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

  LAMPIRAN I

Daftar Reksa Dana Saham yang Menjadi Populasi Penelitian:

No Manajer Investasi Nama Reksa Dana Kode

D0AS

  Bowsprit

  00822

  14

  10 PT Bahana TCW Investment Management Reksa Dana Ekuitas

  Prima RDEP √ √ √ Sampel

  11 PT Batasa Capital Big Dana Syariah

Terproteksi

BIGD ST

  12 PT Batavia Prosperindo Aset Manajemen Batavia Dana Saham

  Optimal 00867 69 √ √ √ Sampel

  13 PT Bowsprit Asset Management

Reksa Dana

Penyertaan Terbatas

  00D87 A

  000DI B √ √ √ Sampel

  14 PT CIMB Principal Asset Management CIMB-Principal Equity Aggressive

  00995

  56 √ √ √ Sampel

  15 PT Ciptadana Asset Management Rencana Cerdas 00910

  17 √ √ √ Sampel

  04 √ √ √ Sampel

  17 PT Dana Nusa Indonesia Reksa Dana Brent Blue Chip Flexi

  BRBF

  9 PT BNP Paribas Investment Partners BNP Paribas Maxi Saham

  8 PT BNI Asset Management BNI Reksa Dana Berkembang

  Reksa Dana Kriteria Penentuan Sampel Sampel

  3 PT AXA Asset Management Indonesia Reksa Dana AXA

Citradinamis

  1

  2

  3

  1 AAA Asset Management AAA Blue Chip Value Fund 2

  61170

  2

  2 PT AMCI Manajemen Investasi Indonesia Amobligasi Jibor 1

Year Plus

  AMC

  01

  BIIDI NA √ √ √ Sampel

  83

  4 PT Aberdeen Asset Management Reksa Dana NISP Indeks Saham

  Progresif CPF2

  5 PT Archipelago Asset Management Archipelago Equity Growth

  00846

  99

  6 PT Ashmore Asset Management Ashmore Dana Ekuitas Nusantara

  01

  7 PT Avrist Asset Management Avrist Equity–Cross Sectoral

  00877

16 PT Corfina Capital Grow-2-Prosper 00865

  Lanjutan Daftar Reksa Dana Saham yang Menjadi Populasi Penelitian:

  18 PT Danareksa Danareksa Mawar RDM Investment W Management

  19 PT Danatama Makmur Danareksa Seruni RDSN

  20 PT Dhanawibawa RDPT Dhanawibawa RDPT Manajemen Investasi Eksklusif 1

  21 PT Eastspring Reksa Dana ESIFI Investment Indonesia Eastspring Investment F Value

  22 PT Emco Asset Reksa Dana Makinta

  00D68 √ √ √ Sampel Management Growth Fund B

  23 PT Equator Investment Equator Alpha 00873

  95

  24 PT Equity Securities Reksa Dana Prima 00928 Indonesia

  41

  25 PT Eurocapital Reksa Dana V plus RVPI Peregrine Securities

  26 PT First State Reksa Dana First FIPF √ √ √ Sampel Investment Indonesia State Indoequity Peka Fund

  27 PT GAP Capital GAP Equity Fund 00851

  26

  28 PT Henan Putihrai Reksa Dana HPAM HPA Asset Management Saham Dinamis MD

  29 PT Indo Premier Premier Ekuitas 00882 Investment Makro Plus

  45 Management

  30 PT Indoasia Aset

  I Am Equity Fund

  IND0 Manajemen

  2IA

  31 PT Indosurya Asset Reksa Dana Indosurya R099 Management Balance Fund

  32 PT Insight Asset Reksa Dana Guru 00866 Management

  52

  33 PT Intru Nusantara Garuda Satu GARS AT

  34 PT Jisawi Finas Jisawi Profresif 61200

  3

  35 PT Kharisma Asset Kharisma Flexi 71080 Management Terbatas

  1

  36 PT Kiwoom Kiwoom Indonesia 61210 Investment Optimum Fund

  1 Management Indonesia

  37 PT Kresna Asset Mrs Cash Kresna MRS Management CK

  38 PT Lautandhana Reksa Dana

  00D54 √ √ √ Sampel Investment Lautandhana Equity N

  

