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Alternatif pengukuran return dan manfaatnya
The Main objective of any investments is return, in general, expect the return on their investments to be positive, and high enough to compensate for the periodic inflation; or else, the investor's total welath will decline. When inflation is taken into account, we have the term real return. For one-year period with no addition or withdrawal of investment, there is only one single measure of return and the calculation is straight forward. However, there are more than one return measure for multiple periods especially when involving some addition or withdrawal. We can use time-weighted return (arithmetic or geometric) or money-weighted return (rough or accurate measure). When risk is considered, there is still another measure, called risk-adjusted return. Sharpe's, Treynor's, and Roy's ratio can be used for this purpose. To identify a portfolio with abnormal return, Jensen introducted alpha measure. Alpha Jensen was then modified by Treynor-Mazuy and Henriksson-MErton to seperate the stock selection capability from market timing capability of a fund manager. Overall, there are various return measures and they can be used for different purposes.Printed Journal & Softcopy
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : Lembaga Manajemen Fakultas Ekonomi Universitas Indonesia |
|---|---|
| Edisi | - |
| Subjek | Risk Time adjusted return Real and nominal return weighted and money weighted return Arithmetic and geometric return Alpha |
| ISBN/ISSN | 3029859 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |