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MAJALAH USAHAWAN INDONESIA NO.9 TAHUN XXXVI (only Bahasa version)

Application of Sharpe, Treynor, Jensen, Information Ratio, and Dea Super Efficiency Methods to Measuring Performance of Equity Mutual Funds in Indonesia for Periods 2004-2005

 Effendy, R. Nugroho Purwantoro and Erwinta Siswadi

Abstract
Mutual funds products in Indonesia are growing as popular investment vehicle. The question, is mutual funds (portfolio) return after deducing all related costs still high enough to compensate investment risk? This paper try to measure Indonesian equity mutual funds performance by applying 5 different methods which are Sharpe, Treynor, Jensen, Information Ratio, and DEA (Data Envelopment Analysis) Super Efficiency. Methods like Sharpe, Treynor, Jensen, and Information Ratio are common for measuring mutual funds performance but DEA Super Efficiency is relatively new. Application of DEA Super Efficiency as mutual funds performance measurement is modified from research by Wilkens et al. Generally Indonesian equity mutual funds performance in 2004 are better than 2005. In 2004, the best mutual funds based on all measurement methods are “Si Dana Saham” from PT. Batavia Prosperindo Aset Manajemen. And for 2005, the best mutual funds based on all measurement methods are “Platinum Saham” from PT. Platinum Assets Management.

Keywords: mutual funds, investment, data envelopment analysis


Pengaruh Leverage, Efisiensi dan Ekspektasi Pertumbuhan Laba pada Market-beta

Irwan Adi Ekaputra dan Vanda Ningrum

Abstract
This paper empirically investigates the determinants of stocks’ market-beta. Based on previous research and our predictions, we develop a pooled regression model to test the impact of operating leverage, financial leverage, firm efficiency, and firm expected growth on market-beta. The sample consists of stocks consistently included in the LQ45 index for the period of 2000-2004. The results indicate that operating leverage and expected growth both show significant positive impact on market-beta. Firm efficiency shows significant negative effect on market- beta, while financial leverage does not show any significant impact on market-beta.

Keywords:Keywords: Jakarta Stock Exchange, market beta, operating leverage, financial leverage, JEL Classification: G12, G31, G32
 
Daftar Isi
Application of Sharpe, Treynor, Jensen, Information Ratio, and Dea Super Efficiency Methods to Measuring Performance of Equity Mutual Funds in Indonesia for Periods 2004-2005
Effendy, R. Nugroho Purwantoro dan Erwinta Siswadi 3

Pengaruh Leverage, Efisiensi dan Ekspektasi Pertumbuhan Laba pada Market-beta
Irwan Adi Ekaputra  dan Vanda Ningrum 11

Efektivitas Strategi Penjualan: Kunci Keberhasilan Suatu Kantor Cabang Penjualan
Tjetjep Djatnika.  17

Sikap terhadap Wanita sebagai Manajer: Jender, Budaya, dan Pekerjaan
Dwi Suhartanto 24

Moderating Effect of Job Factors and Leader-Member Exchange (LMX) on the Relationship between Job Satisfaction and Organizational Commitment and Intention to Leave the Host Country: A Study of Expatriates in Indonesia
Budi W. Soetjipto dan Utami D. Setiawati.  31

Peningkatan Kinerja Organisasi melalui Penciptaan Nilai oleh Sumberdaya Manusia
Siti Fatimah Nurhayati .37

Operasionalisasi dan Perluasan Teori Planned Behavior pada Kasus Perilaku Suksesi Perusahaan Keluarga: Suatu Model Konseptual
Mugi Harsono  45

 



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