Lanjutan Daftar Reksa Dana Saham yang Menjadi

Populasi Penelitian:

Management Progressive

  39 PT Lippo Securities Reksa Dana Lippo RDLD Tbk Dana Prima P

  40 PT MNC Asset Reksa Dana MNC BIG- √ √ √ Sampel Management Dana Ekuitas EQ

  41 PT Mandiri Mandiri Investa UGM 00833 √ √ √ Sampel Manajemen Investasi

  03

  

42 PT Manulife Aset Manulife Dana Saham 00928 √ √ √ Sampel

Manajemen Indonesia

  82

  

43 PT Maybank GMT Maybank GMT Dana 00852 √ √ √ Sampel

Asset Management Ekuitas

  09

  44 PT Mega Asset Mega Asset Maxima

  0D10 Management AQ

  45 PT Mega Capital RDPT Mega Saham

  0D10 Investama Maxima AI

  46 PT Millenium Reksa Dana

  00D61 √ √ √ Sampel Danatama Indonesia Millenium Equity B

  47 PT Minna Padi Aset Minna Padi Keraton II 61190 Manajemen

  1

  48 PT Narada Kapital Narada Saham 00877 Indonesia Indonesia

  68

  49 PT Net Assets Net Dana Flexi NETF Management LEXI M

  50 PT Nikko Securities Nikko Indonesia RB00 Indonesia Equity Fund

  11ND EQSH

  51 PT OSO Manajemen OSO Sustainability OSUS Investasi Fund

  52 PT Optima Investama Optima Pasar Uang

  00D32 B

  53 PT PG Asset Reksa Dana PG

  00D31 Management Sejahtera B

  54 PT PNM Investment PNM Saham Agresif 00849 Management

  62

  55 PT Pacific Capital Reksa Dana Pacific 00849 Investment Equity Fund

  62

  56 PT NISP Asset Reksa Dana NISP NISP √ √ √ Sampel Management Indeks Saham Progresif

  

57 PT Panin Asset Panin Dana Prima GR00 √ √ √ Sampel

Management

  2PR

  

58 PT Panin Asset Panin Dana Maxima 00910 √ √ √ Sampel

Management

  33

  59 PT Paramitra Alfa Reksa Dana Paramitra

  00D18 Sekuritas Platinum A

  

Lanjutan Daftar Reksa Dana Saham yang Menjadi

Populasi Penelitian:

  60 PT Pavillion Capital Reksa Dana Pavillion

  00D40 Dana Anugrah A

  61 PT Phillip Asset Reksa Dana Phillip

  00D66 Rupiah A

  

62 PT Pratama Capital Pratama Saham 00994 √ √ √ Sampel

  24

  63 PT Prospera Asset Prospera Bijak 00843

  43

  64 PT Quant Kapital Reksa Dana Quant RDQI Investa S

  65 PT RHB OSK Asset RHB OSK Alpha RHB Sector ASR

  66 PT Recapital Asset Reksa Dana RECA Terproteksi PIT

  67 PT Reliance Asset Reksa Dana Reliance RELI AN

  68 PT Samuel Aset SAM Indonesian 00846 Equity

  65

  69 PT Schroder Reksa Dana Schroder SIEF √ √ √ Sampel Investment Indo

  70 PT Semesta Aset Semesta Dana Saham 00885

  34

  71 PT Signature Capital Synergy Capital 00851

  67

  72 PT Sinarmas Asset Reksa Dana Simas 000D8

  73 PT Sucorinvest Asset Sucorinvest Equity 008D5 Management Fund

  7

  74 PT Surya Timur Alam Reksa Dana Star 008D6 Balanced

  75 PT Syailendra Capital Syailendra Equity 00824 √ √ √ Sampel

  12

  76 PT Treasure Fund TF Super Maxxi 62210

  1

  

