90
DAFTAR PUSTAKA
Aziz, Abdul. (2010). Manajemen Investasi Syariah. Bandung: CV Alfabeta Bodie, Zvi, Kane, Alex, & Marcus, Alan J.. (2010). Essentials of Investments (8th Edition). Boston: McGraw-Hill. Brown, Keith C. & Reilly, Frank K.. (2009). Analysis of Investments and Management of Portfolios (9th Edition). Canada: South-Western Cengage Learning. Chandra, Prasanna. (2008). Investment Analysis and Portfolio Management (3rd Edition). New Delhi: Tata McGraw-Hill Education Private Limited Darmadji, Tjipto dan Hendy M. Fakhruddin. Pasar Modal di Indonesia Pendekatan Tanya Jawab. Ke-3. Jakarta: Penerbit Salemba Empat. 2008. Departemen Pendidikan Nasional. Kamus Besar Bahasa Indonesia.Jakarta: Balai Pustaka. 2002. Dewan Syari’ah Nasional. Fatwa DSN No: 20/DSN/-MUI/VI/2001 Tentang Pedoman Pelaksanaan Investasi Untuk Reksa Dana Syari’ah, Jakarta: 2001. Fuady, Munir. Pasar Modal Modern. Bandung: Penerbit PT. Citra Aditya Bakti. 2001 Halim, Abdul, Analisis Investasi, Edisi ke-2. Jakarta: Salemba Empat. 2005. Pratomo, Eko P. Berwisata ke Dunia Reksa Dana, Jakarta: Penerbit PT. Gramedia Pustaka Utama. 2008. Sudarsono, Heri. Bank dan Lembaga Keuangan Syariah. Jakarta:Ekonisia. 2003. Tandelilin, Eduardus. Portofolio dan Investasi,Yogyakarta: Penerbit Kanisius. 2010. Undang-Undang Nomor 8 Tahun 1995 tentang Pasar Modal Yuhasril, 2010. Manajemen Investasi, Program studi Ilmu Akuntansi PKK Fakultas Ekonomi, Jakarta.
91
Website:
http://aria.bapepam.go.id/reksadana/ http://aria.bapepam.go.id/reksadana/statistik.asp?page=statistik-nab-rd http://en.wikipedia.org/wiki/Unit_trust http://mbegedut.blogspot.com/2012/07/reksa-dana-syariahpengertian.html#.UZBl1qLwm1U http://www.bapepam.go.id/syariah/index.html http://www.bi.go.id/web/id/ http://www.bi.go.id/web/id/Statistik/Statistik+Sistem+Pembayaran/BI_SSSS/SBIS/
http://www.danareksa.com/ http://www.duniainvestasi.com/bei/prices/stock/COMPOSITE http://www.duniainvestasi.com/bei/prices/stock/JII
xiv
LAMPIRAN Lampiran 1 Data NAB, IHSG, dan JII A. NAB Reksa Dana Anggrek
No
Bulan December - 2009
Total NAV 179,769,046,103.82
IDR Jml Unit 46,529,978.59
NAV/Unit 3,863.51
1
January - 2010
176,542,042,655.63
45,224,724.30
3,903.66
2
February - 2010
171,285,518,554.76
45,124,388.16
3,795.85
3
March - 2010
209,207,147,080.76
51,468,731.11
4,064.74
4
April - 2010
199,890,603,976.54
47,754,824.51
4,185.77
5
May - 2010
214,110,199,623.52
53,972,157.19
3,967.05
6
June - 2010
219,645,003,168.02
53,025,510.14
4,142.25
7
July - 2010
217,872,854,933.82
51,093,112.72
4,264.23
8
August - 2010
184,317,116,119.68
43,827,444.78
4,205.52
9
September - 2010
195,800,450,027.95
43,183,885.18
4,534.11
10
October - 2010
184,520,384,339.20
39,609,350.55
4,658.51
11
November - 2010
175,140,339,012.34
39,290,123.53
4,457.62
12
December - 2010
180,541,332,893.32
39,237,372.38
4,601.26
13
January - 2011
166,867,613,031.97
38,940,760.57
4,285.17
14
February - 2011
168,941,219,242.45
39,066,905.15
4,324.41
15
March - 2011
149,222,564,682.51
32,691,274.88
4,564.60
16
April - 2011
152,866,248,159.99
32,482,915.43
4,706.05
17
May - 2011
128,471,451,528.43
27,259,941.30
4,712.83
18
June - 2011
109,687,276,887.70
22,853,414.74
4,799.60
19
July - 2011
88,699,599,401.24
17,709,557.40
5,008.57
20
August - 2011
87,605,759,792.61
17,958,310.42
4,878.29
xv
21
September - 2011
84,122,015,079.73
18,079,083.37
4,653.00
22
October - 2011
87,869,153,392.95
18,084,795.50
4,858.73
23
November - 2011
87,218,318,732.82
18,075,693.05
4,825.17
24
December - 2011
89,904,741,278.00
18,072,950.85
4,974.55
25
January - 2012
90,357,729,119.88
17,830,374.80
5,067.63
26
February - 2012
80,511,815,820.18
15,953,781.79
5,046.57
27
March - 2012
81,844,239,948.01
15,874,954.79
5,155.56
28
April - 2012
79,976,873,919.46
15,715,390.47
5,089.08
29
May - 2012
76,299,869,116.21
15,626,740.62
4,882.65
30
June - 2012
76,416,752,961.53
15,449,044.33
4,946.37
31
July - 2012
76,947,572,743.69
15,116,684.52
5,090.24
32
August - 2012
74,870,655,014.63
14,999,052.22
4,991.69
33
September - 2012
49,785,570,583.52
9,585,756.36
5,193.70
34
October - 2012
48,493,219,145.38
9,172,955.81
5,286.54
35
November - 2012
36,785,856,567.51
7,153,562.65
5,142.31
36
December - 2012
36,341,108,500.97
6,986,260.03
5,201.80
xvi
B. NAB Reksa Syariah Berimbang
Total NAV 43,295,971,269.40
IDR Jml Unit 11,568,080.11
NAV/Unit 3,742.71
January - 2010
45,828,054,759.84
12,197,161.07
3,757.27
2
February - 2010
47,303,541,246.23
12,521,640.53
3,777.74
3
March - 2010
48,231,299,268.75
12,227,128.64
3,944.61
4
April - 2010
55,338,415,819.53
13,056,501.92
4,238.38
5
May - 2010
56,755,753,723.73
14,231,896.79
3,987.93
6
June - 2010
59,396,411,929.71
14,790,549.54
4,015.84
7
July - 2010
44,030,786,913.26
10,584,121.50
4,160.08
8
August - 2010
43,735,601,758.51
10,584,193.57
4,132.16
9
September - 2010
45,320,387,499.26
10,169,329.97
4,456.58
10
October - 2010
47,396,923,940.94
10,245,502.15
4,626.12
11
November - 2010
47,947,705,092.56
10,482,074.42
4,574.26
12
December - 2010
52,084,413,515.48
10,987,415.60
4,740.37
13
January - 2011
51,510,799,142.17
11,874,933.12
4,337.78
14
February - 2011
53,553,990,299.52
12,097,878.66
4,426.73
15
March - 2011
56,339,293,923.44
12,199,196.52
4,618.28
16
April - 2011
60,158,027,292.91
12,757,541.51
4,715.49
17
May - 2011
70,596,049,252.46
14,973,180.53
4,714.83
18
June - 2011
68,027,504,745.42
14,206,790.46
4,788.38
July - 2011
73,745,689,644.32
14,516,686.00
5,080.06
20
August - 2011
73,481,694,792.72
15,124,368.13
4,858.50
21
September - 2011
70,405,970,233.77
15,243,933.26
4,618.62
22
October - 2011
72,090,674,606.51
14,628,290.73
4,928.17
23
November - 2011
70,942,731,173.42
14,739,817.89
4,813.00
24
December - 2011
69,991,035,280.81
14,299,821.82
4,894.54
25
January - 2012
72,295,413,271.70
14,406,113.31
5,018.38
No
Bulan Desember - 2009
1
19
xvii
26
February - 2012
69,513,007,734.67
13,511,433.10
5,144.75
27
March - 2012
80,028,821,514.45
15,087,672.70
5,304.25
28
April - 2012
91,263,362,993.72
17,183,527.37
5,311.10
29
May - 2012
90,294,182,150.31
18,278,282.10
4,939.97
30
June - 2012
93,344,284,839.37
18,592,815.98
5,020.45
31
July - 2012
98,321,653,594.54
18,603,135.97
5,285.22
32
August - 2012
112,910,507,826.44
21,798,356.74
5,179.77
33
September - 2012
113,438,915,129.90
20,905,695.79
5,426.22
34
October - 2012
122,462,892,339.25
22,090,003.86
5,543.81
35
November - 2012
121,787,578,404.32
22,274,170.65
5,467.66
36
December - 2012
127,481,094,287.87
23,279,189.07
5,476.18
xviii
C. IHSG
No
Date
Prev
Open
High
Low
Close
1
Januari-2010
2,619.5650
2,619.2610 2,619.2610
2,569.2660
2,610.7960
2
Februari-2010
2,579.4160
2,579.3149 2,583.1590
2,536.0920
2,549.0330
3
Maret-2010
2,798.2680
2,798.6800 2,809.4730
2,758.2620
2,777.3010
4
April-2010
2,926.8600
2,927.2600 2,972.9170
2,927.2610
2,971.2520
5
Mei-2010
2,713.9230
2,714.3200 2,799.4530
2,714.3190
2,796.9570
6
Juni-2010
2,893.3710
2,892.5800 2,918.0630
2,844.4480
2,913.6840
7
Juli-2010
3,096.8160
3,096.7200 3,104.0790
3,054.0970
3,069.2800
8
Agustus-2010
3,099.5650
3,098.7700 3,099.7510
3,058.0510
3,081.8840
9
Sept-2010
3,495.4640
3,495.7600 3,514.7690
3,487.7130
3,501.2960
10
Oktober-2010
3,638.8260
3,639.2100 3,647.5650
3,615.2240
3,635.3240
11
Nov-2010
3,630.6360
3,631.5400 3,633.9900
3,529.8540
3,531.2110
12
Des-2010
3,699.2170
3,698.9400 3,718.9830
3,689.0330
3,703.5120
13
Januari-2011
3,487.6100
3,487.1400 3,487.1400
3,383.1580
3,409.1670
14
Februari-2011
3,443.5300
3,443.6200 3,471.4330
3,436.0990
3,470.3480
15
Maret-2011
3,640.9780
3,641.1600 3,683.4710
3,637.4310
3,678.6740
16
April-2011
3,808.9290
3,807.9900 3,822.6390
3,796.7100
3,819.6180
17
Mei-2011
3,826.1370
3,826.3200 3,841.4250
3,819.3070
3,836.9670
18
Juni-2011
3,830.2730
3,830.4600 3,896.1630
3,830.4560
3,888.5690
19
Juli-2011
4,145.8270
4,146.7600 4,160.4980
4,102.8230
4,130.8000
20
Agustus-2011
3,844.3770
3,842.5100 3,847.2540
3,800.4800
3,841.7310
xix
21
Sept-2011
3,537.1780
3,537.2700 3,579.6620
3,523.1740
3,549.0320
22
Oktober-2011
3,829.9600
3,830.8800 3,830.8750
3,758.4930
3,790.8470
23
Nov-2011
3,687.7690
3,688.1300 3,719.9480
3,679.2080
3,715.0800
24
Des-2011
3,808.7720
3,808.9500 3,825.9630
3,805.0790
3,821.9920
25
Januari-2012
3,915.1600
3,914.6200 3,941.6930
3,902.1550
3,941.6930
26
Februari-2012
3,903.5570
3,903.8300 3,986.1110
3,903.8270
3,985.2100
27
Maret-2012
4,105.1670
4,105.2600 4,129.3330
4,099.7230
4,121.5510
28
April-2012
4,163.9810
4,164.0700 4,180.9110
4,144.3450
4,180.7320
29
Mei-2012
3,917.9160
3,879.0600 3,881.4880
3,810.3910
3,832.8240
30
Juni-2012
3,887.5750
3,903.6600 3,971.0850
3,903.6590
3,955.5770
31
Juli-2012
4,099.1210
4,108.9500 4,149.7090
4,104.6170
4,142.3370
32
Agustus-2012
4,025.5830
4,005.0400 4,068.0200
3,978.0780
4,060.3310
33
Sept-2012
4,225.0240
4,236.7400 4,263.9610
4,233.0260
4,262.5610
34
Oktober-2012
4,364.5980
4,358.1700 4,363.1310
4,324.3840
4,350.2910
35
Nov-2012
4,319.0860
4,312.7500 4,321.9770
4,255.2670
4,276.1410
36
Des-2012
4,281.8610
4,298.9300 4,324.9330
4,289.3960
4,316.6870
xx
D. JII No
Date
Prev
Open
High
Low
Close
1
Januari-2010
430.9700 430.8650 430.8650
421.3560
427.6800
2
Februari-2010
418.5550 418.5200 419.5900
410.0020
413.7330
3
Maret-2010
446.5180 446.5180 448.3830
439.8890
443.6670
4
April-2010
467.9160 468.0500 475.1050
468.0550
474.7960
5
Mei-2010
431.0670 431.2100 446.6190
431.2070
444.5980
6
Juni-2010
459.7070 459.4000 461.0080
449.6980
460.2600
7
Juli-2010
486.8850 486.8500 487.9110
480.2660
483.3220
8
Agustus-2010
478.1680 477.9700 477.9720
471.2410
473.7870
9
September-2010
526.9700 527.0900 529.5800
524.8160
526.5190
10
Oktober-2010
542.3230 542.4700 543.6520
536.4810
540.2910
11
November-2010
524.7410 524.9100 525.6520
508.7820
508.7820
12
Desember-2010
530.0500 529.9400 533.5510
529.4340
532.9010
13
Januari-2011
490.5140 490.3300 490.3290
474.1370
477.5140
14
Februari-2011
490.6840 490.7200 496.8700
490.7210
496.8700
15
Maret-2011
510.8570 510.9300 514.9660
506.6250
514.9210
16
April-2011
528.1520 528.5300 528.8900
526.0620
528.7630
17
Mei-2011
529.4120 529.4900 532.0900
527.4420
531.3770
18
Juni-2011
527.2210 527.2900 537.8670
527.2860
536.0360
19
Juli-2011
572.2370 572.5700 574.5010
562.6080
567.1190
20
Agustus-2011
529.6120 528.9600 530.9480
522.0570
529.1570
21
September-2011
489.0260 489.0600 497.2400
488.2940
492.2980
22
Oktober-2011
537.5070 537.8300 537.9000
526.1030
530.1920
23
November-2011
518.5140 518.6400 523.6330
511.9810
520.4930
24
Desember-2011
534.1710 534.2300 537.6440
534.2300
537.0310
25
Januari-2012
557.3510 557.1700 562.5460
556.0550
562.5350
26
Februari-2012
553.2590 553.3500 567.1050
553.3480
566.7540
27
Maret-2012
579.3340 579.3600 585.5080
578.4440
584.0600
xxi
28
April-2012
572.7870 572.8200 575.0880
569.9860
575.0880
29
Mei-2012
536.6810 528.5700 529.4850
521.0120
525.0520
30
Juni-2012
533.7770 536.0200 547.6800
536.0240
544.1900
31
Juli-2012
565.8240 567.4400 575.8480
566.0380
573.7310
32
Agustus-2012
566.4490 561.8600 572.1440
557.3460
569.9350
33
September-2012
593.2410 596.0500 600.8760
595.3270
600.8400
34
Oktober-2012
618.8990 618.2000 619.2700
612.8670
619.2700
35
November-2012
597.2740 595.8800 598.1000
584.8350
588.7760
36
Desember-2012
590.4550 593.4100 595.3650
590.5910
594.7890
xxii
Lampiran 2 Risk and Return Reksa Dana Anggrek NAV/Unit No
Bulan
Return (Ri)
Ri - E (Ri)
[Ri - E(Ri)]2
December - 2009
3,863.51
