Contoh Aplikasi

Tabel berikut menunjukan tingkat pengembalian portofolio A, B, C, tingkat pengembalian pasar IHSG
dan tingkat bunga bebas risiko :

Periode
1
2
3
4
5
6
7
8
9
Rata-rata
Sdpi
pi

RpA
-38.7
39.6
11.1
12.7
20.9
35.5
57.6
-7.8
22.8
17.1
28.1
1.2

RpB
-16
39.4
34.3
-6.9
3.2
28.9
24.1
0
23.4
14.5
19.78
0.92

RpC
-33
30.8
18.2
-7.3
4.9
30.9
34.7
6
33
13.1
22.8
1.04

Rm

RF

-26
36.9
23.6
-7.2
6.4
18.2
31.5
-4.8
20.4
11.0
52.5
1

7.9
5.8
5
5.3
7.2
10
11.5
14.1
10.7
8.6

Indeks Sharpe

Spi = (Rpi Rf) / SDpi

SpA = (17,1 8,6) / 28, 1

= 0,302

SpB = (14,5 8,6) / 19,7

= 0,299

SpC = (13,0 - 8,6) / 22,8

= 0,193

Spm = (11,0 8,6) / 52,5

= 0,045

Indeks Treynor

Tpi = (Rpi Rf) / pi

TpA = (17,1 8,6) / 1,20

= 7,08

TpB = (14,5 8,6) / 0,92

= 6,41

TpC = (13,0 8,6) / 1,04

= 4,23

Tpm = (11,0 8,6) / 1,00

= 2,40

Kesimpulan Kasus

Portofolio A memilki kinerja yang tinggi

Indeks Sharpe

= 0,302

Indeks Treynor

= 7,08

Portofolio B perlu dilakukan revisi

http://www.google.co.id/url?sa=t&rct=j&q=model%20evaluasi%20kinerja%20sharpe&source=web&
cd=9&ved=0CE4QFjAI&url=http%3A%2F%2Fisjd.pdii.lipi.go.id%2Fadmin%2Fjurnal%2F81086074.pdf
&ei=HvXVTvv6I8-srAeC4pmfDg&usg=AFQjCNGtJhhzHxJhF0wyMKY_Z6vTleM6Fg&cad=rja

http://www.google.co.id/url?sa=t&rct=j&q=model%20evaluasi%20kinerja%20sharpe&source=web&
cd=7&ved=0CEEQFjAG&url=http%3A%2F%2Fwarsono.staff.umm.ac.id%2Ffiles%2F2010%2F02%2FAn
alisis-Pengukuran-Kinerja-Reksadana-Warsono.pdf&ei=HvXVTvv6I8srAeC4pmfDg&usg=AFQjCNFalW2EQIYbSvex6dO4mHLmrYSNvg&cad=rja

http://www.google.co.id/url?sa=t&rct=j&q=model%20evaluasi%20kinerja%20portofolio%20treynor
&source=web&cd=1&ved=0CBgQFjAA&url=http%3A%2F%2Feprints.undip.ac.id%2F24215%2F1%2FA
gustin_Sulistyorini.pdf&ei=k_zVTvbyCoHirAf7xrGrDg&usg=AFQjCNHipiHajIxa57WlnN6MlVIXjO3Hzw
&cad=rja

http://www.google.co.id/url?sa=t&rct=j&q=model%20evaluasi%20kinerja&source=web&cd=22&ved
=0CB4QFjABOBQ&url=http%3A%2F%2Fblog.binadarma.ac.id%2Fdedi1968%2Fwpcontent%2Fuploads%2F2011%2F10%2FBab-3-hlm-39431.pdf&ei=CfLVTsW9GI_yrQe698ygDg&usg=AFQjCNFN_4C6Vfg48wM6GLL3Pdypu2syeA&cad=rja

http://www.google.co.id/url?sa=t&rct=j&q=model%20evaluasi%20kinerja%20treynor&source=web
&cd=3&ved=0CCgQFjAC&url=http%3A%2F%2Feprints.undip.ac.id%2F24215%2F1%2FAgustin_Sulisty
orini.pdf&ei=9_HVTqjkNoHJrQeXnumyDg&usg=AFQjCNHipiHajIxa57WlnN6MlVIXjO3Hzw&cad=rja