106 0.0052 0.0164 0.0054 34 0.0496 38 -0.3893 0.0352 27 0.0712

Bahana Dana Prima 0.0122 0.0052 0.0164 0.0070 24 0.0519 26 -0.3683 0.0357 24 0.0734

Batavia Dana Saham 0.0111 0.0052 0.0164 0.0059 31 0.0526 23 -0.3879 0.1066 3 0.0757

Batavia Dana Saham Agro -0.0029 0.0052 0.0164 -0.0081 43 0.0664 4 -0.5020 0.0538 5 0.1125

65

MUTUAL FUNDS Return

(%)

Rf (BI

Rate)

(%)

Rm

(IHSG)

(%)


deviation Beta Downside Risk VaR


Batavia Dana Saham Optimal 0.0144 0.0052 0.0164 0.0092 10 0.0542 18 -0.3838 0.1136 2 0.0750

BNI Reksa Dana Berkembang 0.0114 0.0052 0.0164 0.0062 29 0.0539 19 -0.3122 0.0389 14 0.0775

BNP Paribas Ekuitas 0.0137 0.0052 0.0164 0.0085 14 0.0508 31 -0.3845 0.0345 32 0.0699

BNP Paribas Infrastruktur Plus 0.0123 0.0052 0.0164 0.0071 23 0.0543 17 -0.3946 0.0371 19 0.0759

BNP Paribas Maxi Saham 0.0127 0.0052 0.0164 0.0075 20 0.0555 14 -0.4030 0.0388 15 0.0793

BNP Paribas Pesona 0.0139 0.0052 0.0164 0.0087 13 0.0509 30 -0.3715 0.0346 31 0.0713

BNP Paribas Solaris 0.0154 0.0052 0.0164 0.0102 8 0.0559 13 -0.4024 0.0385 17 0.0768

CIMB Principal Equity Aggressive 0.0087 0.0052 0.0164 0.0035 39 0.0489 41 -0.3796 0.0349 29 0.0720

Dana Ekuitas Andalan 0.0105 0.0052 0.0164 0.0053 35 0.0516 28 -0.3356 0.0362 22 0.0746

Dana Ekuitas Prima 0.0137 0.0052 0.0164 0.0085 15 0.0554 15 -0.3769 0.0385 18 0.0777

Dana Pratama Ekuitas 0.0088 0.0052 0.0164 0.0036 38 0.0640 5 -0.3946 0.0460 8 0.0968

Dana Reksa Mawar 0.0128 0.0052 0.0164 0.0076 18 0.0512 29 -0.3840 0.0326 41 0.0717

FS Indo Equity Value Select Fund 0.0118 0.0052 0.0164 0.0066 28 0.0506 32 -0.3964 0.0353 26 0.0717

FS Indo Eqty Dividen Yield Fund 0.0128 0.0052 0.0164 0.0076 19 0.0492 40 -0.3559 0.0339 36 0.0684

FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0164 0.0074 22 0.0499 35 -0.3725 0.0344 33 0.0697

FS Indo Equity Peka Fund 0.0134 0.0052 0.0164 0.0082 16 0.0498 37 -0.3677 0.0342 34 0.0688

GMT Dana Ekuitas 0.0143 0.0052 0.0164 0.0091 12 0.0573 12 -0.4869 0.0391 13 0.0802

Grow-2-Prosper 0.0121 0.0052 0.0164 0.0069 26 0.0576 11 -0.3153 0.4020 1 0.0829

Lautandhana Equity 0.0084 0.0052 0.0164 0.0032 40 0.0523 24 -0.3917 0.0387 16 0.0779

Lautandhana Equity Progresif -0.0029 0.0052 0.0164 -0.0081 44 0.0749 1 -0.4620 0.0680 4 0.1265

Makinta Growth Fund 0.0146 0.0052 0.0164 0.0094 9 0.0633 6 -0.3577 0.0429 11 0.0898

Makinta Mantap 0.0189 0.0052 0.0164 0.0137 5 0.0711 2 -0.5879 0.0452 9 0.0984

Mandiri Investa Attraktif 0.0113 0.0052 0.0164 0.0061 30 0.0499 36 -0.3739 0.0351 28 0.0710

Mandiri Investa UGM 0.0090 0.0052 0.0164 0.0038 37 0.0503 33 -0.3422 0.0360 23 0.0740

Manulife Dana Saham 0.0120 0.0052 0.0164 0.0068 27 0.0483 43 -0.3112 0.0329 40 0.0677

Manulife Saham Andalan 0.0127 0.0052 0.0164 0.0075 21 0.0522 25 -0.3399 0.0363 21 0.0734

Millenium Equity 0.0070 0.0052 0.0164 0.0018 41 0.0480 44 -0.3266 0.0330 39 0.0722

66


Table 4.1 shows the descriptive statistics for average monthly Equity

funds in Indonesia. The descriptive statistics analysis showed that Equity funds in

Indonesia has the rate of return is greater than the risk-free assets, except in Equity

funds Simas Danamas Saham, Batavia Dana Saham Agro and Lautandhana

Equity Progresif because have negative return. This was followed by the Excess

Return of equity funds that have positive value except equity funds in Batavia

Dana Saham Agro, Lautandhana Equity Progresif and Simas Danamas Saham that

have bottom rank of Equity Fund. With Benchmark market we compare equity

fund returns with the market only there are 7 equity funds outperform than Return

MUTUAL FUNDS Return

(%)

Rf (BI

Rate)

(%)

Rm

(IHSG)

(%)


deviation Beta Downside Risk VaR


MNC Dana Ekuitas 0.0222 0.0052 0.0164 0.0170 2 0.0528 21 -0.3930 0.0295 44 0.0649

NISP Indeks Saham Progresif 0.0096 0.0052 0.0164 0.0044 36 0.0484 42 -0.3403 0.0341 35 0.0703

Panin Dana Maksima 0.0254 0.0052 0.0164 0.0202 1 0.0578 10 -0.2376 0.0299 43 0.0700

Panin Dana Prima 0.0193 0.0052 0.0164 0.0141 4 0.0528 22 -0.3103 0.0317 42 0.0678

Pratama Saham 0.0109 0.0052 0.0164 0.0057 33 0.0686 3 -0.4026 0.0484 6 0.1023

Rencana Cerdas 0.0122 0.0052 0.0164 0.0070 25 0.0519 27 -0.3683 0.0357 25 0.0734

Schroder Dana Istimewa 0.0144 0.0052 0.0164 0.0092 11 0.0550 16 -0.3755 0.0365 20 0.0764

Schroder Dana Prestasi Plus 0.0110 0.0052 0.0164 0.0058 32 0.0502 34 -0.3398 0.0348 30 0.0718

Schroder Indo Equity Fund 0.0131 0.0052 0.0164 0.0079 17 0.0496 39 -0.3381 0.0336 37 0.0687

Simas Danamas Saham 0.0039 0.0052 0.0164 -0.0013 42 0.0608 9 -0.3406 0.0463 7 0.0964

Syailendra Equity Opportunity 0.0201 0.0052 0.0164 0.0149 3 0.0534 20 -0.2903 0.0335 38 0.0680

TRIM Kapital 0.0171 0.0052 0.0164 0.0119 7 0.0613 8 -0.4400 0.0420 12 0.0840

TRIM Kapital Plus 0.0174 0.0052 0.0164 0.0122 6 0.0633 7 -0.4594 0.0448 10 0.0870

Average 0.0124 0.0052 0.0164 0.0071 0.0549 -0.3771 0.0496 0.0783

67

of Benchmark, there are following Makinta Mantap, MNC Dana Ekuitas, Panin

Dana Maksima, Panin Dana Prima, Syailendra Equity Opportunity, TRIM Kapital

Plus, TRIM Kapital. whereas, the others 37 equity funds have performed

underperform from market performance. Show in average of return of Equity fund

is lower than the return of benchmark.

Research on Risk Adjusted Return developed by Sharpe (1996) with the

formula (Rp-Rf) /P. Sharpe method states that the portfolio is not diversified.

Sharpe examines the performance of 34 mutual funds from year 1954 to 1963.

The result is that most of the mutual funds examined have excess return to

variability is lower than the market return. That is, most of the investment

managers in this period have worse performance than the performance of the

market.(Manurung, 2007:160). In this study also have excess return is lower than

market (Benchmark) only two equity funds that have the excess return more than

market (benchmark) with value 0.0164 are following Panin Dana Maksima Fund

with value 0.0202 and MNC Dana Ekuitas with value 0.0170. That show in this

period study Investment Managers have worse performance than the performance

of the market (Benchmark).

Panin Dana Maksima fund is equity fund that has the highest monthly

return value with value 0.0254 followed by MNC Dana Ekuitas fund with return

0.0222, then Syailendra Equity Ekuitas fund with return 0.0201, Panin Dana

Prima fund return 0.0193, Makinta Mantap fund return 0.0189. furthermore can

see in the table 4.1. Lautandhana Equity Progresif and Batavia Dana Saham Agro

are the Lowest monthly return value with -0.0029.

68

The sixth column in Table 4.1 shows the standard deviation (P) of

monthly in equity funds. Based on the statistic above, Lautandhana Equity

Progresif fund is equity fund that has highest standard deviation (risk level) with

value 0.0749 that has the lowest rate of return value too with -0.0029. Risk level

that higher than others equity funds affect to the return. This is indicated by the

return value is the last rank (the lowest) of the 44 equity funds that exist that has

highest the risk level by standard deviation more than others.

Standard Deviation (P) is the total risk that results from the amount of

systematic risk and unsystematic risk. if highly diversified portfolio, the total risk

is similar to systematic risk as close to zero unsistematic risk. it can also be called

if the portfolio with the market portfolio, the total risk equal to systematic risk or

market risk or can be called beta. therefore, the results of the Sharpe index will be

equal to the results of Treynor Index. (Manurung, 2007:150-151)

The calculation of beta equity funds in the period January 2010 to

December 2012 of 44 equity fund has a value less than 1 and all negative value.

Beta is negative it means to have a negative correlation with the return market in

this case is Jakarta Composite Index (JCI). Based on theory above, Unsystematic

risk happen in this period study, the portfolio is not diversified and most of the

investment managers in this period have worse performance than the performance

of the market.

Column in table 4.1 shows the downside risk of monthly in equity funds.

Based on on statistic above, Grow-2-Prosper fund is equity fund that has highest

69

downside risk with value 0.4020 and the lowest downside risk are Panin Dana

Maksima fund with value 0.0299. Downside risk that lower than others equity

funds affect their return. this indicated by return value is the best rank (the

highest) return of the 44 equity funds that exist.The downside deviation which

only consider the negative deviations from the mean or a minimum return

threshold.

The calculation of VaR (Value at Risk) in period January 2010 to December

2012 all equity funds are positif value of Value at Risk. formula VaR = - (r + Zα *

σ) α is confidence level ,Zα is quantile of the standard normal distribution.

4.2. Analysis Performance of Equity Funds

In this section will describe the analysis of the performance of equity

funds based on performance of each model of performance measurement is

Sharpe, Treynor, Jensen, and Modigliani, Sortino, and EROV.

1. Performance of Equity Funds Based Sharpe Ratio Method

Measurement method is also referred to as the Sharpe or Reward to

Variability Ratio (RVAR) emphasis on total risk or standard deviation. Standard

deviation indicates the size of the change in a stock's return on the average stock

return is concerned. The benefit of predicting performance in future use past data.

retutn average of past predictions is considered as the future return and standard

deviation of returns of the past are considered as predictors of future risk.

70

The method is used to measure the performance of mutual funds based on

how much additional investment obtained for each unit of risk taken.

measurement Sharpe formulated as follows:

Spi =

where :

Spi = Indeks Sharpe Portofolio




How to calculate Sharpe Ratio for example AXA CitraDinamis Fund:

Spi =

Spi= 0.0106-0.0052/0.0496

= 0.0054/0.0496 = 0.1089

The measurement results based Sharpe method can be seen in the table

below.

