Dua reksa dana saham — geser return, risiko total (σ), & risiko sistematis (β)
RD Saham "BEI Andalan"
Return (Rᴬ)
14,0%
Volatilitas (σᴬ)
20,0%
Beta (βᴬ)
1,40
RD Campuran "Bijak Sejahtera"
Return (Rᴮ)
9,0%
Volatilitas (σᴮ)
8,0%
Beta (βᴮ)
0,50
Asumsi tetap: return bebas risiko (SUN 10 th) R_f = 6,0% · return pasar (IHSG) R_m = 12,0%.
Sharpe
–
vs
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Treynor
–
vs
–
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Jensen α
–
vs
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