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Archive for the ‘Manajemen Investasi dan Pasar Modal’ Category

Menghitung Omega Ratio

December 6, 2011 1 comment

Perhitungan Omega Ratio

Oleh: Abdul Hadi, SE., M.Si

Menghitungan Sortino Ratio

December 6, 2011 2 comments

Perhitungan Sortino Ratio

Oleh: Abdul Hadi, SE., M.Si

References:
Bruce J. Feibel. Investment Performance Measurement. John Wiley & Sons, Inc., 2003.

Perhitungan Risk Adjusted Performance: Appraisal Ratio

December 4, 2011 5 comments

Perhitungan Risk Adjusted Performance: Appraisal Ratio

By: Abdul Hadi

Appraisal Ratio: Example

Perhitungan Risk Adjusted Performance: T2 Measure

December 4, 2011 Leave a comment

Perhitungan Risk Adjusted Performance: T2 Measure

By: Abdul Hadi

T2 Measure: Formula

di mana:

dengan:

T2 Measure: Example

Perhitungan Risk Adjusted Performance: M2 Measure

December 4, 2011 Leave a comment

Perhitungan Risk Adjusted Performance: M2 Measure

By: Abdul Hadi

M2 Measure: Formula

di mana:

dengan:

M2 Measure: Example

Perhitungan Risk Adjusted Performance: Jensen Alpha

December 4, 2011 Leave a comment

Perhitungan Risk Adjusted Performance: Jensen Alpha

By: Abdul Hadi

Jensen Alpha: Formula

Prosedur formula:

  • hitung rerata return portofolio
  • hitung rerata return benchmark
  • hitung rerata risk free rate of interest
  • hitung beta portofolio
  • hitung Jensen’s alpha

Interpretasi:

If the alpha is positive it represents a superior management performance. The alpha’s (α) negative value indicates an inferior management performance. If alpha ‘0’ it indicate a neutral performance by by the management (Tripathy, 149:2007)

Jensen Alpha: Example

Perhitungan Risk Adjusted Performance: Treynor Ratio

December 4, 2011 1 comment

Perhitungan Risk Adjusted Performance: Treynor Ratio

By: Abdul Hadi

Treynor Ratio: Fomula

Treynor ratio: Example

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