71

Table 4.2

Performance of Equity Funds Based Sharpe Ratio Method

No Equity Funds Return

(%)

Rf

(BI Rate)

(%)

Excess

Return

Standard

Deviation Sharpe Ranking

1 AXA CitraDinamis 0.0106 0.0052 0.0054 0.0496 0.1089 33

2 Bahana Dana Prima 0.0122 0.0052 0.0070 0.0519 0.1349 24

3 Batavia Dana Saham 0.0111 0.0052 0.0059 0.0526 0.1122 32

4 Batavia Dana Saham Agro -0.0029 0.0052 -0.0081 0.0664 -0.1220 44

5 Batavia Dana Saham Optimal 0.0144 0.0052 0.0092 0.0542 0.1697 10

6 BNI Reksa Dana Berkembang 0.0114 0.0052 0.0062 0.0539 0.1150 31

7 BNP Paribas Ekuitas 0.0139 0.0052 0.0087 0.0508 0.1713 9

8 BNP Paribas infrastruktur plus 0.0137 0.0052 0.0085 0.0543 0.1565 15

9 BNP Paribas Maxi Saham 0.0123 0.0052 0.0071 0.0555 0.1279 27

10 BNP Paribas Pesona 0.0127 0.0052 0.0075 0.0509 0.1473 21

11 BNP Paribas Solaris 0.0154 0.0052 0.0102 0.0559 0.1825 8

12 CIMB Principal Equity Aggressive 0.0087 0.0052 0.0035 0.0489 0.0716 38

13 Dana Ekuitas Andalan 0.0105 0.0052 0.0053 0.0516 0.1027 34

14 Dana Ekuitas Prima 0.0137 0.0052 0.0085 0.0554 0.1534 17

15 Dana Pratama Ekuitas 0.0088 0.0052 0.0036 0.0640 0.0563 40

16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0512 0.1484 19

17 FS Indo Equity Value Select Fund 0.0118 0.0052 0.0066 0.0506 0.1304 26

18 FS Indo Eqty Dividen Yield Fund 0.0128 0.0052 0.0076 0.0492 0.1545 16

19 FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0074 0.0499 0.1483 20

20 FS Indo Equity Peka Fund 0.0134 0.0052 0.0082 0.0498 0.1647 12

21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0573 0.1588 14

22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0576 0.1198 29

23 Lautandhana Equity 0.0084 0.0052 0.0032 0.0523 0.0612 39

24 Lautandhana Equity Progresif -0.0029 0.0052 -0.0081 0.0749 -0.1081 43

25 Makinta Growth Fund 0.0146 0.0052 0.0094 0.0633 0.1485 18

26 Makinta Mantap 0.0189 0.0052 0.0137 0.0711 0.1927 6

27 Mandiri Investa Attraktif 0.0113 0.0052 0.0061 0.0499 0.1222 28

28 Mandiri Investa UGM 0.0090 0.0052 0.0038 0.0503 0.0755 37

29 Manulife Dana Saham 0.0120 0.0052 0.0068 0.0483 0.1408 23

30 Manulife Saham Andalan 0.0127 0.0052 0.0075 0.0522 0.1437 22

31 Millenium Equity 0.0070 0.0052 0.0018 0.0480 0.0375 41

32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0528 0.3220 2

33 NISP Indeks Saham Progresif 0.0096 0.0052 0.0044 0.0484 0.0909 35

34 Panin Dana Maksima 0.0254 0.0052 0.0202 0.0578 0.3495 1

72


(%)

Rf

(BI Rate)

(%)

Excess

Return

Standard


35 Panin Dana Prima 0.0193 0.0052 0.0141 0.0528 0.2670 4

36 Pratama Saham 0.0109 0.0052 0.0057 0.0686 0.0831 36

37 Rencana Cerdas 0.0122 0.0052 0.0070 0.0519 0.1349 25

38 Schroder Dana Istimewa 0.0144 0.0052 0.0092 0.0550 0.1673 11

39 Schroder Dana Prestasi Plus 0.0110 0.0052 0.0058 0.0502 0.1155 30

40 Schroder Indo Equity Fund 0.0131 0.0052 0.0079 0.0496 0.1593 13

41 Simas Danamas Saham 0.0039 0.0052 -0.0013 0.0608 -0.0214 42

42 Syailendra Equity Opportunity 0.0201 0.0052 0.0149 0.0534 0.2790 3

43 TRIM Kapital 0.0171 0.0052 0.0119 0.0613 0.1941 5

44 TRIM Kapital Plus 0.0174 0.0052 0.0122 0.0633 0.1927 7

45 Market 0.0164 0.0052 0.0112 0.0492 0.2274


Picture 4.1

Best 10th

Performance of Equity Funds Based Sharpe Ratio Method


As shown in Table 4.2 that almost all equity funds have a positive value,

except for Batavia Dana Saham Agro fund, Lautandhana Equity Progresif fund

and Simas Danamas Saham fund that have negative values. The Highest of the

Sharpe index is Panin Dana Maksima with value 0.3495, while the equity funds

which have the lowest Batavia Dana Saham Agro fund, Lautandhana Equity

73

Progresif fund and Simas Danamas Saham fund are negative. Equity funds have

outperformed performance of the market performance there were 4 equity funds.

Whereas, the others equity funds have performed underperform from market

performance. Overall, the performance of equity funds based on Sharpe index

showed good performance for 41 equity fund of 44 equity funds with Sharpe

method are positive, and there are 3 equity funds which are negative.

2. Performance of Equity Funds Based Treynor Ratio Method

Evaluating the performance of a stock portfolio using the Treynor or often

referred to as the Reward to Volatility Ratio (RVOR), using the average returns of

the past as well as the expected return and beta as a measure of risk. Beta indicates

the size of the change in the return of a stock portfolio to changes in market

returns. as a measure of investment risk for the general use of beta fluctuations in

stock prices are affected by market fluctuations.

Treynor method is similar to the Sharpe method using the Risk Premium,

but the difference method Treynor using the beta (β) which is the risk of

fluctuations relative to the market risk. Treynor method can be formulated as

follows:

Tpi =

where:

Tpi = Index Treynor Portfolio

74



p = Beta portfolio (market risk or systematic risk)

How to calculate Treynor Ratio for example AXA CitraDinamis Fund:

Tpi =

Tpi= 0.0106-0.0052/(-0.3893)

= 0.0054/ (-0.0139) = -0.0139

The results of calculations using the Treynor method can be seen in the

table below.

Table 4.3

Performance of Equity Funds Based Treynor Ratio Method

No. Equity Funds Return

(%)

Rf

(BI Rate)

(%)

Excess

Return Beta Treynor Ranking

1 AXA Citradinamis 0.0106 0.0052 0.0054 -0.3893 -0.0139 10

2 Bahana Dana Prima 0.0122 0.0052 0.0070 -0.3683 -0.0190 19

3 Batavia Dana Saham 0.0111 0.0052 0.0059 -0.3879 -0.0152 12

4 Batavia Dana Saham Agro -0.0029 0.0052 -0.0081 -0.5020 0.0161 2

5 Batavia Dana Saham Optimal 0.0144 0.0052 0.0092 -0.3838 -0.0240 35

6 BNI Reksa Dana Berkembang 0.0114 0.0052 0.0062 -0.3122 -0.0199 22

7 BNP Paribaa Pesona 0.0139 0.0052 0.0087 -0.3845 -0.0226 32

8 BNP Paribas Ekuitas 0.0137 0.0052 0.0085 -0.3946 -0.0215 26

9 BNP Paribas Infrastruktur Plus 0.0123 0.0052 0.0071 -0.4030 -0.0176 17

10 BNP Paribas Maxi Saham 0.0127 0.0052 0.0075 -0.3715 -0.0202 24

11 BNP Paribas Solaris 0.0154 0.0052 0.0102 -0.4024 -0.0253 37

12 CIMB Principal Equity Aggressive 0.0087 0.0052 0.0035 -0.3796 -0.0092 7

13 Dana Ekuitas Andalan 0.0105 0.0052 0.0053 -0.3356 -0.0158 13

75


(%)

Rf

(BI Rate)

(%)

Excess


14 Dana ekuitas Prima 0.0137 0.0052 0.0085 -0.3769 -0.0226 31

15 Dana Pratama Ekuitas 0.0088 0.0052 0.0036 -0.3946 -0.0091 6

16 Dana Reksa Mawar 0.0128 0.0052 0.0076 -0.3840 -0.0198 21

17 FS Indo Equity Value Select Fund 0.0118 0.0052 0.0066 -0.3964 -0.0166 15

18 FS Indo Equity Deviden Yield fund 0.0128 0.0052 0.0076 -0.3559 -0.0214 25

19 FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0074 -0.3725 -0.0199 23

20 FS Indoequity Peka Fund 0.0134 0.0052 0.0082 -0.3677 -0.0223 30

21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 -0.4869 -0.0187 18

22 Grow-2-Prosper 0.0121 0.0052 0.0069 -0.3153 -0.0219 28

23 Lautandhana Equity 0.0084 0.0052 0.0032 -0.3917 -0.0082 5

24 Lautandhana Equity Progresif -0.0029 0.0052 -0.0081 -0.4620 0.0175 1

25 Makinta Growth Fund 0.0146 0.0052 0.0094 -0.3577 -0.0263 38

26 Makinta Mantap 0.0189 0.0052 0.0137 -0.5879 -0.0233 33

27 Mandiri Investa Attraktif 0.0113 0.0052 0.0061 -0.3739 -0.0163 14

28 Mandiri Investa UGM 0.0090 0.0052 0.0038 -0.3422 -0.0111 8

29 Manulife Dana Saham 0.0120 0.0052 0.0068 -0.3112 -0.0219 27

30 Manulife Saham Andalan 0.0127 0.0052 0.0075 -0.3399 -0.0221 29

31 Millenium Equity 0.0070 0.0052 0.0018 -0.3266 -0.0055 4

32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 -0.3930 -0.0433 41

33 NISP Indeks Saham Progresif 0.0096 0.0052 0.0044 -0.3403 -0.0129 9

34 Panin Dana Maksima 0.0254 0.0052 0.0202 -0.2376 -0.0850 44

35 Panin Dana Prima 0.0193 0.0052 0.0141 -0.3103 -0.0454 42

36 Pratama Saham 0.0109 0.0052 0.0057 -0.4026 -0.0142 11

37 Rencana Cerdas 0.0122 0.0052 0.0070 -0.3683 -0.0190 20

38 Schroder Dana Istimewa 0.0144 0.0052 0.0092 -0.3755 -0.0245 36

39 Schroder Dana Prestasi Plus 0.0110 0.0052 0.0058 -0.3398 -0.0171 16

40 Schroder Indo Equity Fund 0.0131 0.0052 0.0079 -0.3381 -0.0234 34

41 Simas Danamas Saham 0.0039 0.0052 -0.0013 -0.3406 0.0038 3

42 Syailendra Equity Opportunity 0.0201 0.0052 0.0149 -0.2903 -0.0513 43

43 TRIM Kapital 0.0171 0.0052 0.0119 -0.4400 -0.0270 40

44 TRIM Kapital Plus 0.0174 0.0052 0.0122 -0.4594 -0.0266 39


76

Picture 4.2

Best 10th



Table 4.3 above, almost all Equity funds based on the Treynor index

equity funds is negative except Lautandhana Equity Progresif funds with Treynor

index 0.0175, Batavia Dana Saham Agro fund is 0.0161 and Simas Danamas

Saham fund is 0.0038 are the first, second and third by Treynor index. all negative

beta equity funds that make Treynor index value becomes negative, it is because

the value of the excess return is positive except for equity funds Lautandhana

Equity Progresif fund, Batavia Dana Saham Agro and Simas Danamas Saham

fund which have positive and negative return value of Treynor index.

Lauthandana Equity Progresif fund and Batavia Dana Saham Agro fund have the

lowest return among all funds available are -0.0029 but has a value of the highest

Treynor index, this suggests that although providing small return, but with

relatively small volatility is able to provide relatively better performance

compared to the high return funds equity but the volatility of the market

movement is also very high.

77

3. Performance of Equity Funds Based Jensen ALPHA Method

Jensen method only accept investment return exceeds the expected return

or the minimum rate of return. return in question is the average return of the past

while the minimum rate of return is the expected return is calculated by Capital

Asset Pricing Model (CAPM). Difference antaara return with minimum average

rate of return is referred to as alpha. Jensen ALPHA is an absolute measure that

estimates the rate of return is constant during the period in which the investment

gain ALPHA Jensen rate of return above (below) of a buy-hold strategy with the

same systematic risk. Jensen method to analyze the needed data such as average

return, beta stocks, the minimum rate, and the risk free rate.

