Alternatif Pengukuran Return dan Manfaatnya

The main objective of any investments is return. Investors, in general, expect thereturn on their investments to be positive, and high enough to compensate for the periodicinflation; or else, the investor’s total wealth will decline. When inflation is taken intoaccount, we have the term real return. For one-year period with no addition or withdrawal ofinvestment, there is only one single measure of return and the calculation is straight forward.However, there are more than one return measure for multiple periods especially wheninvolving some addition or withdrawal. We can use time-weighted return (arithmetic orgeometric) or money-weighted return (rough or accurate measure). When risk is considered,there is still another measure, called risk-adjusted return. Sharpe’s, Treynor’s, and Roy’sratios can be used for this purpose. To identify a portfolio with abnormal return, Jensenintroduced alpha measure. Alpha Jensen was then modified by Treynor - Mazuy andHenriksson – Merton to separate the stock selection capability from market timing capabilityof a fund manager. Overall, there are various return measures and they can be used fordifferent purposes.