[
ABSTRAKTujuan utama penelitian ini adalah untuk menganalisis kinerja reksa
dana saham yang tidak mengungguli portofolio pasar sebagai benchmark
(IHSG) di Indonesia. Sampel penelitian ini menggunakan 23 reksa dana saham
di Indonesia periode Juli 2006-Juni 2011. Kinerja reksa dana saham diukur
dengan menggunakan model Jensen Alfa. Hasil analisis menunjukkan bahwa 1
dari 23 reksa dana saham berkinerja underperformance. Kinerja reksa dana
saham tersebut dipengaruhi secara positif oleh faktor return market.
ABSTRAKThe main purpose of this study is to examine the underperformance of
equity fund to market portfolio benchmark (IHSG) in Indonesia. The sample of
the study using twenty three Indonesia’s equity fund in July 2006-June 2011. The
equity fund performance measure by Jensen’s Alfa model. The analysis shows
that 1 of the 23 sample underperformance to portfolio (IHSG). Performance of
equity funds is influenced positively by the market return factor., The main purpose of this study is to examine the underperformance of
equity fund to market portfolio benchmark (IHSG) in Indonesia. The sample of
the study using twenty three Indonesia’s equity fund in July 2006-June 2011. The
equity fund performance measure by Jensen’s Alfa model. The analysis shows
that 1 of the 23 sample underperformance to portfolio (IHSG). Performance of
equity funds is influenced positively by the market return factor.]