Alpha () is Risk Adjusted Measures of Portfolio Performance by Jensen,

measured by the difference between the portfolio return minus the risk-free rate of

return beta multiplied by the difference between the return of benchmark and risk-

free rate.


Where:

Jpi = Index Jensen portfolio




78


How to calculate Jensen Ratio for example AXA CitraDinamis Fund:


Jpi= (0.0106-0.0052)-((-0.03893) (0.0112-0.0052))= 0.0098

The results of calculations with measurements Jensen method can be seen

in the table below.

Table 4.3

Performance of Equity Funds Based Jensen Alpha Method


(%)

Rf

(BI Rate)

(%)

Excess

Return Rm-Rf Beta Jensen Ranking

1 AXA CitraDinamis 0.0106 0.0052 0.0054 0.0112 -0.3893 0.0098 32

2 Bahana Dana Prima 0.0122 0.0052 0.0070 0.0112 -0.3683 0.0111 24

3 Batavia Dana Saham 0.0111 0.0052 0.0059 0.0112 -0.3879 0.0102 30

4 Batavia Dana Saham Agro -0.0029 0.0052 -0.0081 0.0112 -0.5020 -0.0025 43

5 Batavia Dana Saham Optimal 0.0144 0.0052 0.0092 0.0112 -0.3838 0.0135 10

6 BNI Reksa Dana Berkembang 0.0114 0.0052 0.0062 0.0112 -0.3122 0.0097 33

7 BNP Paribas Ekuitas 0.0139 0.0052 0.0087 0.0112 -0.3845 0.0130 13

8 BNP Paribas Infrastruktur Plus 0.0137 0.0052 0.0085 0.0112 -0.3946 0.0129 14

9 BNP Paribas Maxi Saham 0.0123 0.0052 0.0071 0.0112 -0.4030 0.0116 20

10 BNP Paribas Pesona 0.0127 0.0052 0.0075 0.0112 -0.3715 0.0117 19

11 BNP Paribas Solaris 0.0154 0.0052 0.0102 0.0112 -0.4024 0.0147 8

12 CIMB Principal Equity Aggressive 0.0087 0.0052 0.0035 0.0112 -0.3796 0.0078 38

13 Dana Ekuitas Andalan 0.0105 0.0052 0.0053 0.0112 -0.3356 0.0091 35

14 Dana Ekuitas Prima 0.0137 0.0052 0.0085 0.0112 -0.3769 0.0127 15

15 Dana Pratama Ekuitas 0.0088 0.0052 0.0036 0.0112 -0.3946 0.0080 37

16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0112 -0.3840 0.0119 17

17 FS Indo Equity Value Select Fund 0.0118 0.0052 0.0066 0.0112 -0.3964 0.0110 26

18 FS Indo Eqty Dividen Yield Fund 0.0128 0.0052 0.0076 0.0112 -0.3559 0.0116 21

19 FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0074 0.0112 -0.3725 0.0116 22

20 FS Indo Equity Peka Fund 0.0134 0.0052 0.0082 0.0112 -0.3677 0.0123 16

79


(%)

Rf

(BI Rate)

(%)

Excess


21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0112 -0.4869 0.0146 9

22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0112 -0.3153 0.0104 27

23 Lautandhana Equity 0.0084 0.0052 0.0032 0.0112 -0.3917 0.0076 40

24 Lautandhana Equity Progresif -0.0029 0.0052 -0.0081 0.0112 -0.4620 -0.0029 44

25 Makinta Growth Fund 0.0146 0.0052 0.0094 0.0112 -0.3577 0.0134 11

26 Makinta Mantap 0.0189 0.0052 0.0137 0.0112 -0.5879 0.0203 3

27 Mandiri Investa Attraktif 0.0113 0.0052 0.0061 0.0112 -0.3739 0.0103 28

28 Mandiri Investa UGM 0.0090 0.0052 0.0038 0.0112 -0.3422 0.0076 39

29 Manulife Dana Saham 0.0120 0.0052 0.0068 0.0112 -0.3112 0.0103 29

30 Manulife Saham Andalan 0.0127 0.0052 0.0075 0.0112 -0.3399 0.0113 23

31 Millenium Equity 0.0070 0.0052 0.0018 0.0112 -0.3266 0.0055 41

32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0112 -0.3930 0.0214 2

33 NISP Indeks Saham Progresif 0.0096 0.0052 0.0044 0.0112 -0.3403 0.0082 36

34 Panin Dana Maksima 0.0254 0.0052 0.0202 0.0112 -0.2376 0.0229 1

35 Panin Dana Pima 0.0193 0.0052 0.0141 0.0112 -0.3103 0.0176 5

36 Pratama Saham 0.0109 0.0052 0.0057 0.0112 -0.4026 0.0102 31

37 Rencana Cerdas 0.0122 0.0052 0.0070 0.0112 -0.3683 0.0111 25

38 Schroder Dana Istimewa 0.0144 0.0052 0.0092 0.0112 -0.3755 0.0134 12

39 Schroder Dana Prestasi Plus 0.0110 0.0052 0.0058 0.0112 -0.3398 0.0096 34

40 Schroder Indo Equity Fund 0.0131 0.0052 0.0079 0.0112 -0.3381 0.0117 18

41 Simas Danamas Saham 0.0039 0.0052 -0.0013 0.0112 -0.3406 0.0025 42

42 Syailendra Equity Opportunity 0.0201 0.0052 0.0149 0.0112 -0.2903 0.0182 4

43 TRIM Kapital 0.0171 0.0052 0.0119 0.0112 -0.4400 0.0168 7

44 TRIM Kapital Plus 0.0174 0.0052 0.0122 0.0112 -0.4594 0.0173 6

Market 0.0164 0.0052 0.0112 0.0112 1 0


80

Picture 4.3

Best 10th



As shown in Table 4.4 that almost all equity funds have a positive Jensen

index value of mutual funds except that Batavia Dana Saham Agro fund and

Lautandhana Equity Progresif fund are negative and the lowest ranks 43 and 44 of

all existing equity funds. Batavia Dana Saham Agro and Lautandhana Equity

Progresif fund are equity funds that have a negative Jensen ALPHA value and the

lowest, this is because they return negative value. Panin Dana Maksima funds is a

fund that has the best monthly performance index based on Jensen with the

highest alpha value is 0.0229. Almost all equity funds by Jensen index method

have better performance (outperform) of the performance of the market, except

for Batavia Dana Saham Agro and Lautandhana Equity Progresif fund.

So, the conclusion is that the three highest alpha value by Jensen index

equity funds that have the lowest beta value where beta is a statement of the

market risk or systematic risk, meaning that the lower the beta obtained and the

higher the return value of this research will result in high performance.

81

4. Performance of Equity Funds Based Modigliani Ratio Method

This section will describe the results of the daily performance

measurement using Modigliani index, where the index is complete Sharpe index

by entering elements of the standard deviation of the market.

Risk Adjusted Measures of Portfolio Performance by Franco Modigliani

and Leah Modigliani, measured by the risk free plus the amount times of the

RVAR (Sharpe ratio) with standard deviation of market benchmark.

M = Rf + (Spi . m)

where:

M = Modigiliani Square

Spi = Indeks Sharpe Portofolio (Rpi-Rf /p)

Rf = Risk Free (Aset Bebas Risiko)

m = Standar Deviasi Market

p = Standar Deviasi Portofolio


How to calculate Modigliani Ratio for example AXA CitraDinamis

Fund:

82

M = Rf + (Spi . m)

M = 0.0052 + ((Rp-Rf)/ P) * 0.0492)

= 0.0052 + (0.1089 * 0.0492) = 0.0105

This method of measurement results can be seen in the table below.

Table 4.5

Performance of Equity Funds Based Modigliani Ratio Method


(%)

Rf

(BI Rate)

(%)

Excess

Return

Standard

Deviation

Stdev

Market Modigliani Ranking

1 AXA CitraDinamis 0.0106 0.0052 0.0053 0.0496 0.0492 0.0105 33

2 Bahana Dana Prima 0.0122 0.0052 0.0070 0.0519 0.0492 0.0118 24

3 Batavia Dana Saham 0.0111 0.0052 0.0058 0.0526 0.0492 0.0106 32

4 Batavia Dana Saham Agro -0.0029 0.0052 -0.0081 0.0664 0.0492 -0.0008 44

5 Batavia Dana Saham Optimal 0.0144 0.0052 0.0092 0.0542 0.0492 0.0136 10

6 BNI Reksa Dana Berkembang 0.0114 0.0052 0.0062 0.0539 0.0492 0.0109 31

7 BNP Paribas Ekuitas 0.0139 0.0052 0.0087 0.0508 0.0492 0.0136 9

8 BNP Paribas infrastruktur plus 0.0137 0.0052 0.0084 0.0543 0.0492 0.0128 15

9 BNP Paribas Maxi Saham 0.0123 0.0052 0.0070 0.0555 0.0492 0.0114 27

10 BNP Paribas Pesona 0.0127 0.0052 0.0075 0.0509 0.0492 0.0124 21

11 BNP Paribas Solaris 0.0154 0.0052 0.0101 0.0559 0.0492 0.0141 8

12 CIMB Principal Equity Aggressive 0.0087 0.0052 0.0034 0.0489 0.0492 0.0086 38

13 Dana Ekuitas Andalan 0.0105 0.0052 0.0053 0.0516 0.0492 0.0103 34

14 Dana Ekuitas Prima 0.0137 0.0052 0.0084 0.0554 0.0492 0.0127 17

15 Dana Pratama Ekuitas 0.0088 0.0052 0.0035 0.0640 0.0492 0.0079 40

16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0512 0.0492 0.0125 19

17 FS Indo Equity Value Select Fund 0.0118 0.0052 0.0065 0.0506 0.0492 0.0115 26

18 FS Indo Eqty Dividen Yield Fund 0.0128 0.0052 0.0075 0.0492 0.0492 0.0127 16

19 FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0074 0.0499 0.0492 0.0125 20

20 FS Indo Equity Peka Fund 0.0134 0.0052 0.0081 0.0498 0.0492 0.0132 12

21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0573 0.0492 0.0130 14

22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0576 0.0492 0.0111 29

23 Lautandhana Equity 0.0084 0.0052 0.0031 0.0523 0.0492 0.0081 39

83


(%)

Rf

(BI Rate)

(%)

Excess

Return

Standard

Deviation

Stdev


24 Lautandhana Equity Progresif -0.0029 0.0052 -0.0081 0.0749 0.0492 -0.0001 43

25 Makinta Growth Fund 0.0146 0.0052 0.0094 0.0633 0.0492 0.0125 18

26 Makinta Mantap 0.0189 0.0052 0.0136 0.0711 0.0492 0.0146 6

27 Mandiri Investa Attraktif 0.0113 0.0052 0.0061 0.0499 0.0492 0.0112 28

28 Mandiri Investa UGM 0.0090 0.0052 0.0038 0.0503 0.0492 0.0089 37

29 Manulife Dana Saham 0.0120 0.0052 0.0068 0.0483 0.0492 0.0121 23

30 Manulife Saham Andalan 0.0127 0.0052 0.0075 0.0522 0.0492 0.0123 22

31 Millenium Equity 0.0070 0.0052 0.0017 0.0480 0.0492 0.0069 41

32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0528 0.0492 0.0210 2

33 NISP Indeks Saham Progresif 0.0096 0.0052 0.0043 0.0484 0.0492 0.0096 35

34 Panin Dana Maksima 0.0254 0.0052 0.0201 0.0578 0.0492 0.0223 1

35 Panin Dana Prima 0.0193 0.0052 0.0141 0.0528 0.0492 0.0183 4

36 Pratama Saham 0.0109 0.0052 0.0057 0.0686 0.0492 0.0093 36

37 Rencana Cerdas 0.0122 0.0052 0.0070 0.0519 0.0492 0.0118 25

38 Schroder Dana Istimewa 0.0144 0.0052 0.0092 0.0550 0.0492 0.0134 11

39 Schroder Dana Prestasi Plus 0.0110 0.0052 0.0058 0.0502 0.0492 0.0109 30

40 Schroder Indo Equity Fund 0.0131 0.0052 0.0079 0.0496 0.0492 0.0130 13

41 Simas Danamas Saham 0.0039 0.0052 -0.0014 0.0608 0.0492 0.0041 42

42 Syailendra Equity Opportunity 0.0201 0.0052 0.0148 0.0534 0.0492 0.0188 3

43 TRIM Kapital 0.0171 0.0052 0.0119 0.0613 0.0492 0.0148 5

44 TRIM Kapital Plus 0.0174 0.0052 0.0121 0.0633 0.0492 0.0146 7

Market 0.0164 0.0052 0.0112 0.0492 0.0492 0.0164

Source: Data Proceed

84

Picture 4.4

Best 10th

Performance of Equity Funds Based Modigliani Ratio Method


Based on table 4.5 equity funds which have the highest index value

Modigliani and outperform than market is Panin Dana Maksima fund with a score

of 0.0224. Equity funds in second place is MNC Dana Ekuitas fund by Modigliani

index with score 0.0210. Third place by Syailendra Equity Opportunity fund with

a score of 0.0189 and forth is Panin Dana Prima with value 0.0183. Almost all

equity funds have a positive monthly performance during the period January 2010

to December 2012 with Modigliani method index, it is shown that the

performance of equity funds is higher than Risk-free rate except Batavia Dana

Saham Agro and Lautandhana Equity Progresif that have negative return and

negative modigliani index.

85

5. Performance of Equity Funds Based Sortino Ratio Method

The Sortino Ratio can be regarded as a modification of the Sharpe Ratio as

it replaces the standard deviation by downside deviation which only considers the

negative deviations from the mean or a minimum return threshold.

The Sortino Ratio can be Regarded as a modification of the Sharpe Ratio

as it replaces the standard deviation by downside deviation considers only the

negative deviations from the mean or a minimum return threshold. Sortino ratio

can be calculated by the following formula :

SOR =

where:

SOR = Sortino ratio




How to calculate Sortino Ratio for example AXA CitraDinamis Fund:

SOR =

SOR= 0.0106-0.0052/0.0352 = 0.1534

86

The measurement results based methods Sortino ratio can be seen in the

table below.

Table 4.6

Performance of Equity Funds Based Sortino Ratio Method


(%)

Rf

(BI Rate)

(%)

Excess

Return

Downside

Risk Sortino Ranking








8 BNP Paribas Infrastruktur plus 0.0137 0.0052 0.0085 0.0371 0.2291 15








16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0326 0.2331 13





21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0391 0.2327 14

22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0402 0.1716 28




26 Makinta Mantap 0.0189 0.0052 0.0137 0.0452 0.3031 5



87


(%)

Rf

(BI Rate)

(%)

Excess

Return

Downside





32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0295 0.5763 2



35 Panin Dana Prima 0.0193 0.0052 0.0141 0.0317 0.4448 3

36 Pratama Saham 0.0109 0.0052 0.0057 0.0484 0.1178 34

37 Rencana Cerdas 0.0122 0.0052 0.0070 0.0357 0.1961 24






43 TRIM Kapital 0.0171 0.0052 0.0119 0.0420 0.2833 6


Market 0.0164 0.0052 0.0112 0.0287 0.3897


Picture 4.5

Best 10th

Performance of Equity Funds Based Sortino Ratio Method


As shown in Table 4.4 that almost all equity funds have a positive Sortino

Ratio index value of equity funds except that Batavia Dana Saham Agro fund,

88

Lautandhana Equity Progresif fund and Simas Danamas Saham fund are negative.

Batavia Dana Saham Agro fund and Lautandhana Equity Progresif fund are equity

funds that have a negative Sortino ratio value and the lowest, this is because they

return negative value.There are 4 equity funds outperform than market following

Panin Dana Maksima funds is a fund that has the highest monthly performance

index based on Sortino ratio with the value is 0.6756. second place highest sortino

ratio is MNC Dana Ekuitas fund with value 0.5763 and trird place is Panin Dana

Prima with value 0.4448 and the fourth is Syailendra Equity Opportunity. while

the other funds have underperformed the performance of market performance.

Overall, almost the performance of equity funds based on index Sortino ratio

show good performance of the Sortino ratio values obtained are positive except

for three equity funds namely Batavia Dana Saham Agro, Lautandhana Equity

Opportunity, and Simas Danamas Saham funds that are negative value.

6. Performance of Equity Funds Based EROV (Excess Return on Value-at-

Risk) Ratio Method

Excess Return on VaR is basically a Sharpe Ratio using Value-At-Risk

instead of volatility as the risk measure (Carl R. Bacon, 2004). Assuming

normally distributed returns, the VaR of a long-position is calculated as a quantile

of the standard normal distribution at a certain confidence level α, using the

expected value – i.e. the mean and the standard deviation (Jorion, 2006:110).

89

This method is similar to the method of measurement Sharpe. There is a

difference in the type of risk used is the risk The biggest disadvantage faced by

mutual funds in a given period with certain level of confidence level (this study

using the confidence level 95% with a coefficient of -1.65). Calculation formula

used is:


where:



rf = Risk free rate


How to calculate EROV Ratio for example AXA CitraDinamis Fund:


EROV = (0.0106-0.0052) / 0.0712

= 0.0758

The measurement results based methods Sortino ratio can be seen in the

table below.

90

Table 4.7

Performance of Equity Funds Based EROV Ratio Method


(%)

Rf

(BI Rate)

(%)

Excess

Return

Standard

Deviation VaR EROV Ranking








8 BNP Paribas Infrastruktur Plus 0.0137 0.0052 0.0085 0.0543 0.0759 0.1120 15








16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0512 0.0717 0.1060 19





21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0573 0.0802 0.1134 14

22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0576 0.0829 0.0832 29




26 Makinta Mantap 0.0189 0.0052 0.0137 0.0711 0.0984 0.1392 7






32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0528 0.0649 0.2619 2



91


(%)

Rf

(BI Rate)

(%)

Excess

Return

Standard


35 Panin Dana Prima 0.0193 0.0052 0.0141 0.0528 0.0678 0.2079 4

36 Pratama Saham 0.0109 0.0052 0.0057 0.0686 0.1023 0.0557 36

37 Rencana Cerdas 0.0122 0.0052 0.007 0.0519 0.0734 0.0953 25




41 Simas Danamas Saham 0.0039 0.0052 -0.0013 0.0608 0.0964 -0.0135 42


43 TRIM Kapital 0.0171 0.0052 0.0119 0.0613 0.0840 0.1416 5


Market 0.0164 0.0052 0.0112 0.0492 0.0648 0.1728


Picture 4.6

Best 10th

Performance of Equity Funds Based EROV Ratio Method

Equity funds which have the highest index value of EROV and outperform

than market performance with value 0.1728 (benchmark) only four equity fund

following is Panin Dana Maksima fund with a score of 0.2887. Equity funds in

second place is MNC Dana Ekuitas fund by EROV index with score 0.2619.

Third place by Syailendra Equity Opportunity fund with a score of 0.2191. Fourth

is Panin Dana Prima with value 0.2079. Almost all equity funds have a positive

92

monthly performance during the period January 2010 to December 2012 with

EROV method index, it is shown that the performance of equity funds is good

except Batavia Dana Saham Agro and Lautandhana Equity Progresif that have

negative return with ranking 42, 43 and 44 negative EROV index.

4.3. Performance Comparisons Monthly Equity Funds with Risk-Adjusted

Return Methods.

There are differences in the measurement results in the measurement of the

performance of equity funds with risk-adjusted return method in this study.

Generally based on average return performance, performance of Sortino Index has

the superior performance, followed by the Sharpe index, EROV index, and Jensen

and Modigliani who had not much different performance and Treynor method has

poor performance. The result of comparisons equity funds with Risk Adjusted

return method can be seen in the table below.

Table 4.8

Performance Comparisons Monthly Equity Funds with Six Model of

Measurement Years January 2010 – December 2012

No Equity Funds Sharpe Rank Treynor Rank Jensen Rank M2 Rank Sortino Rank EROV Rank

