Analisis Kinerja Reksa Dana Nusantara PT Bhakti Asset Management dan Penyusunan Portfolio Optimum Teoritis Periode Januari – April 2005

Authors

  • Tomy Gurtama S. UBiNus
  • Mesha Mesha UBiNus

DOI:

https://doi.org/10.21512/tw.v8i1.743

Keywords:

optimizing mutual funds, linear programing

Abstract

The research objective is to find theoritical optimum portfolio of the Reksa Dana Nusantara (RDN) of BAM, using data from January – April 2005 (60 workdays).  The coefficient of variance (CV) will be  used to determine the stock rank, then it will be optimize with 3 methods ; linear programing, trial-error, and tableau method. The research found that RDN has Sharpe Performance Index (SPI) of 1.15 but the market can reach 1.60. The linear programing can not find optimum solution of portfolios consist of 9-5 stocks, but it can find the best portfolio consist in 3 stocks (TLKM, TKIM an CMNP) with SPI of 2.19. Overall, the research summarizes that RDN is still below the market performance.

Dimensions

Plum Analytics

Author Biographies

Tomy Gurtama S., UBiNus

Jurusan Akuntansi, Fakultas Ekonomi

Mesha Mesha, UBiNus

Jurusan Akuntansi, Fakultas Ekonomi

References

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Situs: www.reksadanabig.com , www.bhakti-investama.com , www.bapepam.go.id, www.jsx.co.id , www.detik.com dan www.bi.go.id.

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Published

2007-03-30
Abstract 416  .
PDF downloaded 444  .