77 PT Trimegah Asset TRIM Kapital 000D2 √ √ √ Sampel

B

  78 PT Valbury Capital Reksa Dana Valbury

  VALB UR

  LAMPIRAN II Sampel Reksa Dana Saham: No Kode Reksa Dana Manajer Investasi Nama Reksa Dana

  Progresive

  20 SIEF PT Schroder Investment Management Indonesia Reksa Dana Schroder Indo

  19 0099424 PT Pratama Capital Assets Management Pratama Saham

  18 0091033 PT Panin Asset Management Panin Dana Maksima

  17 GR002PRIMASH PT Panin Asset Management Panin Dana Prima

  Progresif

  16 NISP PT NISP Asset Management Reksa Dana NISP Indeks Saham

  00D61B PT Millenium Danatama Indonesia Reksa Dana Millenium Equity

  15

  14 0085209 PT Maybank GMT Asset Management Maybank GMT Dana Ekuitas

  13 0092882 PT Manulife Aset Manajemen Indonesia Manulife Dana Saham

  12 0083303 PT Mandiri Manajemen Innvestasi Mandiri Investa UGM

  11 BIG-EQ PT MNC Asset Management Reksa Dana MNC Dana Ekuitas

  00D54N PT Lautandhana Investment Management Reksa Dana Lautandhana Equity

  1 BIIDINA PT AXA Asset Management Indonesia Reksa Dana AXA Citradinamis

  10

  Indoequity Peka Fund

  9 FIPF PT First State Investments Indonesia Reksa Dana First State

  Fund

  00D68B PT Emco Asset Management Reksa Dana Makinta Growth

  8

  Rencana Cerdas 7 0086504 PT Corfina Capital Grow-2-Prosper

  Aggressive 6 0091017 PT Ciptadana Asset Management

  5 0099556 PT CIMB Principal Asset Management CIMB-Principal Equity

  4 0086769 PT Batavia Prosperindo Aset Mnj Batavia Dana Saham

  3 RDEP PT Bahana TCW Investment Management Reksa Dana Dana Ekuitas Prima

  2 000D1B PT BNI Asset Management BNI Reksa dana Berkembang

  Equity Fund

  21 0082412 PT Syailendra Capital Syailendra Equity Opportunity Fund 22 000D2B

  PT Trimegah Asset Management TRIM Kapital

  Lanjutan Sampel Reksa Dana Saham

LAMPIRAN III

  

Data Nilai Aktiva Bersih (NAB) yang digunakan sebagai variabel return portofolio

dalam penelitian:

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

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

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

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

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

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

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

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

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

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

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

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

  

NAB 2012

BULAN KODE REKSA DANA SAHAM BIIDINA 000D1B RDEP 0086769 0099556

  

Lanjutan Data NAB 2012

KODE REKSA DANA SAHAM 0091017 0086504

  BULAN

  00D68B FIPF

  00D54N

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

  FEB 106,728,679,745 40,385,566,206 18,378,013,060 149,920,588,040 72,598,045,839 MAR 108,265,585,578 40,582,609,237 22,086,850,790 154,453,881,445 81,344,493,358

  APR 109,075,069,637 38,920,713,357 38,753,747,934 260,425,296,195 82,745,671,204 MEI 98,495,695,627 34,344,690,495 25,809,752,567 377,335,516,967 76,854,952,369 JUN 101,133,481,234 35,426,198,381 27,199,519,812 517,412,132,232 78,907,325,180 JUL 106,613,144,039 37,267,460,529 28,554,949,533 517,849,798,180 82,862,009,932

  AGT 98,290,495,485 30,895,749,476 27,692,375,089 502,067,749,475 80,290,978,903 SEP 104,158,225,478 31,703,541,288 29,002,306,235 552,799,330,751 84,097,726,406

  OKT 103,526,181,938 26,364,591,982 31,643,819,766 637,185,351,871 85,613,050,343 NOV 100,499,341,546 26,781,827,035 30,597,577,448 865,259,456,935 86,129,072,974