1
January - 2010
3,903.66
0.01039
0.00150
0.000002
2
February - 2010
3,795.85
-0.02762
-0.03651
0.001333
3
March - 2010
4,064.74
0.07084
0.06194
0.003837
4
April - 2010
4,185.77
0.02977
0.02088
0.000436
5
May - 2010
3,967.05
-0.05225
-0.06115
0.003739
6
June - 2010
4,142.25
0.04416
0.03527
0.001244
7
July - 2010
4,264.23
0.02945
0.02055
0.000422
8
August - 2010
4,205.52
-0.01377
-0.02266
0.000514
9
September - 2010
4,534.11
0.07813
0.06924
0.004794
10
October - 2010
4,658.51
0.02744
0.01854
0.000344
11
November - 2010
4,457.62
-0.04312
-0.05202
0.002706
12
December - 2010
4,601.26
0.03222
0.02333
0.000544
13
January - 2011
4,285.17
-0.06870
-0.07759
0.006020
14
February - 2011
4,324.41
0.00916
0.00026
0.000000
15
March - 2011
4,564.60
0.05554
0.04665
0.002176
16
April - 2011
4,706.05
0.03099
0.02209
0.000488
xxiii
17
May - 2011
4,712.83
0.00144
-0.00745
0.000056
18
June - 2011
4,799.60
0.01841
0.00952
0.000091
19
July - 2011
5,008.57
0.04354
0.03464
0.001200
20
August - 2011
4,878.29
-0.02601
-0.03491
0.001219
21
September - 2011
4,653.00
-0.04618
-0.05508
0.003033
22
October - 2011
4,858.73
0.04421
0.03532
0.001247
23
November - 2011
4,825.17
-0.00691
-0.01580
0.000250
24
December - 2011
4,974.55
0.03096
0.02206
0.000487
25
January - 2012
5,067.63
0.01871
0.00982
0.000096
26
February - 2012
5,046.57
-0.00416
-0.01305
0.000170
27
March - 2012
5,155.56
0.02160
0.01270
0.000161
28
April - 2012
5,089.08
-0.01289
-0.02179
0.000475
29
May - 2012
4,882.65
-0.04056
-0.04946
0.002446
30
June - 2012
4,946.37
0.01305
0.00416
0.000017
31
July - 2012
5,090.24
0.02909
0.02019
0.000408
32
August - 2012
4,991.69
-0.01936
-0.02825
0.000798
33
September - 2012
5,193.70
0.04047
0.03157
0.000997
34
October - 2012
5,286.54
0.01788
0.00898
0.000081
35
November - 2012
5,142.31
-0.02728
-0.03618
0.001309
36
December - 2012
5,201.80
0.01157
0.00267
0.000007
0.32020
∑[Ri-E(Ri)]2
0.043148
Total Return (∑Ri)
xxiv
Rata-rata Return
0.00889
Var (Ri)
0.001199
σi
0.034626579
E(Ri)
Perhitungan: 1) Rata-rata Return Reksa Dana Anggrek 3) Variance Reksa Dana Anggrek
E(Ri) =
∑Ri
Var (Ri) = ∑[Ri – E(Ri)]2
n =
0.32020
n =
36 =
0.008894549
2) Standard Deviasi Reksa Dana Anggrek
σi
= √ Var (Ri)
= √ 0.001199
= 0.034626579
0.043148 36
=
0.001199
xxv
Lampiran 3 Risk and Return Reksa Dana Syariah Berimbang
No
Bulan
NAV/Unit
Return (Ri)
Ri - E (Ri)
[Ri - E(Ri)]2
December - 2009
3,742.71
1
January - 2010
3,757.27
0.00027
-0.01101
0.000121
2
February - 2010
3,777.74
0.00545
-0.00583
0.000034
3
March - 2010
3,944.61
0.04417
0.03289
0.001082
4
April - 2010
4,238.38
0.07447
0.06319
0.003993
5
May - 2010
3,987.93
-0.05909
-0.07037
0.004952
6
June - 2010
4,015.84
0.00700
-0.00428
0.000018
7
July - 2010
4,160.08
0.03592
0.02464
0.000607
8
August - 2010
4,132.16
-0.00671
-0.01799
0.000324
9
September - 2010
4,456.58
0.07851
0.06723
0.004520
10
October - 2010
4,626.12
0.03804
0.02676
0.000716
11
November - 2010
4,574.26
-0.01121
-0.02249
0.000506
12
December - 2010
4,740.37
0.03631
0.02504
0.000627
13
January - 2011
4,337.78
-0.08493
-0.09621
0.009256
14
February - 2011
4,426.73
0.02051
0.00923
0.000085
15
March - 2011
4,618.28
0.04327
0.03199
0.001024
16
April - 2011
4,715.49
0.02105
0.00977
0.000095
17
May - 2011
4,714.83
-0.00014
-0.01142
0.000130
18
June - 2011
4,788.38
0.01560
0.00432
0.000019
19
July - 2011
5,080.06
0.06092
0.04964
0.002464
20
August - 2011
4,858.50
-0.04361
-0.05489
0.003013
21
September - 2011
4,618.62
-0.04937
-0.06065
0.003679
22
October - 2011
4,928.17
0.06702
0.05574
0.003107
23
November - 2011
4,813.00
-0.02337
-0.03465
0.001201
xxvi
24
December - 2011
4,894.54
0.01694
0.00566
0.000032
25
January - 2012
5,018.38
0.02530
0.01402
0.000197
26
February - 2012
5,144.75
0.02518
0.01390
0.000193
27
March - 2012
5,304.25
0.03100
0.01972
0.000389
28
April - 2012
5,311.10
0.00129
-0.00999
0.000100
29
May - 2012
4,939.97
-0.06988
-0.08116
0.006586
30
June - 2012
5,020.45
0.01629
0.00501
0.000025
31
July - 2012
5,285.22
0.05274
0.04146
0.001719
32
August - 2012
5,179.77
-0.01995
-0.03123
0.000975
33
September - 2012
5,426.22
0.04758
0.03630
0.001318
34
October - 2012
5,543.81
0.02167
0.01039
0.000108
35
November - 2012
5,467.66
-0.01374
-0.02502
0.000626
36
December - 2012
5,476.18
0.00156
-0.00972
0.000094
0.40606
∑[Ri-E(Ri)]2
0.053935
Total Return (∑Ri) Rata-rata Return
0.01128 Var (Ri)
E(Ri)
0.001498 0.038704
σi
Perhitungan: 1) Rata-rata Return Reksa Dana SB
E(Ri) =
∑Ri
3) Variance Reksa Dana SB
Var (Ri) = ∑[Ri – E(Ri)]2
n =
n
0.40606
=
36 =
0.01128
0.0053935 36
=
0.001498
xxvii
2) Standard Deviasi Reksa Dana SB
σi
= √ Var (Ri) = √ 0.001498
= 0.038704
xxviii
Lampiran 4 Risk and Return IHSG
No
Month
Prev
Close
Return (Rm)
Rm- E (Rm)
[Rm- E (Rm)]2
Des-2009
2,518.9940
1
Januari-2010
2,619.5650 2,610.7960
0.03993
0.02390
0.000571
2
Februari-2010
2,579.4160 2,549.0330
-0.01533
-0.03135
0.000983
3
Maret-2010
2,798.2680 2,777.3010
0.08485
0.06882
0.004737
4
Apr-10
2,926.8600 2,971.2520
0.04595
0.02992
0.000895
5
Mei-2010
2,713.9230 2,796.9570
-0.07275
-0.08878
0.007881
6
Juni-2010
2,893.3710 2,913.6840
0.06612
0.05009
0.002509
7
Juli-2010
3,096.8160 3,069.2800
0.07031
0.05428
0.002947
8
Agustus-2010
3,099.5650 3,081.8840
0.00089
-0.01514
0.000229
9
Sep-10
3,495.4640 3,501.2960
0.12773
0.11170
0.012478
10
Oktober-2010
3,638.8260 3,635.3240
0.04101
0.02498
0.000624
11
Nov-10
3,630.6360 3,531.2110
-0.00225
-0.01828
0.000334
12
Des-2010
3,699.2170 3,703.5120
0.01889
0.00286
0.000008
13
Januari-2011
3,487.6100 3,409.1670
-0.05720
-0.07323
0.005362
14
Februari-2011
3,443.5300 3,470.3480
-0.01264
0.04131
0.001707
15
Maret-2011
3,640.9780 3,678.6740
0.05734
0.04131
0.001707
16
Apr-11
3,808.9290 3,819.6180