1 AXA CitraDinamis 0.1089 33 -0.0139 10 0.0098 32 0.0106 33 0.1534 31 0.0758 33

2 Bahana Dana Prima 0.1349 24 -0.0190 19 0.0111 24 0.0118 24 0.1961 23 0.0953 24

3 Batavia Dana Saham 0.1122 32 -0.0152 12 0.0102 30 0.0107 32 0.0553 40 0.0779 32

4 Batavia Dana Saham Agro -0.1220 44 0.0161 2 -0.0025 43 -0.0008 44 -0.1506 44 -0.0720 44

5 Batavia Dana Saham Optimal 0.1697 10 -0.0240 35 0.0135 10 0.0136 9 0.0810 38 0.1226 10

6 BNI Reksa Dana Berkembang 0.1150 31 -0.0199 22 0.0097 33 0.0109 30 0.1594 30 0.0800 31

7 BNP Paribas Ekuitas 0.1565 15 -0.0226 31 0.0130 13 0.0136 10 0.2522 9 0.1244 9

8 BNP Paribas Infrastruktur Plus 0.1279 27 -0.0215 26 0.0129 14 0.0129 15 0.2291 15 0.1120 15

9 BNP Paribas Maxi Saham 0.1473 21 -0.0176 17 0.0116 20 0.0115 27 0.1830 26 0.0896 27

10 BNP Paribas Pesona 0.1713 9 -0.0202 24 0.0117 18 0.0124 21 0.2168 19 0.1052 20

93


11 BNP Paribas Solaris 0.1825 8 -0.0253 37 0.0147 8 0.0142 8 0.2649 8 0.1328 8

12 CIMB Principal Equity Aggressive 0.0716 38 -0.0092 7 0.0078 38 0.0087 38 0.1003 36 0.0486 38

13 Dana Ekuitas Andalan 0.1027 34 -0.0158 13 0.0091 35 0.0103 34 0.1464 32 0.0710 34

14 Dana Ekuitas Prima 0.1534 17 -0.0226 32 0.0127 15 0.0127 17 0.2208 17 0.1094 17

15 Dana Pratama Ekuitas 0.0563 40 -0.0091 6 0.0080 37 0.0080 40 0.0783 39 0.0372 40

16 Dana Reksa Mawar 0.1484 19 -0.0198 21 0.0119 17 0.0125 18 0.2331 13 0.1060 19

17 FS Indo Equity Value Select Fund 0.1304 26 -0.0166 15 0.0110 26 0.0116 26 0.1870 25 0.0921 26

18 FS Indo Eqty Dividen Yield Fund 0.1545 16 -0.0214 25 0.0116 21 0.0128 16 0.2242 16 0.1111 16

19 FS Indo Equity Sectoral Fund 0.1483 20 -0.0199 23 0.0116 22 0.0125 19 0.2151 20 0.1061 18

20 FS Indo Equity Peka Fund 0.1647 12 -0.0223 30 0.0123 16 0.0133 12 0.2398 11 0.1192 12

21 GMT Dana Ekuitas 0.1588 14 -0.0187 18 0.0146 9 0.0130 13 0.2327 14 0.1134 14

22 Grow-2-Prosper 0.1198 29 -0.0219 27 0.0104 27 0.0111 29 0.1716 28 0.0832 29

23 Lautandhana Equity 0.0612 39 -0.0082 5 0.0076 39 0.0082 39 0.0827 37 0.0411 39

24 Lautandhana Equity Progresif -0.1081 43 0.0175 1 -0.0029 44 -0.0001 43 -0.1191 43 -0.0640 43

25 Makinta Growth Fund 0.1485 18 -0.0263 38 0.0134 11 0.0125 20 0.2191 18 0.1046 21

26 Makinta Mantap 0.1927 6 -0.0233 33 0.0203 3 0.0147 6 0.3031 5 0.1392 7

27 Mandiri Investa Attraktif 0.1222 28 -0.0163 14 0.0103 28 0.0112 28 0.1738 27 0.0859 28

28 Mandiri Investa UGM 0.0755 37 -0.0111 8 0.0076 40 0.0089 37 0.1056 35 0.0514 37

29 Manulife Dana Saham 0.1408 23 -0.0219 28 0.0103 29 0.0121 23 0.2067 21 0.1005 23

30 Manulife Saham Andalan 0.1437 22 -0.0221 29 0.0113 23 0.0123 22 0.2066 22 0.1021 22

31 Millenium Equity 0.0375 41 -0.0055 4 0.0055 41 0.0070 41 0.0545 41 0.0249 41

32 MNC Dana Ekuitas 0.3220 2 -0.0433 41 0.0214 2 0.0210 2 0.5763 2 0.2619 2

33 NISP Indeks Saham Progresif 0.0909 35 -0.0129 9 0.0082 36 0.0097 35 0.1290 33 0.0626 35

34 Panin Dana Maksima 0.3495 1 -0.0850 44 0.0229 1 0.0224 1 0.6756 1 0.2887 1

35 Panin Dana Prima 0.2670 4 -0.0454 42 0.0176 5 0.0183 4 0.4448 3 0.2079 4

36 Pratama Saham 0.0831 36 -0.0142 11 0.0102 31 0.0093 36 0.1178 34 0.0557 36

37 Rencana Cerdas 0.1349 25 -0.0190 20 0.0111 25 0.0118 25 0.1961 24 0.0953 25

38 Schroder Dana Istimewa 0.1673 11 -0.0245 36 0.0134 12 0.0134 11 0.2521 10 0.1205 11

39 Schroder Dana Prestasi Plus 0.1155 30 -0.0171 16 0.0096 34 0.0109 31 0.1667 29 0.0807 30

40 Schroder Indo Equity Fund 0.1593 13 -0.0234 34 0.0117 19 0.0130 14 0.2351 12 0.1149 13

41 Simas Danamas Saham -0.0214 42 0.0038 3 0.0025 42 0.0041 42 -0.0281 42 -0.0135 42

42 Syailendra Equity Opportunity 0.2790 3 -0.0513 43 0.0182 4 0.0189 3 0.4448 4 0.2191 3

43 TRIM Kapital 0.1941 5 -0.0270 40 0.0168 7 0.0148 5 0.2833 6 0.1416 5

44 TRIM Kapital Plus 0.1927 7 -0.0266 39 0.0173 6 0.0147 7 0.2723 7 0.1402 6

Average 0.1332 -0.0201 0.0114 0.0118 0.1975 0.0978

Source : Data proceed

94

Picture 4.7

Average Return of Performance Comparisons Monthly Equity Funds with

Six Model of Measurement Years January 2010 – December 2012


Table 4.6 presents a comparison Equity funds based on risk adjusted return

method, the Sharpe index, Treynor index, Jensen index, index Modigliani, Sortino

Index and EROV index. The results of calculations using Risk-Adjusted

measurement methods can be concluded that the performance superior is Panin

Dana Maksima fund with methods Sharpe, Jensen, Modigliani, Sortino, and

EROV, while Treynor method has poor performance. Sortino index is greater than

other ratios are Sharpe, EROV, Jensen, Modigliani,and Treynor has poor

performance.

The first rank Sharpe index occupied by Panin Dana Maksima with value

0.3495 Sharpe index. The second rank is MNC Dana Ekuitas of 0.3220 Sharpe

index. The third rank is Syailendra Equity Opportunity Fund with a value of

0.2790 Sharpe index.

95

P is the total risk that results from the amount of systematic risk and

unsystematic risk. If highly diversified portfolio, the total risk is similar to

systematic risk as close to zero unsistematic risk. it can also be called if the

portfolio with the market portfolio, the total risk equal to systematic risk or market

risk or can be called beta. therefore, the results of the Sharpe index will be equal

to the results of Treynor Index. (Manurung, 2007:150-151)

Research on risk adjusted return developed by Sharpe (1996) with the

formula (Rp-Rf) /P. Sharpe method states that the portfolio is not diversified.

Sharpe examines the performance of 34 mutual funds from 1954 to 1963 year.

The result is that most of the mutual funds examined have excess return to

variability is lower than the market return. That is, most of the investment

managers in this period have worse performance than the performance of the

market.(Manurung, 2007:160). In this study also have excess return is lower than

market (Benchmark). That show in this period study Investment Managers have

worse performance than the performance of the market (Benchmark).

Equity funds that have the highest value of Treynor Index is Lautandhana

Equity Opportunity with Treynor value 0.0175. In the table above, the value of

Treynor index have negative values almost all equity funds except Lautandhana

Equity Opportunity, Batavia Dana Saham Agro and Simas Danamas Saham

Funds. A equity fund that has a treynor value not equal with the value of Sharpe

indicates that the portfolio held by the mutual fund has not diversified. Treynor

index is relevant used to investors who invest their funds in various mutual funds,

96

or in a variety of portfolio diversification, so that unsystematic risk negligible on

performance measurement. Unsystematic risks caused by factors unique to the

securities, and can be eliminated by diversifying (Rodoni Ahmad, 2009:28). But

in this study the equity fund the portfolio is not diversified well.

Equity funds that have the highest value is Panin Dana Maksima Jensen

Index Equity Fund with an alpha value of 0.0229. The second rank is occupied by

the MNC Dana Ekuitas fund with an alpha value of 0.0214. And in third place is

occupied by Makinta Mantap fund with an alpha value of 0.0203. When viewed

as a whole Jensen index value has a positive value, the index is positive mean

return of the portfolio providing hope (is above the security market line) so it is a

good thing because the portfolio has a relatively high return to the level of

systematic risk (Tandelilin, 2010: 500).

Equity funds that have the highest value Modigliani Index is Panin Dana

Maksima with Modigliani index value of 0.0224. Equity fund that is in the second

position Modigliani Index is MNC Dana Ekuitas Fund with a value index of

0.0210. almost all of equity fund have positive monthly performance during the

period January 2009 to December 2011 with Modigliani method, it is shown that

the performance of mutual fund shares is higher than the performance of the

performance of SBI. The lowest value of modigliani is Batavia Dana Saham Agro.

The first rank sortino index occupied by Panin Dana Maksima with value

0.6756. The second rank is MNC Dana Ekuitas of 0.5763. The third rank is Panin

Dana Prima Fund with a value of 0.2790 Sharpe index. Almost all equity funds

97

have a positive monthly performance during the period January 2010 to December

2012 with Sortino method index, it is shown that the performance of equity funds

is good.

Equity funds which have the highest index value of EROV is Panin Dana

Maksima fund with a score of 0.2887. Equity funds in second place is MNC Dana

Ekuitas fund by EROV index with score 0.2619. Third place by Syailendra Equity

Opportunity fund with a score of 0.2191. Almost all equity funds have a positive

monthly performance during the period January 2010 to December 2012 with

EROV method index, it is shown that the performance of equity funds is good.

Khan (2010) regards research which concluded that the data model of

mutual fund performance measurement. Sharpe, Treynor and Jensen describe a

consistent assessment indicates that the funds have maximum performance than

its benchmark. Jensen positive results show that generated superior returns for

management expertise and superior performance. In that study, Sharpe, Treynor

and Jensen had positive results and outperformed its benchmark. In this study,

based on Risk Adjusted Return only Sharpe and Jensen have positive result but

Treynor has poor result performance.

Kuolis,et al (2011) This paper empirically examines the performance of

fifteen Greek mutual equity funds. The data on which this study was based is

monthly and refer to the period January, 2000 to December, 2008. The results

showed that the ranking of Sharpe and Treynor same calculation. But in this study

Sharpe and Treynor not same result and calculation.

98

Younes Ataie (2012) statements that the EROV ratio is significantly

greater than M3 measure and Sortino ratio and conclude a meaning full difference

exists between result of performance evaluation by using of EROV, Sortino and

M3 are not equal. In this study significant with Ataie (2012) result conclude a

meaning full difference exists between results of performance evaluation by using

Sharpe, Treynor, Jensen, Modigliani, Sortino, and EROV are not equal and based

on average return of six method performance model in this study Sortino ratio is

greater than others measures performance, esspecially better than EROV ratio.

Kolbadi (2009) This study on Examining Sharpe, Sortino, Sterling Ratio in

Portfolio Management, Evidence from Tehran Stock Exchange. The method used

in this study is the Sharpe, Sortino and Sterling Ratio to measure performance.

The results of that study there is a meaning full different between result of


companies. This study has significant result of kolbadi (2009) study research, that

this study there is a meaning full different between result performance evaluation

by using Sharpe ratio, Treynor ratio, Jensen ratio, Modigliani ratio, Sortino ratio,

and Excess Return On VaR (EROV) Ratio.

4.4. Hypothesis Testing

Hypothesis testing is intended to determine differences the equity funds

return with the benchmark return. Comparisons difference return of equity funds

performance measurement model consistency equity funds as measured by six

99

performance measurement model are model Sharpe, Treynor, Jensen and

Modigliani, Sortino, EROV

4.4.1. Normality Test Data

This test is to determine whether our data were normally distributed or not.

a. Normality Test return of Equity funds with return of Benchmark

In this study, testing the normality of the data is done by using a test Two

Sample Kolmogorov-Smirnov. If the data are normally distributed test

(Probability > 0.05), then the data will be further tested using different test

statistical parametric independent sample t-test. Conversely, if the data are not

normally distributed, the data will be tested using non-parametric statistical

difference test Mann-Whitney Test. Here are the results of normality test data that

has been done can be seen in the following table

Table 4.9

Testing by Kolmogorov-Smirnov Return of Equity Funds and Return

Benchmark

Test Statisticsa

Return

Most Extreme Differences

Absolute ,841

Positive ,841

Negative -,159

Kolmogorov-Smirnov Z 3,944

Asymp. Sig. (2-tailed) ,000

a. Grouping Variable: Label


100

Seen from the table above, the above test for normality using

Kolmogorov-Smirnov Z can be seen that the equity funds return data with

benchmark returns are not normally distributed with. It can be seen with Asymp

value. Sig. (2-tailed) where values of 0.000 (Probability < 0,05). So H0 is rejected,

so as to further different test performed using non-parametric test of Mann-

Whitney.

b. Normality Test Performance Measurement Risk-Adjusted Method

In this study, testing the normality of the data is done by using test Two

Sample Kolmogorov-Smirnov. If the data are normally distributed tested

(Probability > 0.05), then the data will be further tested using different test

statistical parametric One Way ANOVA. Conversely, if the data are not normally

distributed then the data is tested using different test statistic Kruskal-Wallis non-

parametric. Here are the results of normality test data that has been done can be

seen in the following table.

Table 4.10

Kolmogorov-Smirnov Test Performance Measurement Model

Test Statisticsa

Return


Absolute ,432

Positive ,045

Negative -,432



a. Grouping Variable: model


101

Seen from the table above, the above test for normality using

Kolmogorov-Smirnov Z can be seen that the performance measurement model

data is not normally distributed. This can be determined by Asymp. Sig. (2-tailed)

where values of 0.000 (probability <0,05). So H0 is rejected, so as to further

consistency test using non-parametric test of Kruskall-Wallis.

4.4.2. Comparations Test Different Equity Funds Return with Benchmark

Return

This test is to determine whether there is a difference between equity funds

returns with benchmark return by using the Mann-Whitney test. As for the

calculation as the following table.

Table 4.11

Result of Mann-Whitney test

Test Statisticsa

Return

Mann-Whitney U 308,000

Wilcoxon W 1298,000

Z -5,888




From the calculation obtained a value (Asymp. sig. 2-tailed) of 0.000. The

results of these calculations it can be concluded that H0 is rejected. Thus there are

differences between return of equity funds and return of benchmark. These

conditions suggests that investors should consider the risks level of each to invest

in equity funds or buy shares on the stock exchange because both produce

different returns. In this Study show the return of equity fund is cannot outperform

102

than return market or benchmark. That is, most of the investment managers in this

period have worse performance than the performance of the market.(Manurung,

2007:160)

4.4.3. Comparisons Test The Result of Performance of Equity Funds By

Measurement Model Index Sharpe, Treynor, Jensen, Modigliani,

Sortino, and EROV

This test is to determine whether the result of evaluation the performance

of equity funds throught Sharpe, Treynor, Jensen, Modigliani, Sortino, and EROV

measures are equal using the Kruskall-Wallis test. Decision-making Process are

following :

1. Hypothesis

H0 : The result of evaluating the performance of equity funds through

Sharpe, Treynor, Jensen, Modigliani, Sortino, and EROV measures are

equal.