  DES 100,642,051,404 25,128,335,644 32,397,951,279 979,914,002,298 84,432,439,377

  

Lanjutan Data NAB 2012:

BULAN KODE REKSA DANA SAHAM BIG-EQ 0083303 0092882 0085209

  00D61B

  JAN 209,708,058,078 108,369,304,991 3,071,828,863,458 76,492,534,322 28,637,403,807 FEB 193,862,892,685 106,400,204,201 3,085,455,658,259 77,383,514,380 28,634,314,521

  MAR 350,458,151,963 106,259,277,586 3,134,184,197,133 75,750,002,435 28,132,439,749 APR 462,760,983,494 102,440,640,921 3,122,536,566,715 77,312,084,888 27,988,182,412

  MEI 442,691,395,052 89,357,307,324 2,882,344,340,798 73,183,895,058 25,908,311,987 JUN 467,278,850,225 93,654,360,624 2,972,351,702,236 84,853,882,852 26,451,206,963

  JUL 549,887,323,410 96,824,204,548 3,090,290,547,424 81,185,373,777 27,867,767,171 AGT 543,981,081,625 92,722,556,859 2,986,885,547,570 76,560,349,759 25,561,463,857

  SEP 701,816,831,652 80,794,975,522 3,102,216,897,702 83,521,183,908 26,573,074,929 OKT 983,165,035,685 79,120,772,458 3,174,337,259,517 82,338,814,830 27,043,989,780

  NOV 926,559,120,862 77,683,458,832 3,188,466,285,545 80,475,169,455 73,643,530,628 DES 950,651,751,433 63,007,174,816 3,186,558,735,610 74,301,231,588 114,386,450,033

  

Lanjutan Data NAB 2012:

BULAN KODE REKSA DANA SAHAM NISP GR002PRIMASH 0091033 0099424 SIEF

  JAN 97,244,937,918 881,631,999,197 4,785,944,170,792 551,025,322,940 619,844,017,574 FEB 82,453,987,603 908,573,059,525 4,837,463,751,321 583,670,935,781 575,745,363,389

  MAR 72,688,182,080 911,625,307,775 4,726,177,059,510 537,337,541,508 491,672,995,532 APR 64,298,559,528 953,189,204,575 4,640,803,366,278 536,772,158,008 489,150,911,259

  MEI 59,295,160,282 1,263,022,981,537 4,596,189,123,984 530,812,129,741 443,255,807,060 JUN 61,544,685,932 1,315,817,447,415 4,965,662,536,491 523,120,647,873 460,407,487,486

  JUL 61,578,384,410 1,342,262,280,368 5,215,370,790,255 499,947,853,603 483,389,035,759 AGT 58,855,999,479 1,345,648,711,332 5,077,930,918,289 470,856,982,368 462,126,384,487

  SEP 58,772,931,508 1,395,165,341,419 5,115,979,829,501 489,239,364,496 476,864,215,372 OKT 53,746,427,972 1,164,808,691,627 4,620,569,176,386 477,849,668,754 485,209,269,118 NOV 53,171,494,766 1,128,096,304,029 4,636,103,548,407 456,745,572,564 485,685,540,483

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

BULAN KODE REKSA DANA SAHAM 0082412 000D2B

  JAN 124,682,984,642 455,565,730,397 FEB 137,110,395,559 409,603,645,911

  MAR 132,830,539,123 419,810,266,662 APR 146,210,696,229 455,358,973,346 MEI 237,704,261,649 418,454,198,094 JUN 272,474,236,840 426,463,173,687

  JUL 308,878,241,230 439,357,923,089 AGT 289,180,725,175 399,525,615,965

  SEP 365,677,799,901 404,112,954,267 OKT 371,119,631,793 446,229,179,393 NOV 458,246,022,229 427,491,573,386

  DES 482,214,987,986 519,799,664,348

  