0.04613
0.03010
0.000906
17
Mei-2011
3,826.1370 3,836.9670
0.00452
-0.01151
0.000132
18
Juni-2011
3,830.2730 3,888.5690
0.00108
-0.01495
0.000223
19
Juli-2011
4,145.8270 4,130.8000
0.08238
0.06635
0.004403
xxix
20
Agustus-2011
3,844.3770 3,841.7310
-0.07271
-0.08874
0.007874
21
Sep-11
3,537.1780 3,549.0320
-0.07991
-0.09594
0.009204
22
Oktober-2011
3,829.9600 3,790.8470
0.08277
0.06674
0.004455
23
Nov-11
3,687.7690 3,715.0800
-0.03713
-0.05316
0.002826
24
Des-2011
3,808.7720 3,821.9920
0.03281
0.01678
0.000282
25
Januari-2012
3,915.1600 3,941.6930
0.02793
0.01190
0.000142
26
Februari-2012
3,903.5570 3,985.2100
-0.00296
-0.01899
0.000360
27
Maret-2012
4,105.1670 4,121.5510
0.05165
0.03562
0.001269
28
Apr-12
4,163.9810 4,180.7320
0.01433
-0.00170
0.000003
29
Mei-2012
3,917.9160 3,832.8240
-0.05909
-0.07512
0.005642
30
Juni-2012
3,887.5750 3,955.5770
-0.00774
-0.02377
0.000565
31
Juli-2012
4,099.1210 4,142.3370
0.05442
0.03839
0.001474
32
Agustus-2012
4,025.5830 4,060.3310
-0.01794
-0.03397
0.001154
33
Sep-12
4,225.0240 4,262.5610
0.04954
0.03351
0.001123
34
Oktober-2012
4,364.5980 4,350.2910
0.03304
0.01701
0.000289
35
Nov-12
4,319.0860 4,276.1410
-0.01043
-0.02646
0.000700
36
Des-2012
4,281.8610 4,316.6870
-0.00862
-0.02465
0.000607
∑[Rm-
0.086607
0.57692
∑Rm
E (Rm)]2
E(Rm)
0.01603
Var
0.002406
(Rm) 0.049050
σm
Perhitungan: 1) Rata-rata Return IHSG
E(Rm) =
∑Rm n
2) Variance IHSG Var (Rm) = ∑[Rm – E(Rm)]2 n
xxx
=
0.57692
=
36 =
0.01603
3) Standard Deviasi IHSG
σi
= √ Var (Rm)
= √ 0.002406
= 0.049050
0.086607 36
=
0.002406
xxxi
Lampiran 5 Risk and Return JII
No
Month
Prev
Des-2009
416.4640
Close
Return (Rm)
Rm- E (Rm)
[Rm- E (Rm)]2
1
Januari-2010
430.9700 427.6800
0.034831
0.026120
0.000682
2
Februari-2010
418.5550 413.7330
-0.028807
-0.037518
0.001408
3
Maret-2010
446.5180 443.6670
0.066808
0.058097
0.003375
4
Apr-10
467.9160 474.7960
0.047922
0.039211
0.001537
5
Mei-2010
431.0670 444.5980
-0.078751
-0.087462
0.007650
6
Juni-2010
459.7070 460.2600
0.066440
0.057729
0.003333
7
Juli-2010
486.8850 483.3220
0.059120
0.050409
0.002541
8
Agustus-2010
478.1680 473.7870
-0.017904
-0.026615
0.000708
9
Sep-10
526.9700 526.5190
0.102060
0.093349
0.008714
10
Oktober-2010
542.3230 540.2910
0.029134
0.020423
0.000417
11
Nov-10
524.7410 508.7820
-0.032420
-0.041131
0.001692
12
Des-2010
530.0500 532.9010
0.010117
0.001406
0.000002
13
Januari-2011
490.5140 477.5140
-0.074589
-0.083300
0.006939
14
Februari-2011
490.6840 496.8700
-0.080601
-0.089312
0.007977
15
Maret-2011
510.8570 514.9210
0.041112
0.032401
0.001050
16
Apr-11
528.1520 528.7630
0.033855
0.025144
0.000632
17
Mei-2011
529.4120 531.3770
0.002386
-0.006325
0.000040
18
Juni-2011
527.2210 536.0360
-0.004139
-0.012850
0.000165
19
Juli-2011
572.2370 567.1190
0.085384
0.076673
0.005879
20
Agustus-2011
529.6120 529.1570
-0.074488
-0.083199
0.006922
21
Sep-11
489.0260 492.2980
-0.076633
-0.085344
0.007284
22
Oktober-2011
537.5070 530.1920
0.099138
0.090427
0.008177
xxxii
23
Nov-11
518.5140 520.4930
-0.035335
-0.044046
0.001940
24
Des-2011
534.1710 537.0310
0.030196
0.021485
0.000462
25
Januari-2012
557.3510 562.5350
0.043394
0.034683
0.001203
26
Februari-2012
553.2590 566.7540
-0.007342
-0.016053
0.000258
27
Maret-2012
579.3340 584.0600
0.047130
0.038419
0.001476
28
Apr-12
572.7870 575.0880
-0.011301
-0.020012
0.000400
29
Mei-2012
536.6810 525.0520
-0.063036
-0.071747
0.005148
30
Juni-2012
533.7770 544.1900
-0.005411
-0.014122
0.000199
31
Juli-2012
565.8240 573.7310
0.060038
0.051327
0.002634
32
Agustus-2012
566.4490 569.9350
0.001105
-0.007606
0.000058
33
Sep-12
593.2410 600.8400
0.047298
0.038587
0.001489
34
Oktober-2012
618.8990 619.2700
0.043251
0.034540
0.001193
35
Nov-12
597.2740 588.7760
-0.034941
-0.043652
0.001906
36
Des-2012
590.4550 594.7890
-0.011417
-0.020128
0.000405
∑[Rm- E ∑Rm
0.313604 (Rm)]2
0.095894
E(Rm)
0.008711 Var (Rm)
0.002664
σm
Perhitungan: 1) Rata-rata Return JII E(Rm) =
∑Rm
2) Variance JII Var (Ri) = ∑[Ri – E(Rm)]2
n =
0.313604
n =
36 =
0.008711
0.095894 36
=
0.002664
0.051613
xxxiii
3) Standard Deviasi JII
σi
= √ Var (Rm)
= √ 0.002664
= 0.051613
xxxiv
Lampiran 6 Covariance Reksa DanaAnggrek terhadap IHSG
Month No
RD Anggrek Ri Ri - E (Ri)
IHSG Rm Rm-E(Rm)
[Ri - E (Ri)] x Rm-E(Rm)
Des-2009 1
Januari-2010
0.01039
0.00150
0.03993
0.02390
0.00004
2
Februari-2010
-0.02762
-0.03651
-0.01533
-0.03135
0.00114
3
Maret-2010
0.07084
0.06194
0.08485
0.06882
0.00426
4
Apr-10
0.02977
0.02088
0.04595
0.02992
0.00062
5
Mei-2010
-0.05225
-0.06115
-0.07275
-0.08878
0.00543
6
Juni-2010
0.04416
0.03527
0.06612
0.05009
0.00177
7
Juli-2010
0.02945
0.02055
0.07031
0.05428
0.00112
8
Agustus-2010
-0.01377
-0.02266
0.00089
-0.01514
0.00034
9
Sep-10
0.07813
0.06924
0.12773
0.11170
0.00773
10
Oktober-2010
0.02744
0.01854
0.04101
0.02498
0.00046
11
Nov-10
-0.04312
-0.05202
-0.00225
-0.01828
0.00095
12
Des-2010
0.03222
0.02333
0.01889
0.00286
0.00007
13
Januari-2011
-0.06870
-0.07759
-0.05720
-0.07323
0.00568
14
Februari-2011
0.00916
0.00026
-0.01264
0.04131
0.00001
15
Maret-2011
0.05554
0.04665
0.05734
0.04131
0.00193
16
Apr-11
0.03099
0.02209
0.04613
0.03010
0.00066
17
Mei-2011
0.00144
-0.00745
0.00452
-0.01151
0.00009
18
Juni-2011
0.01841
0.00952
0.00108
-0.01495
-0.00014
19
Juli-2011
0.04354
0.03464
0.08238
0.06635
0.00230
20
Agustus-2011
-0.02601
-0.03491
-0.07271
-0.08874
0.00310
21
Sep-11
-0.04618
-0.05508
-0.07991
-0.09594
0.00528
22
Oktober-2011
0.04421
0.03532
0.08277
0.06674
0.00236
xxxv
-0.00691
-0.01580
-0.03713
-0.05316
0.00084
Des-2011
0.03096
0.02206
0.03281
0.01678
0.00037
25
Januari-2012
0.01871
0.00982
0.02793
0.01190
0.00012
26
Februari-2012
-0.00416
-0.01305
-0.00296
-0.01899
0.00025
27
Maret-2012
