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

LAMPIRAN 1

LAMPIRAN I

Daftar Manajer Investasi Reksa Dana Saham yang Menjadi Sampel
Penelitian:
No
1
2
3
4
5
6
7
8
9
10
11
12
13

Kode Reksa Dana
000D1B
0086918
0083089
0086769
BAM SAH
RDEP
RDMW
0098566
0083139
0092882
0085209
0091033

Manajer Investasi
PT BNI Asset
Management
PT BNP Paribas
Investment Partners
PT BNP Paribas

Investment Partners
PT Batavia Prosperindo
Aset Manajemen
PT Batavia Prosperindo
Aset Manajemen
PT Bahana TCW
Investment Management
PT Danareksa Investment
Management
PT First State Investment
Indonesia
PT Mandiri Manajemen
Investasi
PT Manulife Aset
Manajemen Indonesia
PT Maybank GMT Asset
Management
PT Panin Asset
Management

SIEF

PT Schroder Investment

14
15

000D80

PT Sinarmas Asset

0085290

PT Syailendra Capital

16
17

035600246432
000D2B

PT Trimegah Asset
PT Trimegah Asset

Nama Reksa Dana
BNI Reksa Dana
Berkembang
BNP Paribas Inspira
BNP Paribas Star
Batavia Dana Saham
Optimal
Batavia Dana Saham
Reksa Dana Ekuitas
Prima
Danareksa Mawar
First State Indoequity
Sectoral Fund
Mandiri Investa Equitas
Danamis
Manulife Dana Saham

Maybank GMT Dana
Ekuitas
Panin Dana Maksima
Schoroder Indo Equity
Fund
Simas Danamas Saham
Syailendra Equity
Oppurtunity Fund
Tram Consumption Plus
TRIM Capital

76
Universitas Sumatera Utara

LAMPIRAN 1
LAMPIRAN II
Daftar Manajer Investasi Reksa Dana Campuran yang Menjadi Sampel
Penelitian:
No
1

2
3
4
5
6
7
8
9
10
11
12
13
14
15

Kode Reksa Dana
610513
0081406
RBQU
BNIADT

0089763
0081331
000D8F
0098301
0083378
0356000022435
0086389
0087577
0081349
RDAF

Manajer Investasi
PT Batavia Prosperindo
Aset Manajemen
PT Batavia Prosperindo
Aset Manajemen
PT Bahana TCW
Investment Management
PT BNI Asset Management
PT BNP Paribas Investment

Partners
PT BNP Paribas Investment
Partners
PT Danareksa Investment
Management
PT Mandiri Manajemen
Investasi
PT Manulife Aset
Manajemen Indonesia
PT Manulife Aset
Manajemen Indonesia
PT Maybank GMT Asset
Management
PT Maybank GMT Asset
Management
PT Panin Asset
Management
PT Danareksa Investment
Management

0094235

PT Schroder Investment

16
17

000D8S

PT Sinarmas Asset

0082412

PT Syailendra Capital

18

0086777

PT Trimegah Asset

Nama Reksa Dana
Batavia Prima
Campuran
Batavia Prima
Ekspektasi
Bahana Quant Strategy
BNI AM Dana
Terencana
BNP Paribas Equitra
BNP Paribas Dana
Invest
Danamas Pasti
Mandiri Investa Aktif
Manulife Dana
Campuran
Manulife Dana Stabil
Berimbang
Maybank GMT Dana
Fleksi

Maybank GMT Dana
Unggulan
Panin Dana Bersama
Reksa Dana Anggrek
Fleksibel
Schoreder Dana
Terpadu II
Simas Satu Prima
Syailendra Balanced
Oppurtunity
TRIM Kombinasi 2

77
Universitas Sumatera Utara

LAMPIRAN III
Data Nilai Aktiva Bersih (NAB)/Unit yang digunakan sebagai variabel return
portofolio dalam penelitian
NAB 2013
KODE REKSA DANA
BULAN
00D1B

0086918

0083089

BAM SAH

RDEP

JAN

2.400,80

1.135,04

1.304,98

42.333,01

4.001,52

FEB

2.582,05

1.225,24

1.419,12

46.012,21

4.309,25

MAR

2.628,86

1.265,98

1.456,55

47.466,87

4.491,98

APR

2.648,74

1.294,16

1.468,88

49.945,85

4.624,55

MEI

2.791,43

1.302,65

1.493,83

51.473,13

4.833,38

JUN

2.477,50

1.222,15

1.411,35

47.693,76

4.392,97

JUL

2.273,21

1.164,33

1.326,04

46.087,15

4.109,29

AGT

1.987,51

1.053,54

1.207,26

42.493,67

3.672,40

SEP

2.033,26

1.071,85

1.208,94

42.917,09

3.763,95

OKT

2.109,63

1.128,55

1.268,31

44.707,78

3.949,60

NOV

1.945,67

1.057,39

1.181,06

42.280,78

3.632,80

DES

1.931,80

1.057,67

1.175,73

42.773,75

3.605,79

KODE REKSA DANA
BULAN
0083139

0092882

0085209

0091033

SIEF

JAN

1.335,67

10.403,21

3.031,61

61.191,019

1.684,09

FEB

1.416,49

11.156,15

3.255,06

67.124,724

1.829,19

MAR

1.526,25

11.465,98

3.359,44

71.163,646

1.907,37

APR

1.518,23

11.735,99

3.436,83

73.985,547

1.969,12

MEI

1.655,78

11.955,53

3.590,67

76.961,918

2.044,72

JUN

1.471,97

11.298,61

3.301,61

71.632,162

1.889,27

JUL

1.318,45

10.743,61

3.086,45

65.814,933

1.822,82

AGT

1.148,66

9.889,60

2.847,28

57.186,275

1.649,39

SEP

1.173,43

9.939,01

2.927,00

61.692,246

1.669,60

OKT

1.225,31

10.419,58

3.063,11

64.472,024

1.747,35

NOV

1.147,65

9.792,60

2.880,65

58.271,101

1.661,25

DES

1.128,02

9.733,27

2.848,58

58.283,436

1.658,55

78
Universitas Sumatera Utara

KODE REKSA DANA
BULAN
0086769

RDMW

0098566

000D8O

0085290

JAN

2111,38

151.415.740.326,66

4.813,31

1.455,81

3.389,77

FEB

2297,06

129.485.656.413,55

5.163,60

1.592,40

3.592,87

MAR

2398,39

129.401.066.561,71

5.303,53

1.712,29

3.799,61

APR

2493,35

133.127.398.746,10

5.441,22

1.751,54

3.783,18

MEI

2583,38

132.939.370.035,04

5.388,56

1.851,15

3.838,79

JUN

2410,21

126.921.282.858,24

5.190,88

1.649,75

3.583,55

JUL

2324,34

123.897.996.240,39

4.914,61

1.548,32

3.395,79

AGT

2102,66

113.825.355.897,98

4.479,39

1.370,18

2.936,16

SEP

2148,42

115.766.021.189,05

4.591,96

1.403,19

3.064,85

OKT

2262,37

120.916.655.142,87

4.812,65

1.470,20

3.173,86

NOV

2130,41

111.939.104.776,57

4.502,96

1.383,46

2.947,50

DES

2144,72

111.961.852.962,91

4.489,11

1.363,86

2.964,29

KODE REKSA DANA
BULAN
035600246432

TRIM Capital

JAN

1.298,74

8.094,28

FEB

1.374,52

8.580,81

MAR

1.399,54

8.900,19

APR

1.403,63

8.854,13

MEI

1.428,00

8.961,88

JUN

1.345,51

8.349,84

JUL

1.263,25

7.996,92

AGT

1.120,83

7.112,18

SEP