NAB 2013

KODE REKSA DANA SAHAM BUL AN BIIDINA 000D1B RDEP 0086769 0099556

  JAN 92,312,249,124 39,880,992,717 560,083,347,910 226,784,837,211 43,371,463,963 FEB 100,609,146,910 39,458,011,083 381,798,435,832 247,604,038,792 48,300,917,403

  MAR 138,968,999,104 40,143,396,111 580,277,974,565 275,230,349,020 49,262,473,831 APR 144,985,220,970 81,249,553,696 682,510,837,198 363,910,449,091 54,130,075,336 MEI 148,479,977,778 85,897,575,823 786,367,047,328 350,215,854,699 59,476,073,310 JUN 147,719,454,936 76,454,172,311 906,386,014,576 394,205,096,032 56,261,622,165

  JUL 142,569,461,223 44,313,880,554 870,493,999,079 390,222,442,768 47,946,046,491 AGT 129,742,756,859 38,838,627,340 778,744,823,830 352,799,595,868 41,899,409,470

  SEP 132,972,908,144 39,731,984,834 824,935,615,551 362,244,099,054 43,097,663,000 OKT 169,275,637,511 41,267,253,544 936,696,702,012 384,125,561,307 45,018,752,930 NOV 158,613,531,967 38,074,133,006 862,159,896,339 365,666,440,917 41,190,217,664

  DES 159,181,704,588 37,747,787,842 856,270,675,817 415,598,998,127 43,484,967,076

KODE REKSA DANA SAHAM

  00D54N BULAN 0091017 0086504

  00D68B FIPF

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

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

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

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

  MEI 86,646,717,564 162,255,466,812 38,553,772,970 558,806,837,086 109,510,474,840 JUN 83,805,668,687 142,899,050,962 34,683,533,680 668,244,776,010 101,058,497,486

  JUL 75,892,873,302 138,943,040,636 33,101,659,552 666,313,539,036 95,749,978,447 AGT 68,995,091,620 136,317,988,449 29,450,451,515 623,477,119,706 85,973,086,972

  SEP 72,862,493,381 141,044,658,479 30,383,241,666 655,907,975,949 87,331,307,146 91,747,390,978

  OKT 76,346,255,793 151,761,299,321 32,046,363,957 717,159,629,977 86,002,363,926

  NOV 72,692,887,776 133,066,127,073 29,127,741,032 681,101,876,849 85,740,894,752

  DES 69,254,421,240 141,432,149,970 28,210,129,350 672,952,498,865

  

Lanjutan Data NAB 2013:

BULAN KODE REKSA DANA SAHAM BIG-EQ 0083303 0092882 0085209

  00D61B

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

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

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

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

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

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

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

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

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

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

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

  DES 779,422,752,316 79,263,131,743 2,464,039,731,881 73,578,175,861 249,576,395,957

  

Lanjutan Data NAB 2013:

BULAN KODE REKSA DANA SAHAM NISP GR002PRIMASH 0091033 0099424 SIEF

  JAN 55,342,972,392 943,930,058,973 4,468,061,967,831 460,453,802,688 505,990,375,154 FEB 46,677,595,231 1,090,046,037,203 4,698,034,030,671 339,365,894,138 549,587,790,297

  MAR 43,683,248,168 1,229,573,980,893 4,954,313,454,366 362,228,605,024 573,078,685,885 APR 41,106,861,371 1,230,942,658,596 5,446,541,684,779 393,633,023,944 591,629,717,638

  MEI 37,869,367,441 1,448,481,429,432 6,275,016,499,327 415,506,444,666 614,343,597,989 JUN 35,592,475,488 1,922,350,007,930 6,562,246,251,997 423,892,503,715 567,637,919,988

  JUL 32,308,362,479 1,746,429,401,736 6,278,982,828,808 404,557,172,210 547,673,505,270 AGT 29,402,777,941 1,603,283,420,516 5,553,855,350,792 360,296,622,267 495,566,914,736