0.02160
0.01270
0.05165
0.03562
0.00045
28
Apr-12
-0.01289
-0.02179
0.01433
-0.00170
0.00004
29
Mei-2012
-0.04056
-0.04946
-0.05909
-0.07512
0.00372
30
Juni-2012
0.01305
0.00416
-0.00774
-0.02377
-0.00010
31
Juli-2012
0.02909
0.02019
0.05442
0.03839
0.00078
32
Agustus-2012
-0.01936
-0.02825
-0.01794
-0.03397
0.00096
33
Sep-12
0.04047
0.03157
0.04954
0.03351
0.00106
34
Oktober-2012
0.01788
0.00898
0.03304
0.01701
0.00015
35
Nov-12
-0.02728
-0.03618
-0.01043
-0.02646
0.00096
36
Des-2012
0.01157
0.00267
-0.00862
-0.02465
-0.00007
23
Nov-11
24
∑{[Ri - E(Ri)] x [Rm-E(Rm)]}
0.05472
Covariance (Ri,Rm)
0.00152
Perhitungan : Covariance Reksa Dana Anggrek terhadap IHSG Cov (Ri, Rm) = ∑{[Ri - E(Ri)] x [Rm-E(Rm)]} n =
0.05472 36
=
0.00152
xxxvi
Lampiran 7
Covariance Reksa Dana Syariah Berimbang terhadap JII
No
Month
RD SyariahBerimbang Ri Ri - E (Ri)
JII Rm
Rm-E(Rm)
[Ri - E (Ri)] x Rm-E(Rm)
Des-2009 1
Januari-2010
0.00389
-0.00749
0.03483
0.02612
-0.00020
2
Februari-2010
0.00545
-0.00593
-0.02881
-0.03752
0.00022
3
Maret-2010
0.04417
0.03279
0.06681
0.05810
0.00191
4
Apr-10
0.07447
0.06309
0.04792
0.03921
0.00247
5
Mei-2010
-0.05909
-0.07047
-0.07875
-0.08746
0.00616
6
Juni-2010
0.00700
-0.00438
0.06644
0.05773
-0.00025
7
Juli-2010
0.03592
0.02454
0.05912
0.05041
0.00124
8
Agustus-2010
-0.00671
-0.01809
-0.01790
-0.02662
0.00048
9
Sep-10
0.07851
0.06713
0.10206
0.09335
0.00627
10
Oktober-2010
0.03804
0.02666
0.02913
0.02042
0.00054
11
Nov-10
-0.01121
-0.02259
-0.03242
-0.04113
0.00093
12
Des-2010
0.03631
0.02493
0.01012
0.00141
0.00004
13
Januari-2011
-0.08493
-0.09631
-0.07459
-0.08330
0.00802
14
Februari-2011
0.02051
0.00913
-0.08060
-0.08931
-0.00082
15
Maret-2011
0.04327
0.03189
0.04111
0.03240
0.00103
16
Apr-11
0.02105
0.00967
0.03386
0.02514
0.00024
17
Mei-2011
-0.00014
-0.01152
0.00239
-0.00633
0.00007
18
Juni-2011
0.01560
0.00422
-0.00414
-0.01285
-0.00005
19
Juli-2011
0.06092
0.04953
0.08538
0.07667
0.00380
20
Agustus-2011
-0.04361
-0.05500
-0.07449
-0.08320
0.00458
21
Sep-11
-0.04937
-0.06075
-0.07663
-0.08534
0.00518
22
Oktober-2011
0.06702
0.05564
0.09914
0.09043
0.00503
xxxvii
-0.02337
-0.03475
-0.03534
-0.04405
0.00153
Des-2011
0.01694
0.00556
0.03020
0.02149
0.00012
25
Januari-2012
0.02530
0.01392
0.04339
0.03468
0.00048
26
Februari-2012
0.02518
0.01380
-0.00734
-0.01605
-0.00022
27
Maret-2012
0.03100
0.01962
0.04713
0.03842
0.00075
28
Apr-12
0.00129
-0.01009
-0.01130
-0.02001
0.00020
29
Mei-2012
-0.06988
-0.08126
-0.06304
-0.07175
0.00583
30
Juni-2012
0.01629
0.00491
-0.00541
-0.01412
-0.00007
31
Juli-2012
0.05274
0.04136
0.06004
0.05133
0.00212
32
Agustus-2012
-0.01995
-0.03133
0.00111
-0.00761
0.00024
33
Sep-12
0.04758
0.03620
0.04730
0.03859
0.00140
34
Oktober-2012
0.02167
0.01029
0.04325
0.03454
0.00036
35
Nov-12
-0.01374
-0.02512
-0.03494
-0.04365
0.00110
36
Des-2012
0.00156
-0.00982
-0.01142
-0.02013
0.00020
23
Nov-11
24
∑{[Ri - E(Ri)] x [Rm-E(Rm)]}
0.06094
Covariance (Ri,Rm)
0.00169
Perhitungan : Covariance Reksa Dana Syariah Berimbang terhadap JII Cov (Ri, Rm) = ∑{[Ri - E(Ri)] x [Rm-E(Rm)]} n =
0.06094 36
=
0.00169
xxxviii
Lampiran 8 Covariance Reksa Dana Syariah Berimbang terhadap IHSG
No
Month
RD Syariah Berimbang Ri Ri - E (Ri)
Rm
IHSG Rm-E(Rm)
[Ri - E (Ri)] x [Rm-E(Rm)]
Des-2009 1
Januari-2010
0.00389
-0.00749
0.03993
0.02390
-0.00018
2
Februari-2010
0.00545
-0.00593
-0.01533
-0.03135
0.00019
3
Maret-2010
0.04417
0.03279
0.08485
0.06882
0.00226
4
Apr-10
0.07447
0.06309
0.04595
0.02992
0.00189
5
Mei-2010
-0.05909
-0.07047
-0.07275
-0.08878
0.00626
6
Juni-2010
0.00700
-0.00438
0.06612
0.05009
-0.00022
7
Juli-2010
0.03592
0.02454
0.07031
0.05428
0.00133
8
Agustus-2010
-0.00671
-0.01809
0.00089
-0.01514
0.00027
9
Sep-10
0.07851
0.06713
0.12773
0.11170
0.00750
10
Oktober-2010
0.03804
0.02666
0.04101
0.02498
0.00067
11
Nov-10
-0.01121
-0.02259
-0.00225
-0.01828
0.00041
12
Des-2010
0.03631
0.02493
0.01889
0.00286
0.00007
13
Januari-2011
-0.08493
-0.09631
-0.05720
-0.07323
0.00705
14
Februari-2011
0.02051
0.00913
-0.01264
0.04131
0.00038
15
Maret-2011
0.04327
0.03189
0.05734
0.04131
0.00132
16
Apr-11
0.02105
0.00967
0.04613
0.03010
0.00029
17
Mei-2011
-0.00014
-0.01152
0.00452
-0.01151
0.00013
18
Juni-2011
0.01560
0.00422
0.00108
-0.01495
-0.00006
19
Juli-2011
0.06092
0.04953
0.08238
0.06635
0.00329
20
Agustus-2011
-0.04361
-0.05500
-0.07271
-0.08874
0.00488
21
Sep-11
-0.04937
-0.06075
-0.07991
-0.09594
0.00583
22
Oktober-2011
0.06702
0.05564
0.08277
0.06674
0.00371
23
Nov-11
-0.02337
-0.03475
-0.03713
-0.05316
0.00185
xxxix
24
Des-2011
0.01694
0.00556
0.03281
0.01678
0.00009
25
Januari-2012
0.02530
0.01392
0.02793
0.01190
0.00017
26
Februari-2012
0.02518
0.01380
-0.00296
-0.01899
-0.00026
27
Maret-2012
0.03100
0.01962
0.05165
0.03562
0.00070
28
Apr-12
0.00129
-0.01009
0.01433
-0.00170
0.00002
29
Mei-2012
-0.06988
-0.08126
-0.05909
-0.07512
0.00610
30
Juni-2012
0.01629
0.00491
-0.00774
-0.02377
-0.00012
31
Juli-2012
0.05274
0.04136
0.05442
0.03839
0.00159
32
Agustus-2012
-0.01995
-0.03133
-0.01794
-0.03397
0.00106
33
Sep-12
0.04758
0.03620
0.04954
0.03351
0.00121
34
Oktober-2012
0.02167
0.01029
0.03304
0.01701
0.00018
35
Nov-12
-0.01374
-0.02512
-0.01043
-0.02646
0.00066
36
Des-2012
0.00156
-0.00982
-0.00862
-0.02465
0.00024
∑{[Ri - E(Ri)] x [Rm-E(Rm)]}
0.06075
Covariance (Ri,Rm)
0.00169
Perhitungan : Covariance Reksa Dana Syariah Berimbang terhadap IHSG Cov (Ri, Rm) = ∑{[Ri - E(Ri)] x [Rm-E(Rm)]} n =
0.06075 36
=
0.00169
xl
Lampiran 9
Covariance Reksa Dana JII terhadap IHSG
No
Month
JII Rmj
IHSG Rmj - E (Rmj)
Rmi
RmiE(Rmi)
[Rmj - E (Rmj)]x Rmi-E(Rmi)
Des-2009 1
Januari-2010
0.03483
0.02612
0.03993
0.02390
0.00062
2
Februari-2010
-0.02881
-0.03752
