Meningkatkan Nilai Investasi Syariah Pada Reksadana Dengan Pengukuran Treynor-Mazuy Model Versus Henriksson-Merton Model

RAHAYU, RIKA (2019) Meningkatkan Nilai Investasi Syariah Pada Reksadana Dengan Pengukuran Treynor-Mazuy Model Versus Henriksson-Merton Model. GORONTALO MANAGEMENT RESEARCH, 2 (1). pp. 16-29. ISSN P-ISSN : 2614-5189 ; E-ISSN : 2614-5197

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Abstract

This study aims to analyze the ability of market timing and stock selection ability the investment managers any mutual fund syariah shares for a year. This research was quantitative study with two hyphotesis were the consistency of market timing ability by investment managers and occurring the consistency of stock selection ability by the investment managers. Variables in this research was likes dependend variable were mutual fund performance and independend variable were stock selection skill and market timing ability. This research used measurement model for mutual fund with Treynor-Mazuy model and Henriksson-Merton model. This research needs net asset value (NAV), risk free rate and Indonesia Composite Index. The result of measurement with Treynor and Mazuy method describe had only one market timing ability but han’t selectivity was Sucorinvest Sharia Equity fund, while measurement with Henriksson-Merton method describe had only one market timing ability and selectivity was Syariah Sucorinvest Fund. Keywords : Market Timing Ability; Stock Selection Ability; Treynor-Mazuy dan Henriksson-Merton

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