H1 : The result of evaluating the performance of equity funds through

Sharpe, Treynor, Jensen, Modigliani, Sortino, and EROV measures are not

equal.

2. Significant level

= 0.05

3. Rejection Region

Reject the null Hypothesis (H0) if p-value < 0.0

103

4. Test Statistic

Table 4.12

Ranking Based Kruskall-Wallis

Ranks

Methods N Mean Rank

Return

Sharpe 44 190,82

Treynor 44 33,78

Jensen 44 93,44

Modigliani 44 97,90

Sortino 44 210,07

EROV 44 168,99

Total 264


Tabel 4.11

Hasil Uji Kruskall Wallis

Test Statisticsa,b

Performance

Chi-Square 189,305

Df 5

Asymp. Sig. ,000

a. Kruskal Wallis Test

b. Grouping Variable: metode


5. Decision

Since p-value = 0.000 < 0.05 = , we reject the null Hypotesis

104

Based on the results of the above table, by looking at the

probability of the column Asymp. Sig. 0000 is far below 0.05 then H0 is

rejected. Based on the Kruskal-wallis test this means that there are

differences in the consistency of the six models of equity fund

performance measurement or the result of evaluation the performace of

equity funds based Six methods model Sharpe, Treynor, Jensen,

Modigliani, Sortino, and EROV are not equal.

To conclude we can say there is a meaning full different between

result of performance evaluation by using Sharpe, Treynor, Jensen,

Modigliani, Sortino and EROV in Equity Fund. That significant with

previous research Kolbadi (2011) that study Examining Sharpe, Sortino,

and Sterling Ratio in Portfolio Management, Evidence from Tehran Stock

Exchange. The result there is a meaning full different between result of

performance evaluation by using Sterling, Sortino, and Sharpe in

investment companies. Ataie (2012) that study Evaluation Performance of

50 Top Companies Listed in Tehran Stock Exchange by Sortino, EROV,

and M3. The result there is a meaning full difference exists between result

of performance evaluation by using of EROV, Sortino, and M3 in sample

companies.

105

CHAPTER V

CONCLUSIONS AND IMPLICATIONS

5.1. Conclusions

This study was conducted try to measure and analyze the comparative evaluation of

the performance of equity funds using the method of Sharpe, Treynor, Jensen, Modigliani,

Sortino and EROV during the period January 2010 - December 2012. In this comparative

study was also conducted to test the performance of the Return of Equity funds with Return

of benchmarks or market performance as reflected by the JCI, with sample of 44 Equity

Funds in Indonesia. Based on the description theory, data processing, and the discussion in

the previous chapter, it can be concluded as follows:

1. The results analysis of Mann-Whitney test Analyze data compare the difference

between equity fund returns with benchmark returns, the overall return of 44

equity funds with return of benchmark (JCI) detect any difference or there are the

difference. It can be concluded that the return of equity fund is not equal with the

return of benchmark. Investing in equity fund has high level of risk to investors,

this is evidenced by average equity fund returns is underperform than (market)

benchmark.

2. The results analysis of Kruskall-wallis test analyze the result of evaluating the

performance of equity funds through Sharpe, Treynor, Jensen, Modigliani,

Sortino, and EROV measures are not equal. From the analysis proved that there

are differences between equity funds performance measurement models. The

results of calculations using Risk-Adjusted measurement methods can be

106

concluded that the performance superior is Panin Dana Maksima fund with

methods Sharpe, Jensen, Modigliani, Sortino, and EROV. while Treynor method

has poor performance. Generally based on average return performance six

methods model, Sortino ratio has greater performance than other measure

performance in this study.

5.2. Implication

1. For Next Researcher

The weakness in this study are the study period is relatively short, and only one type of

mutual fund is equity fund that is used. Recommendations for next reseacher to expand

period of reseach and using other types of mutual funds like money market fund, fixed

income fund, and Mixed fund and using other measurement performance to more

understanding the factors that influence performance of mutual fund especially in equity

fund.

2. For Investors

The need for understanding the risk behind that return obtained. The public needs to

understanding not just only see from the result of return also have to consider the level risk

that accompanies. For investors should more carefully in choosing a equity fund product,

because based on this research can be seen as an illustration of the performance of equity

funds in selecting equity funds can give better returns.

3. For Investment Managers

To consider the composition of the portfolio of stocks equity so as to produce a more

adequate and better return. Especially, measures with six indicators in this study and consider

diversification the portfolio based on total risk (systematic risk and unsystematic risk).

107

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APPENDIX I

Equity Funds to Study Sample


1 AXA Citradinamis PT AXA Asset Management Indonesia Deutsche Bank AG

2 Bahana Dana Prima PT Bahana TCW Investment Management Standard Chartered Bank

3 Batavia Dana Saham PT Batavia Prosperindo Aset Management Deutsche Bank AG

4 Batavia Dana Saham Agro PT Batavia Prosperindo Aset Management Deutsche Bank AG

5 Batavia Dana Saham Optimal PT Batavia Prosperindo Aset Management Deutsche Bank AG

6 BNI Dana Reksa Berkembang BNI Asset Management Bank CIMB Niaga

7 BNP Paribas Ekuitas PT BNP Paribas Investment Partners Deutsche Bank AG

8 BNP Paribas Infrastruktur Plus PT BNP Paribas Investment Partners Citybank AN

9 BNP Paribas Maxi Saham PT BNP Paribas Investment Partners Deutsche Bank AG

10 BNP Paribas Pesona PT BNP Paribas Investment Partners Deutsche Bank AG

11 BNP Paribas Solaris PT BNP Paribas Investment Partners Citybank AN

12 CIMB Principal Equity Aggresive PT CIMB Principal Asset Management Deutsche Bank AG

13 Dana Ekuitas Andalan PT Bahana TCW Investment Management Bank CIMB Niaga

14 Dana Ekuitas Prima PT Bahana TCW Investment Management Bank CIMB Niaga

15 Dana Pratama Ekuitas PT Bahana TCW Investment Management Bank CIMB Niaga

16 Dana Reksa Mawar PT Danareksa Investment Management Citybank AN

17 FS Indo Equity Value Select Fund PT First State Investment Indonesia Deutsche Bank AG

18 FS Indo Equity Dividen Yield Fund PT First State Investment Indonesia Hongkong and Shanghai Banking Corp.

19 FS Indo Equity Sectoral Fund PT First State Investment Indonesia Deutsche Bank AG

20 FS Indo Equity Peka Fund PT First State Investment Indonesia Citybank AN

21 GMT Dana Ekuitas PT GMT Asset Management Deutsche Bank AG

22 Grow-2-Prosper PT Corfina Capital Deutsche Bank AG

23 Lautandhana Equity PT Lautandhana Investment Management Bank CIMB Niaga

24 Lautandhana Equity Progresif PT Lautandhana Investment Management Bank CIMB Niaga

25 TRIM KAPITAL PLUS PT Trimegah Asset Management Bank CIMB Niaga

26 Makinta Growth Fund PT Emco Asset Management Bank CIMB Niaga

27 Makinta Mantap PT Emco Asset Management Bank CIMB Niaga


28 Mandiri Investa Attraktif PT Mandiri Manajemen Investasi Deutsche Bank AG

29 Mandiri Investa UGM PT Mandiri Management Investasi Deutsche Bank AG

30 Manulife Dana Saham PT Manulife Aset Manajemen Indonesia Deutsche Bank AG

31 Manulife Saham Andalan PT Manulife Aset Manajemen Indonesia The Hongkong And Shanghai Banking Corp.

32 Millenium Equity PT Millenium Danatama Indonesia Bank CIMB Niaga

33 MNC Dana Ekuitas PT MNC Asset Management Bank Rakyat Indonesia (PERSERO)

34 NISP Indeks Saham Progresif PT NISP Asset Management Deutsche Bank AG

35 Panin Dana Maksima PT Panin Asset Managment Deutsche Bank AG

36 Panin Dana Prima PT Panin Asset Managment Bank Central Asia

37 Pratama Saham PT Pratama Capital Asset Deutsche Bank AG

38 Rencana Cerdas PT Ciptadana Asset Management Deutsche Bank AG

39 Schroder Dana Istimewa PT Schroder Investment Management Deutsche Bank AG

40 Schroder Dana Prestasi Plus PT Schroder Investment Management Deutsche Bank AG

41 Schroder Indo Equity Fund PT Schroder Investment Management Bank Permata

42 Simas Danamas Saham PT Sinarmas Asset Management Bank CIMB Niaga

43 Syailendra Equity Opportunity PT Syailendra Capital Deutsche Bank AG

44 TRIM Kapital PT Trimegah Asset Management Bank CIMB Niaga

APPENDIX 2

Descriptive Statistic Equity Funds

MUTUAL FUNDS Return

(%)

Rf (BI

Rate)

(%)

Rm

(IHSG)

(%)


deviation Beta Downside Risk

VaR


AXA CitraDinamis 0.0106 0.0052 0.0164 0.0054 34 0.0496 38 -0.3893 0.0352 27 0.0712

Bahana Dana Prima 0.0122 0.0052 0.0164 0.0070 24 0.0519 26 -0.3683 0.0357 24 0.0734

Batavia Dana Saham 0.0111 0.0052 0.0164 0.0059 31 0.0526 23 -0.3879 0.1066 3 0.0757

Batavia Dana Saham Agro -0.0029 0.0052 0.0164 -0.0081 43 0.0664 4 -0.5020 0.0538 5 0.1125

Batavia Dana Saham Optimal 0.0144 0.0052 0.0164 0.0092 10 0.0542 18 -0.3838 0.1136 2 0.0750

BNI Reksa Dana Berkembang 0.0114 0.0052 0.0164 0.0062 29 0.0539 19 -0.3122 0.0389 14 0.0775

BNP Paribas Ekuitas 0.0137 0.0052 0.0164 0.0085 14 0.0508 31 -0.3845 0.0345 32 0.0699

BNP Paribas Infrastruktur Plus 0.0123 0.0052 0.0164 0.0071 23 0.0543 17 -0.3946 0.0371 19 0.0759

BNP Paribas Maxi Saham 0.0127 0.0052 0.0164 0.0075 20 0.0555 14 -0.4030 0.0388 15 0.0793

BNP Paribas Pesona 0.0139 0.0052 0.0164 0.0087 13 0.0509 30 -0.3715 0.0346 31 0.0713

BNP Paribas Solaris 0.0154 0.0052 0.0164 0.0102 8 0.0559 13 -0.4024 0.0385 17 0.0768

CIMB Principal Equity Aggressive 0.0087 0.0052 0.0164 0.0035 39 0.0489 41 -0.3796 0.0349 29 0.0720

Dana Ekuitas Andalan 0.0105 0.0052 0.0164 0.0053 35 0.0516 28 -0.3356 0.0362 22 0.0746

Dana Ekuitas Prima 0.0137 0.0052 0.0164 0.0085 15 0.0554 15 -0.3769 0.0385 18 0.0777

Dana Pratama Ekuitas 0.0088 0.0052 0.0164 0.0036 38 0.0640 5 -0.3946 0.0460 8 0.0968

Dana Reksa Mawar 0.0128 0.0052 0.0164 0.0076 18 0.0512 29 -0.3840 0.0326 41 0.0717

FS Indo Equity Value Select Fund 0.0118 0.0052 0.0164 0.0066 28 0.0506 32 -0.3964 0.0353 26 0.0717

FS Indo Eqty Dividen Yield Fund 0.0128 0.0052 0.0164 0.0076 19 0.0492 40 -0.3559 0.0339 36 0.0684

FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0164 0.0074 22 0.0499 35 -0.3725 0.0344 33 0.0697

FS Indo Equity Peka Fund 0.0134 0.0052 0.0164 0.0082 16 0.0498 37 -0.3677 0.0342 34 0.0688

GMT Dana Ekuitas 0.0143 0.0052 0.0164 0.0091 12 0.0573 12 -0.4869 0.0391 13 0.0802

Grow-2-Prosper 0.0121 0.0052 0.0164 0.0069 26 0.0576 11 -0.3153 0.4020 1 0.0829

Lautandhana Equity 0.0084 0.0052 0.0164 0.0032 40 0.0523 24 -0.3917 0.0387 16 0.0779