-0.01533
-0.03135
0.00118
3
Maret-2010
0.06681
0.05810
0.08485
0.06882
0.00400
4
Apr-10
0.04792
0.03921
0.04595
0.02992
0.00117
5
Mei-2010
-0.07875
-0.08746
-0.07275
-0.08878
0.00776
6
Juni-2010
0.06644
0.05773
0.06612
0.05009
0.00289
7
Juli-2010
0.05912
0.05041
0.07031
0.05428
0.00274
8
Agustus-2010
-0.01790
-0.02662
0.00089
-0.01514
0.00040
9
Sep-10
0.10206
0.09335
0.12773
0.11170
0.01043
10
Oktober-2010
0.02913
0.02042
0.04101
0.02498
0.00051
11
Nov-10
-0.03242
-0.04113
-0.00225
-0.01828
0.00075
12
Des-2010
0.01012
0.00141
0.01889
0.00286
0.00000
13
Januari-2011
-0.07459
-0.08330
-0.05720
-0.07323
0.00610
14
Februari-2011
-0.08060
-0.08931
-0.01264
0.04131
-0.00369
15
Maret-2011
0.04111
0.03240
0.05734
0.04131
0.00134
16
Apr-11
0.03386
0.02514
0.04613
0.03010
0.00076
17
Mei-2011
0.00239
-0.00633
0.00452
-0.01151
0.00007
18
Juni-2011
-0.00414
-0.01285
0.00108
-0.01495
0.00019
19
Juli-2011
0.08538
0.07667
0.08238
0.06635
0.00509
20
Agustus-2011
-0.07449
-0.08320
-0.07271
-0.08874
0.00738
xli
-0.07663
-0.08534
-0.07991
-0.09594
0.00819
0.09914
0.09043
0.08277
0.06674
0.00604
-0.03534
-0.04405
-0.03713
-0.05316
0.00234
Des-2011
0.03020
0.02149
0.03281
0.01678
0.00036
25
Januari-2012
0.04339
0.03468
0.02793
0.01190
0.00041
26
Februari-2012
-0.00734
-0.01605
-0.00296
-0.01899
0.00030
27
Maret-2012
0.04713
0.03842
0.05165
0.03562
0.00137
28
Apr-12
-0.01130
-0.02001
0.01433
-0.00170
0.00003
29
Mei-2012
-0.06304
-0.07175
-0.05909
-0.07512
0.00539
30
Juni-2012
-0.00541
-0.01412
-0.00774
-0.02377
0.00034
31
Juli-2012
0.06004
0.05133
0.05442
0.03839
0.00197
32
Agustus-2012
0.00111
-0.00761
-0.01794
-0.03397
0.00026
33
Sep-12
0.04730
0.03859
0.04954
0.03351
0.00129
34
Oktober-2012
0.04325
0.03454
0.03304
0.01701
0.00059
35
Nov-12
-0.03494
-0.04365
-0.01043
-0.02646
0.00116
36
Des-2012
-0.01142
-0.02013
-0.00862
-0.02465
0.00050
21
Sep-11
22
Oktober-2011
23
Nov-11
24
∑{[Ri - E(Ri)] x [Rm-E(Rm)]}
0.08023
Covariance (Ri,Rm)
0.00223
Perhitungan : Covariance Reksa Dana JII terhadap IHSG Cov (Rmj, Rmi) = ∑{[Rmj - E(Rmj)] x [Rmi-E(Rmi)]} n =
0.08023 36
=
0.00223 Lampiran 10
xlii
Koefisien Korelasi (ρXY), Koefisien Determinasi (R2) dan Koefisien Beta (β) A. Reksa Dana Anggrek terhadap IHSG
No
Bulan
RD Anggrek RiE(Ri)
[RiE(Ri)]2
[Ri-E(Ri)] x
IHSG RmE(Rm)
[RmE(Rm)]2
Rm-E(Rm)]
Des-2009 1
Januari-2010
0.00150
0.00000
0.02390
0.00057
0.00004
2
Februari-2010
-0.03651
0.00133
-0.03135
0.00098
0.00114
3
Maret-2010
0.06194
0.00384
0.06882
0.00474
0.00426
4
Apr-10
0.02088
0.00044
0.02992
0.00090
0.00062
5
Mei-2010
-0.06115
0.00374
-0.08878
0.00788
0.00543
6
Juni-2010
0.03527
0.00124
0.05009
0.00251
0.00177
7
Juli-2010
0.02055
0.00042
0.05428
0.00295
0.00112
8
Agustus-2010
-0.02266
0.00051
-0.01514
0.00023
0.00034
9
Sep-10
0.06924
0.00479
0.11170
0.01248
0.00773
10
Oktober-2010
0.01854
0.00034
0.02498
0.00062
0.00046
11
Nov-10
-0.05202
0.00271
-0.01828
0.00033
0.00095
12
Des-2010
0.02333
0.00054
0.00286
0.00001
0.00007
13
Januari-2011
-0.07759
0.00602
-0.07323
0.00536
0.00568
14
Februari-2011
0.00026
0.00000
0.04131
0.00171
0.00001
15
Maret-2011
0.04665
0.00218
0.04131
0.00171
0.00193
16
Apr-11
0.02209
0.00049
0.03010
0.00091
0.00066
17
Mei-2011
-0.00745
0.00006
-0.01151
0.00013
0.00009
18
Juni-2011
0.00952
0.00009
-0.01495
0.00022
-0.00014
19
Juli-2011
0.03464
0.00120
0.06635
0.00440
0.00230
20
Agustus-2011
-0.03491
0.00122
-0.08874
0.00787
0.00310
21
Sep-11
-0.05508
0.00303
-0.09594
0.00920
0.00528
xliii
0.03532
0.00125
0.06674
0.00445
0.00236
-0.01580
0.00025
-0.05316
0.00283
0.00084
Des-2011
0.02206
0.00049
0.01678
0.00028
0.00037
25
Januari-2012
0.00982
0.00010
0.01190
0.00014
0.00012
26
Februari-2012
-0.01305
0.00017
-0.01899
0.00036
0.00025
27
Maret-2012
0.01270
0.00016
0.03562
0.00127
0.00045
28
Apr-12
-0.02179
0.00047
-0.00170
0.00000
0.00004
29
Mei-2012
-0.04946
0.00245
-0.07512
0.00564
0.00372
30
Juni-2012
0.00416
0.00002
-0.02377
0.00057
-0.00010
31
Juli-2012
0.02019
0.00041
0.03839
0.00147
0.00078
32
Agustus-2012
-0.02825
0.00080
-0.03397
0.00115
0.00096
33
Sep-12
0.03157
0.00100
0.03351
0.00112
0.00106
34
Oktober-2012
0.00898
0.00008
0.01701
0.00029
0.00015
35
Nov-12
-0.03618
0.00131
-0.02646
0.00070
0.00096
36
Des-2012
0.00267
0.00001
-0.02465
0.00061
-0.00007
22
Oktober-2011
23
Nov-11
24
Perhitungan:
0.04315
0.08661
Var(Ri)
0.00120 Var(Rm)
0.00241
σi
0.03464 σm
0.04909
[Ri-E(Rm)] x Rm-E(Rm)]
0.05472
Covariance (Ri,Rm)
0.00152
ρXY RDAN-IHSG
0.89388
R2=(ρXY)
0.79901
β
0.63183
xliv
1. Koefisien Korelasi (ρXY) RDAN terhadap IHSG ρ i,m =
Cov (Ri,Rm)
3. Koefisien Beta (β) β = Cov (Ri,Rm)
σi . σm =
0.00152 (0.03464 x 0.04909)
=
0.89388
1. Koefisien Determinasi (R2) R2 = (ρ i,m)2 = (0.89388)2
= 0.79901
Var (Rm) =
0.00152 0.00241
= 0.63183
xlv
B. Reksa Dana Syariah Berimbang terhadap IHSG
No
Bulan
RD Syariah Berimbang [RiRiE(Rm)]2 E(Ri)
IHSG
[Ri-E(Rm)] x
RmE(Rm)
[RmRm-E(Rm)] 2 E(Rm)]
Des-2009 1
Januari-2010
-0.00749
0.00006
0.02390
0.00057
-0.00018
2
Februari-2010
-0.00593
0.00004 -0.03135
0.00098
0.00019
3
Maret-2010
0.03279
0.00108
0.06882
0.00474
0.00226
4
Apr-10
0.06309
0.00398
0.02992
0.00090
0.00189
5
Mei-2010
-0.07047
0.00497 -0.08878
0.00788
0.00626
6
Juni-2010
-0.00438
0.00002
0.05009
0.00251
-0.00022
7
Juli-2010
0.02454
0.00060
0.05428
0.00295
0.00133
8
Agustus-2010
0.00033 -0.01514
0.00023
0.00027
9
Sep-10
0.06713
0.00451
0.11170
0.01248
0.00750
10
Oktober-2010
0.02666
0.00071
0.02498
0.00062
0.00067
11
Nov-10
0.00051 -0.01828
0.00033
0.00041
12
Des-2010
0.00062
0.00286
0.00001
0.00007
13
Januari-2011
-0.09631
0.00928 -0.07323
0.00536
0.00705
14
Februari-2011
0.00913
0.00008
0.04131
0.00171
0.00038
15
Maret-2011
0.03189
0.00102
0.04131
0.00171
0.00132
16
Apr-11
0.00967
