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  • Latihan Soal Reksadana

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    irga ayudias
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    The document contains performance data for two mutual funds, BOLD and COOL, over a period of 5 years. It includes metrics such as the net asset value (NAV), returns, standard deviation, beta, expected return, and various risk-adjusted return measures for both funds. These measures are used to compare the risk and return profiles of the two funds. The document also contains calculations and comparisons of the funds' returns relative to the security market line (SML) and capital market line (CML).

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    LATIHAN SOAL REKSADANA

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    The document contains performance data for two mutual funds, BOLD and COOL, over a period of 5 years. It includes metrics such as the net asset value (NAV), returns, standard deviation, beta, expected return, and various risk-adjusted return measures for both funds. These measures are used to compare the risk and return profiles of the two funds. The document also contains calculations and comparisons of the funds' returns relative to the security market line (SML) and capital market line (CML).

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    8 views2 pages

    Latihan Soal Reksadana

    Uploaded by

    irga ayudias
    The document contains performance data for two mutual funds, BOLD and COOL, over a period of 5 years. It includes metrics such as the net asset value (NAV), returns, standard deviation, beta, expected return, and various risk-adjusted return measures for both funds. These measures are used to compare the risk and return profiles of the two funds. The document also contains calculations and comparisons of the funds' returns relative to the security market line (SML) and capital market line (CML).

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
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    of 2

    T NAV BOLD NAV COOL Rm Rf

    0 2500 3000
    1 2875 3420 0.12 0.05
    2 3278 3933 0.13 0.05
    3 3835 4523 0.12 0.05
    4 4334 5247 0.14 0.05
    5 5157 6087 0.13 0.05

    Bandingkan Excess return to variability (Sharpe Measure) 1


    kinerja kedua Excess return to beta (Treynor Measure) 2
    reksa dana SML Differential Return (Jansen Index) 3
    (BOLD dan COOL) CML Differential Return 4

    T NAV BOLD NAV COOL Return BOLD Return COOL


    0 2500 3000
    1 2875 3420 0.15 0.14
    2 3278 3933 0.14 0.15
    3 3835 4523 0.17 0.15
    4 4334 5247 0.13 0.16
    5 5157 6087 0.19 0.16
    Standar devisisasi (σ) 0.02 0.01 Standar devisiasi (
    BETA (β) -1.21 0.79 Expected return (Rm)
    Expected Return (Er) 0.16 0.15

    Ri/CML
    CML SML
    NAV BOLD 0.27 -0.04 CAPM/SML
    NAV COOL 0.13 0.11
    1 4 2 3
    ERV DRV ERB DRB ERV
    NAV BOLD 4.42 -0.12 -0.09 0.20 DRV
    NAV COOL 12.14 0.02 0.13 0.04 ERB
    DRB
    Rm Rf

    0.12 0.05
    0.13 0.05
    0.12 0.05
    0.14 0.05
    0.13 0.05
    Standar devisiasi (sm) 0.01
    Expected return (Rm) 0.128 0.05

    (=Expected Return Risk free+((Expected JKSE - Expected Return risk free)/stdev JKSE)*STDEV PT.A/B

    (= Er risk free+(Er JKSE-Er risk free)*β(ᵢ))

    (Er PT -Rf)/s
    (Er PT - CML)
    (Er PT - Rf)/b
    (Er PT - SML)

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