  SEP 29,511,347,495 1,768,621,501,655 6,138,337,465,334 392,923,534,934 501,639,448,490 OKT 30,394,264,993 1,988,863,996,598 6,601,820,869,886 411,796,574,204 524,999,941,209

  NOV 28,752,597,606 2,039,972,709,734 6,121,334,745,641 380,655,261,605 499,128,946,188 DES 28,517,461,956 2,044,973,101,401 6,116,656,590,110 371,534,082,427 498,316,830,577

BULAN KODE REKSA DANA SAHAM 0082412 000D2B

  JAN 487,733,964,284 514,203,447,247 FEB 432,266,793,213 530,022,863,226

  MAR 543,233,766,877 547,434,593,965 APR 631,357,926,351 457,318,229,955 MEI 641,029,532,849 447,438,537,210 JUN 654,761,150,986 419,746,733,007

  JUL 687,010,852,676 403,037,685,104 AGT 664,232,989,922 365,308,793,779

  SEP 694,197,640,797 366,165,852,746 OKT 707,763,995,819 384,178,894,623 NOV 666,171,907,874 359,754,188,681

  DES 670,085,087,869 413,485,828,718

NAB 2014 KODE REKSA DANA BULAN

  0099556 BIIDINA 000D1B RDEP 0086769 166,401,087,718 39,845,834,727. 912,217,747,094. 431,765,325,931. 45,719,986,636.

  JAN .26

  57

  57

  10

  56 172,683,488,492 41,987,426,852. 940,546,201,968. 426,651,682,234. 51,629,831,609.2

  FEB .02

  38

  55

  87

  8 174,290,287,418 43,164,728,556. 827,240,709,791. 482,655,940,996. 69,174,576,930. MAR

  .52

  57

  56

  71

  53 165,765,802,416 43,975,651,437. 840,230,811,906. 520,090,218,744. 105,776,276,97

  APR .87

  85

  73

  98

  7.85 167,241,472,886 44,435,775,009. 844,913,485,529. 494,037,773,791. 133,193,627,12

  MEI .01

  23

  66

  89

  2.07 166,310,017,317 44,250,161,916. 781,769,352,863. 505,815,121,988. 131,053,120,18

  JUN .27

  20

  76

  17

  9.16 174,235,723,856 46,105,281,284. 287,773,797,828. 509,305,871,920. 127,019,359,76

  JUL .87

  79

  15

  05

  0.27 173,685,190,295 46,261,813,892. 248,130,436,236. 583,815,159,349. 125,462,115,41

  AGT .98

  79

  37

  37

  8.69 147,020,044,683 46,321,561,996. 311,212,238,592. 600,947,704,441. 94,667,648,601. SEP

  .18

  27

  31

  21

  55 147,928,354,153 45,974,580,055. 326,743,140,303. 655,321,326,228. 89,509,071,600. OKT

  .63

  60

  81

  38

  57 149,095,651,099 47,501,748,671. 322,316,821,429. 928,885,948,366. 78,704,463,563. NOV

  .24

  38

  14

  01

  76 152,219,369,254 47,848,163,361. 335,772,344,639. 995,033,965,973. 101,557,806,19

  DES .18

  89

  68

  35

  6.54 KODE REKSA DANA SAHAM

  BULAN 91017 0086504

  00D68B FIPF

  00D54N

  71,267,124,05 130,826,140,219. 28,989,892,657. 692,211,495,977. 90,445,867,208.6 JAN

  8.62

  08

  57

  43

  7 76,751,598,29 132,806,391,531. 30,734,005,201. 741,637,348,932. 96,070,302,516.3

  FEB

  6.50

  04

  77

  96

  1 78,677,249,46 132,321,405,553. 27,685,782,302. 867,968,891,594. 98,720,245,023.8