1.150,22

7.246,47

OKT

1.197,43

7.582,98

NOV

1.128,65

7.103,65

DES

1.138,97

7.134,34

79
Universitas Sumatera Utara

NAB 2014
KODE REKSA DANA
BULAN
00D1B

0086918

0083089

BAM SAH

RDEP

JAN

2.039,80

1.108,35

1.202,66

44.635,86

3.839,87

FEB

2.150,21

1.167,53

1.264,09

47.149,92

4.098,16

MAR

2.211,78

1.203,66

1.301,66

49.150,00

4.269,27

APR

2.252,49

1.231,42

1.326,48

49.560,76

4.315,67

MEI

2.276,99

1.247,68

1.339,21

49.152,41

4.371,59

JUN

2.271,47

1.247,79

1.329,85

48.513,17

4.289,27

JUL

2.370,26

1.321,09

1.389,10

51.679,79

4.546,57

AGT

2.383,55

1.320,59

1.393,64

52.234,18

4.626,53

SEP

2.385,56

1.327,09

1.381,65

52.139,51

4.486,19

OKT

2.370,46

1.321,61

1.363,33

52.170,33

4.559,33

NOV

2.448,39

1.349,95

1.397,08

53.312,44

4.667,16

DES

2.468,63

1.368,23

1.423,81

54.091,09

4.724,79

KODE REKSA DANA
BULAN
0083139

0092882

0085209

0091033

SIEF

JAN

1.153,08

10.055,42

2.915,65

61.339,85

1.748,89

FEB

1.254,78

10.614,15

3.101,78

66.109,47

1.843,75

MAR

1.311,80

11.031,67

3.244,76

67.971,91

1.919,24

APR

1.343,39

11.236,50

3.263,42

68.235,06

1.940,47

MEI

1.373,11

11.372,34

3.307,51

67.435,26

1.955,26

JUN

1.325,25

11.256,77

3.285,24

66.315,08

1.956,10

JUL

1.393,35

11.773,25

3.420,29

70.258,52

2.067,60

AGT

1.424,17

11.834,66

3.421,86

71.186,96

2.081,66

SEP

1.360,28

11.765,20

3.341,38

69.993,71

2.044,30

OKT

1.371,34

11.692,23

3.323,40

70.477,08

2.048,78

NOV

1.426,65

11.965,57

3.389,79

73.319,60

2.084,40

DES

1.437,19

12.086,54

3.366,88

73.705,76

2.156,78

80
Universitas Sumatera Utara

KODE REKSA DANA
BULAN
0086769

RDMW

0098566

000D8O

0085290

JAN

2.239,94

111.597.505.310,02

4.745,46

1.429,89

3.081,03

FEB

2.368,76

115.972.595.280,98

4.974,76

1.509,84

3.300,48

MAR

2.464,16

117.557.317.391,44

5.124,00

1.582,52

3.414,04

APR

2.482,73

118.512.865.467,02

5.176,15

1.600,32

3.420,00

MEI

2.479,87

118.821.307.748,65

5.220,15

1.609,48

3.381,07

JUN

2.431,16

118.424.414.151,64

5.179,88

1.583,53

3.336,96

JUL

2.625,93

122.079.197.654,64

5.476,91

1.669,20

3.500,01

AGT

2.664,94

129.509.173.453,23

5.508,60

1.705,43

3.464,46

SEP

2.651,03

109.079.647.354,59

5.483,96

1.694,02

3.350,88

OKT

2.640,51

109.115.463.402,01

5.450,74

1.707,11

3.352,71

NOV

2.698,64

115.191.512.375,74

5.567,86

1.739,05

3.420,55

DES

2.739,48

115.035.331.590,70

5.621,20

1.783,34

KODE REKSA DANA
BULAN
035600246432

TRIM Capital

JAN

1.298,74

8.094,28

FEB

1.374,52

8.580,81

