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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 Number | Location | Available |
|---|---|---|
| 6300 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok: Departemen Manajemen, Fakultas Ekonomi Universitas Indonesia 2009 |
|---|---|
| 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 |
| Lampiran Berkas | Tidak Ada Data |