Image of Penilaian kinerja reksadana ketika distribusi tingkat pengembalian tidak normal periode 2006 - 2007

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Penilaian kinerja reksadana ketika distribusi tingkat pengembalian tidak normal periode 2006 - 2007

The most popular approach to conduct portfolio performance measurement lies in foundation of Markowitz?s (1952) mean-variance paradigm. However, the suitability of implementing those approaches in practice is questionable in light of considerable evidence of non-normalities in portfolio?s return, and thus violates the normality assumption on mean-variance paradigm. Stutzer (2000) proposed new non-parametric approach to measure portfolio performance by calculating the decay rate in the probability that a given portfolio will underperform its designated benchmark. This paper aimed to evaluate performance of professionally managed portfolios, the mutual funds, by using Portfolio Performance Index proposed by Stutzer and Sharpe Ratio as a comparison. This paper presents evidence that returns of mutual funds are not normally distributed and the impact of those on ranks of mutual funds.Ada tabel

Ketersediaan

Call NumberLocationAvailable
6300PSB lt.2 - Karya Akhir1
Penerbit Depok Departemen Manajemen, Fakultas Ekonomi Universitas Indonesia.,
Edisi -
Subjek Share valuation
Financial management
Performance measurement
Mutual funds
Portfolio investment
ISBN/ISSN -
Klasifikasi -
Deskripsi Fisik xiii, 76 p. : diagr. ; 30 cm.
Info Detail Spesifik -
Other Version/Related Tidak tersedia versi lain
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