MAR

1.399,54

8.900,19

APR

1.403,63

8.854,13

MEI

1.428,00

8.961,88

JUN

1.345,51

8.349,84

JUL

1.263,25

7.996,92

AGT

1.120,83

7.112,18

SEP

1.150,22

7.246,47

OKT

1.197,43

7.582,98

NOV

1.128,65

7.103,65

DES

1.138,97

7.134,34

81
Universitas Sumatera Utara

NAB/Unit Reksa Dana Campuran Tahun 2013
KODE REKSA DANA
BULAN
0081331

610513

0081406

000D8F

0098301

JAN

2.846,72

1.164,43

3.164,64

2.573,00

3.041,26

FEB

3.005,68

1.239,50

3.405,49

2.590,49

3.258,21

MAR

3.075,51

1.274,90

3.685,80

2.595,38

3.364,29

APR

3.140,01

1.330,65

3.663,74

2.612,81

3.372,72

MEI

3.125,54

1.367,31

3.745,97

2.617,35

3.441,34

JUN

2.986,84

1.265,49

3.640,87

2.578,28

3.267,12

JUL

2.856,32

1.230,17

3.520,25

2.589,64

3.145,88

AGT

2.638,65

1.148,98

3.135,95

2.586,78

2.926,08

SEP

2.681,27

1.166,28

3.438,29

2.598,19

2.914,52

OKT

2.819,26

1.206,27

3.325,57

2.657,22

3.026,79

NOV

2.660,12

1.150,61

3.133,61

2.605,47

2.900,47

DES

2.656,39

1.162,68

3.139,25

2.581,28

2.922,08

KODE REKSA DANA
BULAN
0089763

035600022435

0086389

0087577

0081349

JAN

15.777,69

1.669,59

2.415,96

1.056,28

5.230,23

FEB

16.987,66

1.710,69

2.570,87

1.057,00

5.657,90

MAR

17.517,95

1.708,23

2.603,85

1.062,77

5.938,69

APR

17.857,15

1.733,28

2.622,43

1.068,92

6.209,36

MEI

17.926,20

1.716,62

2.704,65

1.081,85

6.513,04

JUN

16.868,13

1.601,21

2.532,06

1.045,65

6.102,49

JUL

16.049,05

1.530,09

2.397,51

1.037,47

5.661,83

AGT

14.454,11

1.477,14

2.296,84

1.028,75

4.982,60

SEP

14.705,43

1.472,35

2.361,26

1.041,49

5.216,49

OKT

15.448,84

1.565,80

2.441,20

1.069,10

5.444,90

NOV

14.453,69

1.460,63

2.363,58

1.041,95

4.967,88

DES

14.429,03

1.486,07

2.332,05

1.044,87

4.969,11

82
Universitas Sumatera Utara

KODE REKSA DANA
BULAN
0094235

0094649

0082412

0086777

BNIADT

JAN

2.667,44

5.768,32

2.068,37

1.771,87

1.078,95

FEB

2.817,04

6.256,82

2.171,96

1.889,31

1.132,40

MAR

2.871,69

6.464,76

2.270,25

1.907,32

1.162,01

APR

2.946,55

6.636,76

2.253,76

1.917,14

1.190,59

MEI

2.995,86

6.680,84

2.263,52

1.962,97

1.234,32

JUN

2.810,15

6.442,96

2.159,82

1.825,31

1.162,81

JUL

2.730,19

6.318,58

2.105,97

1.732,80

1.120,26

AGT

2.547,24

5.889,91

1.893,20

1.597,86

1.050,35

SEP

2.552,54

6.088,08

1.978,14

1.617,98

1.069,68

OKT

2.659,74

6.315,32

2.016,65

1.676,99

1.099,76

NOV

2.482,48

6.013,52

1.898,06

1.605,37

1.029,10

DES

2.496,98

5.911,54

1.914,98

1.606,75

1.024,92

KODE REKSA DANA
BULAN
RDAF

00D8S