  MAR

  4.70

  94

  06

  47

  4 78,711,351,12 116,448,377,731. 28,988,642,364. 878,566,198,250. 101,934,288,721. APR

  9.97

  20

  40

  23

  39 80,650,062,13 106,123,375,504. 27,225,487,111. 818,602,300,730. 103,482,758,083. MEI

  0.98

  77

  34

  12

  77 80,630,888,14 104,898,517,618. 25,702,752,102. 825,415,173,372. 103,263,808,822. JUN

  9.58

  80

  36

  47

  68 84,401,592,35 104,109,534,520. 28,080,395,642. 715,218,044,092. 109,459,663,677. JUL

  1.76

  99

  10

  13

  99 81,676,957,95 93,105,649,027.0 26,105,734,698. 706,805,990,770. 109,926,123,491. AGT

  6.26

  8

  75

  16

  59 80,492,504,70 94,641,785,750.9 24,775,836,485. 777,054,426,763. 29,308,032,210.2

  SEP

  8.74

  9

  21

  57

  8 84,207,834,87 94,489,340,151.6 24,636,151,387. 817,851,525,494. 29,013,845,320.6

  OKT

  3.78

  7

  87

  58

  3 87,427,885,04 95,049,193,385.5 25,430,325,025. 875,336,460,621. 29,800,311,570.0

  NOV

  0.14

  6

  10

  47

  8 DES 95,018,651,6 89,934,027,405.2 26,652,767,901. 821,620,742,774. 30,230,490,398.5

  

Lanjutan Data NAB 2014:

KODE REKSA DANA SAHAM BULAN BIG-EQ 0083303 0092882 0085209

  00D61B 239,113,338,468.

  JAN 803,998,407,670.51 81,378,873,352.55 2,508,045,552,036.64 76,199,825,858.16

  11 245,117,434,123. FEB 840,366,636,109.87 85,915,804,154.16 2,571,296,138,817.14 82,117,054,545.38

  17 250,908,946,061. MAR 829,311,544,373.94 87,310,756,026.85 2,626,772,428,042.03 87,075,952,872.30

  11 250,835,907,888. APR 778,928,015,529.92 90,358,325,244.24 2,668,328,627,824.08 86,596,087,259.83

  37 262,278,838,823. MEI 712,012,170,132.78 90,439,955,997.08 2,636,990,625,124.83 87,067,076,872.54

  68 56,465,641,211.0 JUN 610,223,279,967.40 89,203,636,517.89 2,636,737,324,059.20 86,991,869,130.46

  6 227,693,508,837. JUL 603,128,656,684.53 90,663,624,549.98 2,622,907,676,856.79 84,121,692,370.59

  56 223,919,916,027. AGT 603,999,110,108.37 91,218,086,578.43 2,543,882,133,508.92 82,424,290,822.21

  19 232,669,568,431. SEP 587,410,027,596.08 90,543,498,728.28 2,501,734,845,274.05 79,763,872,996.64

  72 245,072,203,508. OKT 532,357,946,752.76 90,628,774,171.82 2,489,564,235,581.48 77,754,307,033.70

  83 241,725,158,063. NOV 492,648,287,995.97 93,793,605,285.97 2,479,313,061,667.97 73,127,194,651.21

  73 234,764,539,936. DES 421,189,270,600.79 421,575,805,482.11 2,460,487,746,382.48 68,919,357,049.22

  12 KODE REKSA DANA BULAN NISP GR002PRIMASH 0091033 0099424 SIEF 27,801,329,161.4 2,152,492,874,668.8 6,689,733,399,361.6 416,958,895,557.0 525,460,582,474.4 JAN