0.00009
0.03010
0.00091
0.00029
17
Mei-2011
-0.01152
0.00013 -0.01151
0.00013
0.00013
18
Juni-2011
0.00422
0.00002 -0.01495
0.00022
-0.00006
19
Juli-2011
0.04953
0.00245
0.06635
0.00440
0.00329
20
Agustus-2011
-0.05500
0.00303 -0.08874
0.00787
0.00488
21
Sep-11
-0.06075
0.00369 -0.09594
0.00920
0.00583
22
Oktober-2011
0.00310
0.00445
0.00371
-0.01809
-0.02259 0.02493
0.05564
0.06674
xlvi
0.00121 -0.05316
0.00283
0.00185
0.00556
0.00003
0.01678
0.00028
0.00009
Januari-2012
0.01392
0.00019
0.01190
0.00014
0.00017
26
Februari-2012
0.01380
0.00019 -0.01899
0.00036
-0.00026
27
Maret-2012
0.01962
0.00038
0.03562
0.00127
0.00070
28
Apr-12
-0.01009
0.00010 -0.00170
0.00000
0.00002
29
Mei-2012
-0.08126
0.00660 -0.07512
0.00564
0.00610
30
Juni-2012
0.00491
0.00002 -0.02377
0.00057
-0.00012
31
Juli-2012
0.04136
0.00171
0.03839
0.00147
0.00159
32
Agustus-2012
0.00098 -0.03397
0.00115
0.00106
33
Sep-12
0.03620
0.00131
0.03351
0.00112
0.00121
34
Oktober-2012
0.01029
0.00011
0.01701
0.00029
0.00018
35
Nov-12
-0.02512
0.00063 -0.02646
0.00070
0.00066
36
Des-2012
-0.00982
0.00010 -0.02465
0.00061
0.00024
0.05387
0.08661
Var(Ri)
0.00150 Var(Rm)
0.00241
σi
0.03872 σm
0.04909
23
Nov-11
-0.03475
24
Des-2011
25
-0.03133
[Ri-E(Rm)] x Rm-E(Rm)]
0.06075
Covariance (Ri,Rm)
0.00169
ρXY RDSB-IHSG
0.88786
R2=(ρXY)
0.78829
β
0.70150
Perhitungan : 1. Koefisien Korelasi (ρXY) RDSB terhadap IHSG ρ i,m =
Cov (Ri,Rm) σi . σm
3. Koefisien Beta (β) β = Cov (Ri,Rm) Var (Rm)
xlvii
=
0.00169
= 0.00169
(0.03872 x 0.04909) =
0.88786
2. Koefisien Determinasi (R2) R2 = (ρ i,m)2 = (0.88786)2
= 0.78829
0.00241 =
0.70150
xlviii
C. Reksa Dana Syariah Berimbang terhadap JII
No
Month
RD Syariah Berimbang [RiRiE(Rm)]2 E(Ri)
[Ri-E(Rm)] x
JII RmE(Rm)
[RmE(Rm)]2
Rm-E(Rm)]
Des-2009 1
Januari-2010
-0.00749
0.00006
0.02612
0.00068
-0.00020
2
Februari-2010
-0.00593
0.00004 -0.03752
0.00141
0.00022
3
Maret-2010
0.03279
0.00108
0.05810
0.00338
0.00191
4
Apr-10
0.06309
0.00398
0.03921
0.00154
0.00247
5
Mei-2010
-0.07047
0.00497 -0.08746
0.00765
0.00616
6
Juni-2010
-0.00438
0.00002
0.05773
0.00333
-0.00025
7
Juli-2010
0.02454
0.00060
0.05041
0.00254
0.00124
8
Agustus-2010
0.00033 -0.02662
0.00071
0.00048
9
Sep-10
0.06713
0.00451
0.09335
0.00871
0.00627
10
Oktober-2010
0.02666
0.00071
0.02042
0.00042
0.00054
11
Nov-10
0.00051 -0.04113
0.00169
0.00093
12
Desember-2010
0.00062
0.00141
0.00000
0.00004
13
Januari-2011
-0.09631
0.00928 -0.08330
0.00694
0.00802
14
Februari-2011
0.00913
0.00008 -0.08931
0.00798
-0.00082
15
Maret-2011
0.03189
0.00102
0.03240
0.00105
0.00103
16
Apr-11
0.00967
0.00009
0.02514
0.00063
0.00024
17
Mei-2011
-0.01152
0.00013 -0.00633
0.00004
0.00007
18
Juni-2011
0.00422
0.00002 -0.01285
0.00017
-0.00005
19
Juli-2011
0.04953
0.00245
0.07667
0.00588
0.00380
20
Agustus-2011
-0.05500
0.00303 -0.08320
0.00692
0.00458
21
Sep-11
-0.06075
0.00369 -0.08534
0.00728
0.00518
22
Oktober-2011
0.00310
0.00818
0.00503
-0.01809
-0.02259 0.02493
0.05564
0.09043
xlix
0.00121 -0.04405
0.00194
0.00153
0.00556
0.00003
0.02149
0.00046
0.00012
Januari-2012
0.01392
0.00019
0.03468
0.00120
0.00048
26
Februari-2012
0.01380
0.00019 -0.01605
0.00026
-0.00022
27
Maret-2012
0.01962
0.00038
0.03842
0.00148
0.00075
28
Apr-12
-0.01009
0.00010 -0.02001
0.00040
0.00020
29
Mei-2012
-0.08126
0.00660 -0.07175
0.00515
0.00583
30
Juni-2012
0.00491
0.00002 -0.01412
0.00020
-0.00007
31
Juli-2012
0.04136
0.00171
0.05133
0.00263
0.00212
32
Agustus-2012
0.00098 -0.00761
0.00006
0.00024
33
Sep-12
0.03620
0.00131
0.03859
0.00149
0.00140
34
Oktober-2012
0.01029
0.00011
0.03454
0.00119
0.00036
35
Nov-12
-0.02512
0.00063 -0.04365
0.00191
0.00110
36
Desember-2012
-0.00982
0.00010 -0.02013
0.00041
0.00020
0.05387
0.09589
Var(Ri)
0.00150 Var(Rm)
0.00266
σi
0.03872 σm
0.05157
23
Nov-11
-0.03475
24
Desember-2011
25
-0.03133
[Ri-E(Rm)] x Rm-E(Rm)]
0.06094
Covariance (Ri,Rm)
0.00169
ρXY RDSB-JII
0.84771
R2=(ρXY)
0.71861
β
0.63546
Perhitungan :
1. Koefisien Korelasi (ρXY) RDSB terhadap JII ρ i,m =
Cov (Ri,Rm) σi . σm
3. Koefisien Beta (β) β = Cov (Ri,Rm) Var (Rm)
l
=
0.00169 (0.03872 x 0.05157)
=
0.84771
2. Koefisien Determinasi (R2) R2 = (ρ i,m)2 = (0.84771)2
= 0.71861
= 0.00169 0.00266 = 0.63546
li
D. JII terhadap IHSG
No
Bulan
JII Rmj E(Rmj)
IHSG [RmjE(Rmj)]2
RmiE(Rmi)
[Rmj - E(Rmj)] x
[RmiE(Rmi)]2
[Rmi-E(Rmi)]
Des-2009 1
Januari-2010
0.02612
0.00068
0.02390
0.00057
0.00062
2
Februari-2010
-0.03752
0.00141
-0.03135
0.00098
0.00118
3
Maret-2010
0.05810
0.00338
0.06882
0.00474
0.00400
4
Apr-10
0.03921
0.00154
0.02992
0.00090
0.00117
5
Mei-2010
-0.08746
0.00765
-0.08878
0.00788
0.00776
6
Juni-2010
0.05773
0.00333
0.05009
0.00251
0.00289
7
Juli-2010
0.05041
0.00254
0.05428
0.00295
0.00274
8
Agustus-2010
-0.02662
0.00071
-0.01514
0.00023
0.00040
9
Sep-10
0.09335
0.00871
0.11170
0.01248
0.01043
10
Oktober-2010
0.02042
0.00042
0.02498
0.00062
0.00051
11
Nov-10
-0.04113
0.00169
-0.01828
0.00033
0.00075
12
Des-2010
0.00141
0.00000
0.00286
0.00001
0.00000
13
Januari-2011
-0.08330
0.00694
-0.07323
0.00536
0.00610
14
Februari-2011
-0.08931
0.00798
0.04131
0.00171
-0.00369
15
Maret-2011
0.03240
0.00105
0.04131
0.00171
0.00134
16
Apr-11
0.02514
0.00063
0.03010
0.00091
0.00076
17
Mei-2011
-0.00633
0.00004
-0.01151
0.00013
0.00007
18
Juni-2011
-0.01285
0.00017
-0.01495
0.00022
0.00019
19
Juli-2011
0.07667
0.00588
0.06635
0.00440
0.00509
20
Agustus-2011
-0.08320
0.00692
-0.08874
0.00787
0.00738
21
Sep-11
-0.08534
0.00728
-0.09594
0.00920
0.00819
22
Oktober-2011
0.09043
0.00818
0.06674
0.00445
0.00604
lii
-0.04405
0.00194
-0.05316
0.00283
0.00234
Des-2011
0.02149
0.00046
0.01678
0.00028
0.00036
25
Januari-2012
0.03468
0.00120
0.01190
0.00014
0.00041
26
Februari-2012
-0.01605