Lautandhana Equity Progresif -0.0029 0.0052 0.0164 -0.0081 44 0.0749 1 -0.4620 0.0680 4 0.1265

Makinta Growth Fund 0.0146 0.0052 0.0164 0.0094 9 0.0633 6 -0.3577 0.0429 11 0.0898

Makinta Mantap 0.0189 0.0052 0.0164 0.0137 5 0.0711 2 -0.5879 0.0452 9 0.0984

Mandiri Investa Attraktif 0.0113 0.0052 0.0164 0.0061 30 0.0499 36 -0.3739 0.0351 28 0.0710

Mandiri Investa UGM 0.0090 0.0052 0.0164 0.0038 37 0.0503 33 -0.3422 0.0360 23 0.0740

Manulife Dana Saham 0.0120 0.0052 0.0164 0.0068 27 0.0483 43 -0.3112 0.0329 40 0.0677

Manulife Saham Andalan 0.0127 0.0052 0.0164 0.0075 21 0.0522 25 -0.3399 0.0363 21 0.0734

Millenium Equity 0.0070 0.0052 0.0164 0.0018 41 0.0480 44 -0.3266 0.0330 39 0.0722

MNC Dana Ekuitas 0.0222 0.0052 0.0164 0.0170 2 0.0528 21 -0.3930 0.0295 44 0.0649

NISP Indeks Saham Progresif 0.0096 0.0052 0.0164 0.0044 36 0.0484 42 -0.3403 0.0341 35 0.0703

Panin Dana Maksima 0.0254 0.0052 0.0164 0.0202 1 0.0578 10 -0.2376 0.0299 43 0.0700

Panin Dana Prima 0.0193 0.0052 0.0164 0.0141 4 0.0528 22 -0.3103 0.0317 42 0.0678

Pratama Saham 0.0109 0.0052 0.0164 0.0057 33 0.0686 3 -0.4026 0.0484 6 0.1023

Rencana Cerdas 0.0122 0.0052 0.0164 0.0070 25 0.0519 27 -0.3683 0.0357 25 0.0734

Schroder Dana Istimewa 0.0144 0.0052 0.0164 0.0092 11 0.0550 16 -0.3755 0.0365 20 0.0764

Schroder Dana Prestasi Plus 0.0110 0.0052 0.0164 0.0058 32 0.0502 34 -0.3398 0.0348 30 0.0718

Schroder Indo Equity Fund 0.0131 0.0052 0.0164 0.0079 17 0.0496 39 -0.3381 0.0336 37 0.0687

Simas Danamas Saham 0.0039 0.0052 0.0164 -0.0013 42 0.0608 9 -0.3406 0.0463 7 0.0964

Syailendra Equity Opportunity 0.0201 0.0052 0.0164 0.0149 3 0.0534 20 -0.2903 0.0335 38 0.0680

TRIM Kapital 0.0171 0.0052 0.0164 0.0119 7 0.0613 8 -0.4400 0.0420 12 0.0840

TRIM Kapital Plus 0.0174 0.0052 0.0164 0.0122 6 0.0633 7 -0.4594 0.0448 10 0.0870

APPENDIX 3

Performance Comparisons Monthly Equity Funds with Six Model of Measurement

Years January 2010 – December 2012


1 AXA CitraDinamis 0.1089 33 -0.0139 10 0.0098 32 0.0106 33 0.1534 31 0.0758 33

2 Bahana Dana Prima 0.1349 24 -0.0190 19 0.0111 24 0.0118 24 0.1961 23 0.0953 24

3 Batavia Dana Saham 0.1122 32 -0.0152 12 0.0102 30 0.0107 32 0.0553 40 0.0779 32

4 Batavia Dana Saham Agro -0.1220 44 0.0161 2 -0.0025 43 -0.0008 44 -0.1506 44 -0.0720 44

5 Batavia Dana Saham Optimal 0.1697 10 -0.0240 35 0.0135 10 0.0136 9 0.0810 38 0.1226 10

6 BNI Reksa Dana Berkembang 0.1150 31 -0.0199 22 0.0097 33 0.0109 30 0.1594 30 0.0800 31

7 BNP Paribas Ekuitas 0.1565 15 -0.0226 31 0.0130 13 0.0136 10 0.2522 9 0.1244 9

8 BNP Paribas Infrastruktur Plus 0.1279 27 -0.0215 26 0.0129 14 0.0129 15 0.2291 15 0.1120 15

9 BNP Paribas Maxi Saham 0.1473 21 -0.0176 17 0.0116 20 0.0115 27 0.1830 26 0.0896 27

10 BNP Paribas Pesona 0.1713 9 -0.0202 24 0.0117 18 0.0124 21 0.2168 19 0.1052 20

11 BNP Paribas Solaris 0.1825 8 -0.0253 37 0.0147 8 0.0142 8 0.2649 8 0.1328 8

12 CIMB Principal Equity Aggressive 0.0716 38 -0.0092 7 0.0078 38 0.0087 38 0.1003 36 0.0486 38

13 Dana Ekuitas Andalan 0.1027 34 -0.0158 13 0.0091 35 0.0103 34 0.1464 32 0.0710 34

14 Dana Ekuitas Prima 0.1534 17 -0.0226 32 0.0127 15 0.0127 17 0.2208 17 0.1094 17

15 Dana Pratama Ekuitas 0.0563 40 -0.0091 6 0.0080 37 0.0080 40 0.0783 39 0.0372 40

16 Dana Reksa Mawar 0.1484 19 -0.0198 21 0.0119 17 0.0125 18 0.2331 13 0.1060 19

17 FS Indo Equity Value Select Fund 0.1304 26 -0.0166 15 0.0110 26 0.0116 26 0.1870 25 0.0921 26

18 FS Indo Eqty Dividen Yield Fund 0.1545 16 -0.0214 25 0.0116 21 0.0128 16 0.2242 16 0.1111 16

19 FS Indo Equity Sectoral Fund 0.1483 20 -0.0199 23 0.0116 22 0.0125 19 0.2151 20 0.1061 18

20 FS Indo Equity Peka Fund 0.1647 12 -0.0223 30 0.0123 16 0.0133 12 0.2398 11 0.1192 12

21 GMT Dana Ekuitas 0.1588 14 -0.0187 18 0.0146 9 0.0130 13 0.2327 14 0.1134 14

22 Grow-2-Prosper 0.1198 29 -0.0219 27 0.0104 27 0.0111 29 0.1716 28 0.0832 29

23 Lautandhana Equity 0.0612 39 -0.0082 5 0.0076 39 0.0082 39 0.0827 37 0.0411 39

24 Lautandhana Equity Progresif -0.1081 43 0.0175 1 -0.0029 44 -0.0001 43 -0.1191 43 -0.0640 43

25 Makinta Growth Fund 0.1485 18 -0.0263 38 0.0134 11 0.0125 20 0.2191 18 0.1046 21

26 Makinta Mantap 0.1927 6 -0.0233 33 0.0203 3 0.0147 6 0.3031 5 0.1392 7

27 Mandiri Investa Attraktif 0.1222 28 -0.0163 14 0.0103 28 0.0112 28 0.1738 27 0.0859 28

28 Mandiri Investa UGM 0.0755 37 -0.0111 8 0.0076 40 0.0089 37 0.1056 35 0.0514 37

29 Manulife Dana Saham 0.1408 23 -0.0219 28 0.0103 29 0.0121 23 0.2067 21 0.1005 23

30 Manulife Saham Andalan 0.1437 22 -0.0221 29 0.0113 23 0.0123 22 0.2066 22 0.1021 22

31 Millenium Equity 0.0375 41 -0.0055 4 0.0055 41 0.0070 41 0.0545 41 0.0249 41

32 MNC Dana Ekuitas 0.3220 2 -0.0433 41 0.0214 2 0.0210 2 0.5763 2 0.2619 2

33 NISP Indeks Saham Progresif 0.0909 35 -0.0129 9 0.0082 36 0.0097 35 0.1290 33 0.0626 35

34 Panin Dana Maksima 0.3495 1 -0.0850 44 0.0229 1 0.0224 1 0.6756 1 0.2887 1

35 Panin Dana Prima 0.2670 4 -0.0454 42 0.0176 5 0.0183 4 0.4448 3 0.2079 4

36 Pratama Saham 0.0831 36 -0.0142 11 0.0102 31 0.0093 36 0.1178 34 0.0557 36

37 Rencana Cerdas 0.1349 25 -0.0190 20 0.0111 25 0.0118 25 0.1961 24 0.0953 25

38 Schroder Dana Istimewa 0.1673 11 -0.0245 36 0.0134 12 0.0134 11 0.2521 10 0.1205 11

39 Schroder Dana Prestasi Plus 0.1155 30 -0.0171 16 0.0096 34 0.0109 31 0.1667 29 0.0807 30

40 Schroder Indo Equity Fund 0.1593 13 -0.0234 34 0.0117 19 0.0130 14 0.2351 12 0.1149 13

41 Simas Danamas Saham -0.0214 42 0.0038 3 0.0025 42 0.0041 42 -0.0281 42 -0.0135 42

42 Syailendra Equity Opportunity 0.2790 3 -0.0513 43 0.0182 4 0.0189 3 0.4448 4 0.2191 3

43 TRIM Kapital 0.1941 5 -0.0270 40 0.0168 7 0.0148 5 0.2833 6 0.1416 5

44 TRIM Kapital Plus 0.1927 7 -0.0266 39 0.0173 6 0.0147 7 0.2723 7 0.1402 6

Average 0.1332 -0.0201 0.0114 0.0118 0.1975 0.0978

APPENDIX 4

Risk-Adjusted Methods Six Indicator

Sharpe Ratio Method

No Reksa Dana Return

(%)

Rf

(BI Rate)

(%)

Excess

Return

Standard









8 BNP Paribas infrastruktur plus 0.0137 0.0052 0.0085 0.0543 0.1565 15








16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0512 0.1484 19





21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0573 0.1588 14

22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0576 0.1198 29




26 Makinta Mantap 0.0189 0.0052 0.0137 0.0711 0.1927 6






32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0528 0.3220 2



35 Panin Dana Prima 0.0193 0.0052 0.0141 0.0528 0.2670 4

36 Pratama Saham 0.0109 0.0052 0.0057 0.0686 0.0831 36

37 Rencana Cerdas 0.0122 0.0052 0.0070 0.0519 0.1349 25






43 TRIM Kapital 0.0171 0.0052 0.0119 0.0613 0.1941 5


45 Market 0.0124 1.0052 0.0072 0.0549 0.1332

Treynor Ratio Method

No. Reksa Dana Return

(%)

Rf

(BI Rate)

(%)