  2

  8

  8

  4

  6 28,448,885,406.1 2,366,968,787,745.5 7,111,661,328,639.2 523,404,997,521.5 553,963,037,073.2 FEB

  9

  7

  7

  1

  2 31,344,353,877.1 2,067,693,868,334.1 7,087,336,944,656.2 576,917,024,027.8 576,644,054,121.3 MAR

  5

  8

  6

  6 32,027,722,045.9 1,648,513,858,041.0 7,080,554,418,852.6 541,375,090,462.4 583,021,551,013.0 APR

  9

  6

  1

  8

  3 34,158,283,876.0 1,653,760,175,394.3 7,007,709,553,384.3 531,211,712,821.9 587,464,896,495.6 MEI

  8

  2

  6

  3 31,765,210,435.4 1,507,421,116,978.4 6,604,803,009,264.0 600,596,349,902.4 587,716,853,237.3 JUN

  1

  7

  5 27,879,255,768.0 1,455,980,282,830.3 6,591,537,827,619.9 597,129,952,252.8 621,217,886,120.8 JUL

  3

  9

  3

  4 26,729,218,973.9 1,441,164,708,974.8 6,624,179,647,374.6 642,093,079,651.1 563,631,666,346.1 AGT

  1

  8

  9

  6

  1 27,001,989,172.0 1,488,821,435,431.6 6,497,710,372,642.4 578,057,493,798.0 SEP

  63,321,908,136.30

  4

  6

  7 28,892,542,782.1 1,631,136,910,087.4 6,512,910,293,121.6 615,832,613,638.6 OKT

  63,460,558,065.26

  3

  8

  8

  4 29,867,728,912.3 1,704,840,806,571.9 5,893,037,159,494.4 635,780,927,654.1 674,314,691,901.5 NOV

  3

  2

  9

  3

  5 29,944,034,143.8 1,731,777,789,107.6 6,603,891,018,514.9 621,789,351,590.0 697,730,254,110.3 DES

  6

  3

  8

  5

  8

  Lanjutan Data NAB 2014: BULAN KODE REKSA DANA SAHAM 0082412 000D2B

  JAN 701,124,214,215.57 417,094,180,607.41 FEB 661,464,827,125.55 438,997,225,388.57

  MAR 634,047,200,041.74 449,687,180,830.07 APR 625,295,416,006.28 457,321,004,955.67 MEI 599,252,228,220.21 476,408,769,409.74 JUN 586,299,286,888.20 473,046,656,624.77

  JUL 555,679,721,845.73 388,506,662,625.57 AGT 552,650,838,388.38 406,942,693,937.77

  SEP 535,189,984,934.95 525,021,299,513.67 OKT 518,767,394,456.03 539,510,027,170.95 NOV 527,543,591,326.82 659,545,020,205.77

  DES 502,761,262,139.86 735,511,371,235.28

LAMPIRAN IV

  

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

pasar dalam penelitian adalah:

Data IHSG dari Tahun 2012-2014

TAHUN 2012 2013 2014

  

JAN 3,941.6930 4,453.7030 4,418.75684

FEB 3,985.2100 4,795.7890 4,620.21582

MAR 4,121.5510 4,940.9860 4,768.27686

APR 4,180.7320 5,034.0710 4,840.146

  

MEI 3,832.8240 5,068.6280 4,893.9082

JUN 3,955.5770 4,818.8950 4,878.58203

JUL 4,142.3370 4,610.3770 5,088.80176

AGT 4,060.3310 4,195.0890 5136.86279

SEP 4,262.5610 4,316.1760 5,137.5791

OKT 4,350.2910 4,510.6310 5,089.54688

  

NOV 4,276.1410 4,256.4360 5,149.88818

DES 4,316.6870 4,274.1770 5,226.94678

  LAMPIRAN V

Data Suku Bunga SBI yang digunakan sebagai variabel return free dalam penelitian

adalah:

  

Tingkat Suku Bunga SBI Tahun 2012-2014

TAHUN 2012 2013 2014

JAN 4.88325% 4.84021% 7.23217%

FEB 3.82290% 4.86119% 7.17434%

  

MAR 3.82637% 4.86950% 7.12591%

APR 3.92570% 4.89075% 7.13529%

MEI 4.23785% 5.02275% 7.14912%

JUN 4.32005% 5.27558% 7.13715%

  

JUL 4.45727% 5.52051% 7.09418%

AGT 4.54005% 5.85743% 6.97263%

SEP 4.67165% 6.95555% 6.88248%

OKT 4.74612% 6.96715% 6.84809%

  

NOV 4.77039% 7.22435% 6.86651%

DES 4.80274% 7.21695% 6.90129%