0.00026
-0.01899
0.00036
0.00030
27
Maret-2012
0.03842
0.00148
0.03562
0.00127
0.00137
28
Apr-12
-0.02001
0.00040
-0.00170
0.00000
0.00003
29
Mei-2012
-0.07175
0.00515
-0.07512
0.00564
0.00539
30
Juni-2012
-0.01412
0.00020
-0.02377
0.00057
0.00034
31
Juli-2012
0.05133
0.00263
0.03839
0.00147
0.00197
32
Agustus-2012
-0.00761
0.00006
-0.03397
0.00115
0.00026
33
Sep-12
0.03859
0.00149
0.03351
0.00112
0.00129
34
Oktober-2012
0.03454
0.00119
0.01701
0.00029
0.00059
35
Nov-12
-0.04365
0.00191
-0.02646
0.00070
0.00116
36
Des-2012
-0.02013
0.00041
-0.02465
0.00061
0.00050
23
Nov-11
24
0.09589
0.08661
Var(Rmj)
0.00266 Var(Rmi)
0.00241
σi
0.05157 σm
0.04909
[Ri-E(Rm)] x Rm-E(Rm)]
0.08023
Covariance (Ri,Rm)
0.00223
ρXY JII-IHSG
0.88036
R2=(ρXY)
0.77503
β
0.92641
Perhitungan : 3. Koefisien Korelasi (ρXY) JII terhadap IHSG ρ i,m =
Cov (Ri,Rm) σi . σm
3. Koefisien Beta (β) β = Cov (Ri,Rm) Var (Rm)
liii
=
0.00223 (0.05157 x 0.04909)
=
0.88036
4. Koefisien Determinasi (R2) R2 = (ρ i,m)2 = (0.88036)2
= 0.77503
= 0.00223 0.00241 = 0.92641
liv
Lampiran 11 Pendapatan Bebas Risiko Sertifikat Wadiah Bank Indonesia (SWBI) / Sertifikat Bank Indonesia Syariah (SBIS) dan Suku Bunga Domestik Deposito Berjangka (3bulan)
No
Bulan
SBIS Per Bulan 0.00411
Bunga Deposito 3 Bulan Per Tahun Per Bulan 0.09170 0.00764
1 Januari-2010
Per Tahun 0.04936
2 Februari-2010
0.03926
0.00327
0.08780
0.00732
3 Maret-2010
0.02814
0.00235
0.08440
0.00703
4 Apr-10
0.03431
0.00286
0.08230
0.00686
5 Mei-2010
0.01842
0.00154
0.07980
0.00665
6 Juni-2010
0.01734
0.00145
0.07760
0.00647
7 Juli-2010
0.01866
0.00156
0.07570
0.00631
8 Agustus-2010
0.02058
0.00172
0.07360
0.00613
9 Sep-10
9.06000
0.00176
0.07280
0.00607
10 Oktober-2010
0.02131
0.00178
0.07284
0.00607
11 Nov-10
0.01939
0.00162
0.07290
0.00608
12 Desember-2010
0.01891
0.00158
0.07330
0.00611
13 Januari-2011
0.03955
0.00330
0.07310
0.00609
14 Februari-2011
0.03991
0.00333
0.07230
0.00603
15 Maret-2011
0.04051
0.00338
0.07010
0.00584
16 Apr-11
0.04441
0.00370
0.06880
0.00573
17 Mei-2011
0.03925
0.00327
0.06890
0.00574
18 Juni-2011
0.03650
0.00304
0.06960
0.00580
19 Juli-2011
0.01925
0.00160
0.07390
0.00616
20 Agustus-2011
0.02183
0.00182
0.07840
0.00653
lv
21 Sep-11
0.02387
0.00199
0.09000
0.00750
22 Oktober-2011
0.03089
0.00257
0.09740
0.00812
23 Nov-11
0.03773
0.00314
0.10250
0.00854
24 Desember-2011
0.04171
0.00348
0.10470
0.00873
25 Januari-2012
0.04559
0.00380
0.10530
0.00878
26 Februari-2012
0.04567
0.00381
0.10320
0.00860
27 Maret-2012
0.04280
0.00357
0.09960
0.00830
28 Apr-12
0.03786
0.00316
0.09770
0.00814
29 Mei-2012
0.03792
0.00316
0.09650
0.00804
30 Juni-2012
0.03786
0.00316
0.09390
0.00783
31 Juli-2012
0.03194
0.00266
0.09150
0.00763
32 Agustus-2012
0.02846
0.00237
0.08950
0.00746
33 Sep-12
0.02994
0.00250
0.08490
0.00708
34 Oktober-2012
0.02858
0.00238
0.07940
0.00662
35 Nov-12
0.03316
0.00276
0.07560
0.00630
36 Desember-2012
0.04146
0.00346
0.07170
0.00598
∑Rf
0.09701
0.25031
0.00269
0.00695
Rata-rata Rf per bulan
Perhitungan: 1. Rata-rata Rf SWBI/SBIS α(Rf) =
∑ Rf n
=
0.09701 36
=
0.00269
lvi
2. Rata – rata Rf Suku Bunga Deposito 3 Bulan
α(Rf) =
∑ Rf
n
=
0.25031 36
=
0.00695
lvii
Lampiran 12
Kinerja Risk Adjust Performance
A. Metode Indeks Sharpe (Si) No
Analisa
RDAN
RDSB
IHSG
JII
1 Total Return (∑R)
0.32021
0.40606
0.57692
0.31360
2 Return Rata - rata [E(R)]
0.00889
0.01128
0.01603
0.00871
3 Standar Deviasi (σ)
0.03463
0.03870
0.04905
0.05161
4 Bunga Deposito 3 Bulan (Rf)
0.00695
5 SWBI/SBIS (Rf)
0.00695 0.00269
0.00269
Rumus :
Si
=
Ri – Rf σi
Perhitungan: 1). Indeks Sharpe Reksa Dana Anggrek
2). Indeks Sharpe RD Syariah
Berimbang Si Anggrek = 0.00889 - 0.00695 0.03463 = 0.056020791
Si RDSB = 0.01128 - 0.00269 0.03870 = 0.221963824
lviii
3). Indeks Sharpe IHSG
4). Indeks Sharpe JII
Si IHSG
Si JII
= 0.01603 - 0.00695 0.04905 = 0.185117227
= 0.00871- 0.00269 0.05161 = 0.116644061
lix
B. Metode Indeks Treynor (Ti) Analisa
RDAN
RDSB
IHSG
1 Total Return (∑R)
0.32021
0.40606
0.57692
0.31360
2 Return Rata - rata [E(R)]
0.00889
0.01128
0.01603
0.00871
3 Beta (β) Multiple Benchmark
0.63183
0.63546
No
4 Beta (β) Single Benchmark
0.70150
5 Bunga Deposito 3 Bulan (Rf)
0.00695
6 SWBI/SBIS (Rf)
JII
1 1
-
0.00695 0.00269
0.00269
Rumus: Ti = Ri – Rf βi
Perhitungan : 1) Indeks Treynor RDSB Single Benchmark Ti RDSB = 0.01128 - 0.00269 0.70150
= 0.012245188 3) Indeks Treynor RD Anggrek
2) Indeks Treynor RDSB Multiple Benchmark Ti RDSB = 0.01128 - 0.00269 0.63546
= 0.019269802 4). Indeks Treynor RD Anggrek
lx
Single Benchmark Ti RDAN = 0.00889 - 0.00695
Multiple Benchmark Ti RDAN = 0.00889 - 0.00695
0.63183
0.63183
= 0.003070446164
= 0.003070446164
5) Indeks Treynor IHSG Single & Multiple Benchmark Ti IHSG = 0.01603 - 0.00695
6). Indeks Treynor JII Multiple Benchmark Ti JII = 0.00871 - 0.00269
1 = 0.00908
1 = 0.00602
lxi
C. Metode Indeks Jensen (Ji) Analisa
RDAN
RDSB
IHSG
1 Total Return (∑R)
0.32021
0.40606
0.57692
0.31360
2 Return Rata - rata [E(R)]
0.00889
0.01128
0.01603
0.00871
3 Beta (β) Multiple Benchmark
0.63183
0.63546
No
4 Beta (β) Single Benchmark 5 Bunga Deposito 3 Bulan (Rf) 6 SWBI/SBIS (Rf)
0.70150 0.00695
1 1
-
0.00695 0.00269
Rumus: Ji = (Ri-Rf) – β i (Rm – Rf)
Perhitungan: 1) Indeks Jensen RDSB Single Benchmark
Ji RDSB = (0.01128-0.00269) - 0.70150 x (0.01603 - 0.00695) = (-0.00859) - 0.70150 x (-0.00908) = -0.0064476
2) Indeks Jensen RDSB Multiple Benchmark
Ji RDSB = (0.01128-0.00269) - 0.63546 x (0.00871- 0.00269) = (-0.00859) - 0.63546 x (-0.00602) = -0.003877
JII
0.00269
lxii
3) Indeks Jensen RDAN Single & Multiple Benchmark
Ji RDAN = (0.00889 - 0.00695) - 0.63183 x (0.01603 - 0.00695)
= (-0.00194) - 0.63183 x (-0.00908) = -0.005746
