Pengaruh Risiko yang Diukur dengan Metode Value at Risk (VaR) Terhadap Imbal Hasil Reksadana Saham di Panin Dana Maksima

Abstract

This study aims to determine and analyze the influence of Value at Risk (VaR) of the past on the return of mutual funds in stock funds maxima. This type of research is descriptive research and the type of data used is quantitative data. Data obtained from the publication of cash website, Bapepam-LK, reference book, and scientific literature related to the research topic. This method of analysis uses descriptive analysis and VaR measurement techniques. The results showed that the influence of past VaR on the yield had significant effect until the period t-2. The effect of VaR on stock equity rents is so low that it is not enough to just use VaR to predict mutual fund yields. The values of R-squared and adjusted R-squared VaR yields are 0.997931 and 0.997895 and have positive coefficients. This value is so large that investors are willing to invest in the company because of the high received returns.