RBQU

JAN

3.231,24

1.009,14

1.231,01

FEB

3.403,35

1.059,28

1.292,92

MAR

3.450,14

1.099,18

1.333,61

APR

3.544,68

1.135,75

1.381,29

MEI

3.580,23

1.196,56

1.527,81

JUN

3.377,58

1.118,80

1.354,04

JUL

3.250,26

1.082,35

1.244,72

AGT

2.977,25

1.021,46

1.077,58

SEP

2.988,65

1.048,84

1.120,78

OKT

3.133,17

1.109,88

1.170,84

NOV

2.923,39

1.063,18

1.050,79

DES

2.931,54

1.039,87

1.057,50

83
Universitas Sumatera Utara

NAB/Unit Reksa Dana Campuran Tahun 2014
KODE REKSA DANA
BULAN
0081331

610513

0081406

000D8F

0098301

JAN

2.706,40

1.204,92

3.157,76

2.592,67

2.965,81

FEB

2.759,93

1.262,15

3.179,91

2.538,49

3.065,62

MAR

2.807,14

1.302,77

3.279,09

2.558,43

3.157,55

APR

2.874,96

1.316,31

3.316,29

2.577,41

3.217,28

MEI

2.891,15

1.320,49

3.324,28

2.576,44

3.236,79

JUN

2.881,81

1.310,76

3.285,66

2.587,82

3.231,56

JUL

2.996,07

1.384,98

3.467,52

2.597,87

3.340,05

AGT

3.010,64

1.388,97

3.510,45

2.612,87

3.341,08

SEP

3.018,55

1.389,21

3.478,03

2.626,65

3.333,76

OKT

3.013,64

1.396,47

3.531,84

2.640,09

3.330,19

NOV

3.063,34

1.423,42

3.618,67

2.653,86

3.399,56

DES

3.096,99

1.432,39

3.707,77

2.621,97

3.464,99

KODE REKSA DANA
BULAN
0089763

035600022435

0086389

0087577

0081349

JAN

15.081,76

1.461,86

2.377,91

1.054,59

4.963,80

FEB

15.865,65

1.518,67

2.485,97

1.087,83

5.026,49

MAR

16.375,73

1.568,21

2.590,81

1.118,91

5.067,47

APR

16.709,39

1.580,24

2.603,96

1.133,28

5.063,34

MEI

16.911,43

1.587,90

2.634,72

1.140,30

5.089,81

JUN

16.872,74

1.567,58

2.617,56

1.140,90

5.031,15

JUL

17.746,27

1.597,95

2.689,32

1.164,26

5.355,16

AGT

17.783,45

1.609,08

2.712,88

1.174,92

5.429,99

SEP

17.723,98

1.598,30

2.692,23

1.175,80

5.355,93

OKT

17.671,65

1.637,11

2.653,28

1.176,27

5.424,81

NOV

18.088,65

1.671,17

2.678,49

1.190,69

5.594,50

DES

18.384,41

1.674,70

2.669,73

1.189,90

5.682,86

84
Universitas Sumatera Utara

KODE REKSA DANA
BULAN
0094235

0094649

0082412

0086777

BNIADT

JAN

2.555,93

6.056,43

1.982,65

1.630,53

1.065,48

FEB

2.666,16

6.263,99

2.089,24

1.714,52

1.103,81

MAR

2.741,53

6.433,18

2.153,41

1.794,38

1.117,06

APR

2.756,48

6.477,85

2.171,10

1.830,56

1.122,23

MEI

2.770,91

6.553,05

2.160,85

1.854,23

1.127,32

JUN

2.756,10

6.499,26

2.143,75

1.829,48

1.122,27

JUL

2.852,53

6.875,49

2.201,07

1.909,15

1.138,20

AGT

2.856,79

6.991,30

2.188,72

1.933,55

1.147,00

SEP

2.808,62

6.840,33

2.125,28

1.880,83

1.148,36

OKT

2.861,15

6.967,87