Excess


1 AXA Citradinamis 0.0106 0.0052 0.0054 -0.3893 -0.0139 10

2 Bahana Dana Prima 0.0122 0.0052 0.0070 -0.3683 -0.0190 19

3 Batavia Dana Saham 0.0111 0.0052 0.0059 -0.3879 -0.0152 12

4 Batavia Dana Saham Agro -0.0029 0.0052 -0.0081 -0.5020 0.0161 2

5 Batavia Dana Saham Optimal 0.0144 0.0052 0.0092 -0.3838 -0.0240 35

6 BNI Reksa Dana Berkembang 0.0114 0.0052 0.0062 -0.3122 -0.0199 22

7 BNP Paribaa Pesona 0.0139 0.0052 0.0087 -0.3845 -0.0226 32

8 BNP Paribas Ekuitas 0.0137 0.0052 0.0085 -0.3946 -0.0215 26

9 BNP Paribas Infrastruktur Plus 0.0123 0.0052 0.0071 -0.4030 -0.0176 17

10 BNP Paribas Maxi Saham 0.0127 0.0052 0.0075 -0.3715 -0.0202 24

11 BNP Paribas Solaris 0.0154 0.0052 0.0102 -0.4024 -0.0253 37

12 CIMB Principal Equity Aggressive 0.0087 0.0052 0.0035 -0.3796 -0.0092 7

13 Dana Ekuitas Andalan 0.0105 0.0052 0.0053 -0.3356 -0.0158 13

14 Dana ekuitas Prima 0.0137 0.0052 0.0085 -0.3769 -0.0226 31

15 Dana Pratama Ekuitas 0.0088 0.0052 0.0036 -0.3946 -0.0091 6

16 Dana Reksa Mawar 0.0128 0.0052 0.0076 -0.3840 -0.0198 21

17 FS Indo Equity Value Select Fund 0.0118 0.0052 0.0066 -0.3964 -0.0166 15

18 FS Indo Equity Deviden Yield fund 0.0128 0.0052 0.0076 -0.3559 -0.0214 25

19 FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0074 -0.3725 -0.0199 23

20 FS Indoequity Peka Fund 0.0134 0.0052 0.0082 -0.3677 -0.0223 30

21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 -0.4869 -0.0187 18

22 Grow-2-Prosper 0.0121 0.0052 0.0069 -0.3153 -0.0219 28

23 Lautandhana Equity 0.0084 0.0052 0.0032 -0.3917 -0.0082 5

24 Lautandhana Equity Progresif -0.0029 0.0052 -0.0081 -0.4620 0.0175 1

25 Makinta Growth Fund 0.0146 0.0052 0.0094 -0.3577 -0.0263 38

26 Makinta Mantap 0.0189 0.0052 0.0137 -0.5879 -0.0233 33

27 Mandiri Investa Attraktif 0.0113 0.0052 0.0061 -0.3739 -0.0163 14

28 Mandiri Investa UGM 0.0090 0.0052 0.0038 -0.3422 -0.0111 8

29 Manulife Dana Saham 0.0120 0.0052 0.0068 -0.3112 -0.0219 27

30 Manulife Saham Andalan 0.0127 0.0052 0.0075 -0.3399 -0.0221 29

31 Millenium Equity 0.0070 0.0052 0.0018 -0.3266 -0.0055 4

32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 -0.3930 -0.0433 41

33 NISP Indeks Saham Progresif 0.0096 0.0052 0.0044 -0.3403 -0.0129 9

34 Panin Dana Maksima 0.0254 0.0052 0.0202 -0.2376 -0.0850 44

35 Panin Dana Prima 0.0193 0.0052 0.0141 -0.3103 -0.0454 42

36 Pratama Saham 0.0109 0.0052 0.0057 -0.4026 -0.0142 11

37 Rencana Cerdas 0.0122 0.0052 0.0070 -0.3683 -0.0190 20

38 Schroder Dana Istimewa 0.0144 0.0052 0.0092 -0.3755 -0.0245 36

39 Schroder Dana Prestasi Plus 0.0110 0.0052 0.0058 -0.3398 -0.0171 16

40 Schroder Indo Equity Fund 0.0131 0.0052 0.0079 -0.3381 -0.0234 34

41 Simas Danamas Saham 0.0039 0.0052 -0.0013 -0.3406 0.0038 3

42 Syailendra Equity Opportunity 0.0201 0.0052 0.0149 -0.2903 -0.0513 43

43 TRIM Kapital 0.0171 0.0052 0.0119 -0.4400 -0.0270 40

44 TRIM Kapital Plus 0.0174 0.0052 0.0122 -0.4594 -0.0266 39

Jensen Ratio Method

No. Reksa Dana Return

(%)

Rf

(BI Rate)

(%)

Excess


1 AXA CitraDinamis 0.0106 0.0052 0.0054 0.0112 -0.3893 0.0098 32

2 Bahana Dana Prima 0.0122 0.0052 0.0070 0.0112 -0.3683 0.0111 24

3 Batavia Dana Saham 0.0111 0.0052 0.0059 0.0112 -0.3879 0.0102 30

4 Batavia Dana Saham Agro -0.0029 0.0052 -0.0081 0.0112 -0.5020 -0.0025 43

5 Batavia Dana Saham Optimal 0.0144 0.0052 0.0092 0.0112 -0.3838 0.0135 10

6 BNI Reksa Dana Berkembang 0.0114 0.0052 0.0062 0.0112 -0.3122 0.0097 33

7 BNP Paribas Ekuitas 0.0139 0.0052 0.0087 0.0112 -0.3845 0.0130 13

8 BNP Paribas Infrastruktur Plus 0.0137 0.0052 0.0085 0.0112 -0.3946 0.0129 14

9 BNP Paribas Maxi Saham 0.0123 0.0052 0.0071 0.0112 -0.4030 0.0116 20

10 BNP Paribas Pesona 0.0127 0.0052 0.0075 0.0112 -0.3715 0.0117 19

11 BNP Paribas Solaris 0.0154 0.0052 0.0102 0.0112 -0.4024 0.0147 8

12 CIMB Principal Equity Aggressive 0.0087 0.0052 0.0035 0.0112 -0.3796 0.0078 38

13 Dana Ekuitas Andalan 0.0105 0.0052 0.0053 0.0112 -0.3356 0.0091 35

14 Dana Ekuitas Prima 0.0137 0.0052 0.0085 0.0112 -0.3769 0.0127 15

15 Dana Pratama Ekuitas 0.0088 0.0052 0.0036 0.0112 -0.3946 0.0080 37

16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0112 -0.3840 0.0119 17

17 FS Indo Equity Value Select Fund 0.0118 0.0052 0.0066 0.0112 -0.3964 0.0110 26

18 FS Indo Eqty Dividen Yield Fund 0.0128 0.0052 0.0076 0.0112 -0.3559 0.0116 21

19 FS Indo Equity Sectoral Fund 0.0126 0.0052 0.0074 0.0112 -0.3725 0.0116 22

20 FS Indo Equity Peka Fund 0.0134 0.0052 0.0082 0.0112 -0.3677 0.0123 16

21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0112 -0.4869 0.0146 9

22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0112 -0.3153 0.0104 27

23 Lautandhana Equity 0.0084 0.0052 0.0032 0.0112 -0.3917 0.0076 40

24 Lautandhana Equity Progresif -0.0029 0.0052 -0.0081 0.0112 -0.4620 -0.0029 44

25 Makinta Growth Fund 0.0146 0.0052 0.0094 0.0112 -0.3577 0.0134 11

26 Makinta Mantap 0.0189 0.0052 0.0137 0.0112 -0.5879 0.0203 3

27 Mandiri Investa Attraktif 0.0113 0.0052 0.0061 0.0112 -0.3739 0.0103 28

28 Mandiri Investa UGM 0.0090 0.0052 0.0038 0.0112 -0.3422 0.0076 39

29 Manulife Dana Saham 0.0120 0.0052 0.0068 0.0112 -0.3112 0.0103 29

30 Manulife Saham Andalan 0.0127 0.0052 0.0075 0.0112 -0.3399 0.0113 23

31 Millenium Equity 0.0070 0.0052 0.0018 0.0112 -0.3266 0.0055 41

32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0112 -0.3930 0.0214 2

33 NISP Indeks Saham Progresif 0.0096 0.0052 0.0044 0.0112 -0.3403 0.0082 36

34 Panin Dana Maksima 0.0254 0.0052 0.0202 0.0112 -0.2376 0.0229 1

35 Panin Dana Pima 0.0193 0.0052 0.0141 0.0112 -0.3103 0.0176 5

36 Pratama Saham 0.0109 0.0052 0.0057 0.0112 -0.4026 0.0102 31

37 Rencana Cerdas 0.0122 0.0052 0.0070 0.0112 -0.3683 0.0111 25

38 Schroder Dana Istimewa 0.0144 0.0052 0.0092 0.0112 -0.3755 0.0134 12

39 Schroder Dana Prestasi Plus 0.0110 0.0052 0.0058 0.0112 -0.3398 0.0096 34

40 Schroder Indo Equity Fund 0.0131 0.0052 0.0079 0.0112 -0.3381 0.0117 18

41 Simas Danamas Saham 0.0039 0.0052 -0.0013 0.0112 -0.3406 0.0025 42

42 Syailendra Equity Opportunity 0.0201 0.0052 0.0149 0.0112 -0.2903 0.0182 4

43 TRIM Kapital 0.0171 0.0052 0.0119 0.0112 -0.4400 0.0168 7

44 TRIM Kapital Plus 0.0174 0.0052 0.0122 0.0112 -0.4594 0.0173 6

Market 0.0164 0.0052 0.0112 0.0112 1 0

Modigliani Ratio Method


(%)

Rf

(BI Rate)

(%)

Excess

Return

Standard

Deviation

Stdev









8 BNP Paribas infrastruktur plus 0.0137 0.0052 0.0084 0.0543 0.0492 0.0128 15








16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0512 0.0492 0.0125 19





21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0573 0.0492 0.0130 14

22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0576 0.0492 0.0111 29




26 Makinta Mantap 0.0189 0.0052 0.0136 0.0711 0.0492 0.0146 6






32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0528 0.0492 0.0210 2



35 Panin Dana Prima 0.0193 0.0052 0.0141 0.0528 0.0492 0.0183 4

36 Pratama Saham 0.0109 0.0052 0.0057 0.0686 0.0492 0.0093 36

37 Rencana Cerdas 0.0122 0.0052 0.0070 0.0519 0.0492 0.0118 25




41 Simas Danamas Saham 0.0039 0.0052 -0.0014 0.0608 0.0492 0.0041 42


43 TRIM Kapital 0.0171 0.0052 0.0119 0.0613 0.0492 0.0148 5


Sortino Ratio Method


(%)

Rf

(BI Rate)

(%)

Excess

Return

Downside









8 BNP Paribas Infrastruktur plus 0.0137 0.0052 0.0085 0.0371 0.2291 15








16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0326 0.2331 13





21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0391 0.2327 14

22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0402 0.1716 28




26 Makinta Mantap 0.0189 0.0052 0.0137 0.0452 0.3031 5






32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0295 0.5763 2



35 Panin Dana Prima 0.0193 0.0052 0.0141 0.0317 0.4448 3

36 Pratama Saham 0.0109 0.0052 0.0057 0.0484 0.1178 34

37 Rencana Cerdas 0.0122 0.0052 0.0070 0.0357 0.1961 24






43 TRIM Kapital 0.0171 0.0052 0.0119 0.0420 0.2833 6


EROV (Exceess Return On VaR)


(%)

Rf

(BI Rate)

(%)

Excess

Return

Standard









8 BNP Paribas Infrastruktur Plus 0.0137 0.0052 0.0085 0.0543 0.0759 0.1120 15








16 Dana Reksa Mawar 0.0128 0.0052 0.0076 0.0512 0.0717 0.1060 19





21 GMT Dana Ekuitas 0.0143 0.0052 0.0091 0.0573 0.0802 0.1134 14

22 Grow-2-Prosper 0.0121 0.0052 0.0069 0.0576 0.0829 0.0832 29




26 Makinta Mantap 0.0189 0.0052 0.0137 0.0711 0.0984 0.1392 7






32 MNC Dana Ekuitas 0.0222 0.0052 0.0170 0.0528 0.0649 0.2619 2



35 Panin Dana Prima 0.0193 0.0052 0.0141 0.0528 0.0678 0.2079 4

36 Pratama Saham 0.0109 0.0052 0.0057 0.0686 0.1023 0.0557 36

37 Rencana Cerdas 0.0122 0.0052 0.007 0.0519 0.0734 0.0953 25




41 Simas Danamas Saham 0.0039 0.0052 -0.0013 0.0608 0.0964 -0.0135 42


43 TRIM Kapital 0.0171 0.0052 0.0119 0.0613 0.0840 0.1416 5


APPENDIX 5

Testing Hypotesis

Result of Normality Data of Equity funds Return with Benchmark Return

Test Statisticsa

Return


Absolute ,841

Positive ,841

Negative -,159




Result of Normality Data of Measurement Performances by Six Indicators

Test Statisticsa

Return


Absolute ,432

Positive ,045

Negative -,432



a. Grouping Variable: model

Result of Mann-Whitney Test

Test Statisticsa

Return

Mann-Whitney U 308,000

Wilcoxon W 1298,000

Z -5,888



Result of Kruskall Wallis Test

Ranks

Methods N Mean Rank

Return

Sharpe 44 190,82

Treynor 44 33,78

Jensen 44 93,44

Modigliani 44 97,90

Sortino 44 210,07

EROV 44 168,99

Total 264

Test Statisticsa,b

performance

Chi-Square 189,305

Df 5

Asymp. Sig. ,000

a. Kruskal Wallis Test

b. Grouping Variable: metode

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