2.123,56

1.926,69

1.149,64

NOV

2.945,66

7.190,49

2.164,03

2.008,89

1.170,78

DES

3.004,71

7.376,41

2.213,97

2.068,92

1.171,04

KODE REKSA DANA
BULAN
RDAF

00D8S

RBQU

JAN

2.993,06

1.070,04

1.064,61

FEB

3.096,94

1.127,46

1.112,63

MAR

3.172,04

1.158,48

1.161,80

APR

3.226,44

1.168,41

1.164,62

MEI

3.252,83

1.179,89

1.169,96

JUN

3.216,81

1.178,98

1.152,63

JUL

3.336,06

1.215,92

1.205,03

AGT

3.342,27

1.223,14

1.211,28

SEP

3.330,77

1.222,26

1.196,58

OKT

3.332,28

1.232,67

1.209,34

NOV

3.385,11

1.232,33

1.237,15

DES

3.416,19

1.237,69

1.250,08

85
Universitas Sumatera Utara

LAMPIRAN IV
Data Indeks Harga Saham Gabungan (IHSG) yang digunakan sebagai variabel
return pasar dalam penelitian adalah:

TAHUN
JAN
FEB
MAR
APR
MEI
JUN
JUL
AGT
SEP
OKT
NOV
DES

Data IHSG Tahun 2013-2014
2013
4.453,70
4.795,79
4.940,99
5.034,07
5.068,63
4.818,90
4.610,38
4.195,09
4.316,18
4.510,63
4.256,44
4.274,76

2014
4.418,76
4.620,22
4.768,28
4.840,15
4.893,91
4.878,58
5.088,80
5.136,86
5.137,58
5.089,55
5.149,89
5.166,98

86
Universitas Sumatera Utara

LAMPIRAN V
Data suku bunga Sertifikat Bank Indonesia (SBI) yang digunakan sebagai variabel
return free dalam penelitian adalah:
Data SBI dari Tahun 2013-2014
TAHUN
2013
2014
JAN
4.84021%
7.23217%
FEB
4.86119%
7.17434%
MAR
4.86950%
7.12591%
APR
4.89075%
7.13529%
MEI
5.02275%
7.14912%
JUN
5.27558%
7.13715%
JUL
5.52051%
7.09418%
AGT
5.85743%
6.97263%
SEP
6.95555%
6.88248%
OKT
6.96715%
6.84809%
NOV
7.22435%
6.86651%
DES
7.21695%
6.90129%

87
Universitas Sumatera Utara

LAMPIRAN VI
Hasil Uji Hipotesis
1. Paired Sample Test Indeks Sharpe

Paired Samples Test
Paired Differences
95% Confidence Interval of the
Difference

Std. Error
Mean
Pair 1

SharpeSaham –

2,0723706

Std. Deviation
1,2308526

Mean

Lower

Upper

t

df

,2985256

1,4395246

2,7052166

6,942

Sig. (2-tailed)
16

,000

SharpeCampuran

2. Paired Sample Test Indeks Sharpe
Paired Samples Test
Paired Differences
95% Confidence Interval of the
Std. Error
Mean
Pair 1

TreynorSaham –

,0166294

Std. Deviation
,3309185

Mean
,0802595

Difference
Lower
-,1535132

Upper
,1867720

t

df
,207

Sig. (2-tailed)
16

,838

TreynorCampuran

88
Universitas Sumatera Utara

3. Paired Sample Test Indeks Jensen
Paired Samples Test
Paired Differences
95% Confidence Interval of the
Std. Error
Mean
Pair 1

JensenSaham –

,0228059

Std. Deviation
,0373560

Mean
,0090602

Difference
Lower
,0035992

Upper
,0420126

t

df
2,517

Sig. (2-tailed)
16

,023

JensenCampuran

89
Universitas Sumatera Utara

90
Universitas Sumatera Utara