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ANALISIS KINERJA REKSADANA BERDASARKAN KEMAMPUAN MARKET TIMING DAN STOCK SELECTION MANAJER INVESTASI PADA PERIODE JANUARI 2008 – DESEMBER 2015

MAHENDRA ZHIMAWAN GI, Kusdhianto Setiawan, Sivilekonom., Ph.D.

2017 | Tesis | S2 Manajemen

INTISARI Reksadana mengalami pertumbuhan secara signifikan selama beberapa tahun belakangan ini. Dari seluruh reksadana yang ada, reksadana saham menjadi yang paling diminati masyarakat dengan prosentase NAB 38.22% dari total seluruh NAB yang ada dan jumlah reksadana saham yang aktif adalah 218. Reksadana saham paling diminati karena dapat memberikan potensi pertumbuhan nilai investasi yang besar bagi investor. Banyaknya pilihan reksadana saham yang ada membuat investor bimbang dalam memutuskan reksadana mana yang tepat untuk dibeli. Mengatasi hal ini investor perlu melakukan analisa kinerja dari reksadana agar bisa dengan tepat memilih reksadana untuk berinvestasi. Penelitian ini akan mengevaluasi kinerja dari reksadana saham yang berkenaan dengan kemampuan market timing dan stock selection dari manajer investasi serta pengaruh dana kelolaan terhadap kinerja reksadana secara keseluruhan. Pengukuran market timing menggunakan cara pola characteristic line dan Treynor-Mazuy model yaitu quadratic regression. Kemampuan Stock selection diukur menggunakan Fama Net Selectivity, sedangkan Fund Size diukur dengan melakukan cross-sectionally regression antara pengukur kinerja Sharpe Ratio dengan dana kelolaan yang telah dikelompokkan secara decile. Penelitian ini menggunakan sampel 36 reksadana yang masuk ke dalam golongan reksadana saham yang terdaftar di OJK. Periode penelitian adalah mulai dari Januari 2008 s.d Desember 2015. Basis penelitian adalah menggunakan return harian sehingga terdapat 1.941 periode pengamatan untuk masing-masing reksadana. Sebagai tolok ukur, return aktiva bebas resiko menggunakan data Obligasi Ritel Indonesia (ORI) dan return pasar diwakili oleh Indeks Harga Saham Gabungan (IHSG). Berdasarkan hasil penelitian ini dapat disimpulkan bahwa mayoritas rerata return reksadana dapat lebih besar daripada rerata return pasar dikarenakan manajer investasi memiliki kemampuan stock selection bukan karena adanya kemampuan market timing, hanya GMT Dana Ekuitas dan Manulife Saham Andalan yang secara signifikan mempunyai kemampuan market timing dan stock selection secara bersamaan. Semakin besar asset yang dikelola oleh manajer investasi dalam suatu reksadana maka akan semakin baik kinerja dari reksadana yang dikelola manajer investasi tersebut. Katakunci: Kinerja,Reksadana, Market Timing, Stock Selection, Fund Size

ABSTRACT Mutual funds have been the fast growing industry over the past few years. From the entire existing mutual funds, equity mutual fund became the most popular in the community with a percentage of NAV 38.22% from the total existing NAV with 218 active schemes . Equity mutual fund become the most desirable because it can provide the potential investment growth for investors. Larger existing number of equity mutual fund made investors confused in deciding which fund is right for purchase. Overcoming this problem investors need to analyze the performance of mutual funds in order to choose mutual funds appropriately for investing. This study will evaluate the performance of equity mutual fund with respect to the ability of market timing and stock selection of investment managers as well as the effect of asset under management on the performance of mutual funds. Measurement of market timing using characteristic line pattern and Treynor-Mazuy models. Stock selection capability is measured using Fama Net Selectivity, while the Fund Size measured by cross-sectionally regression between Sharpe Ratio performance measurement with funds under management that have been grouped by decile. This study used a sample of 36 mutual funds into the class of mutual fund shares listed on the OJK. The study period was from January 2008 until December 2015. Basis of research is using daily return so that there are 1,941 observation period for each mutual fund. As a benchmark, the return of risk-free assets used data Indonesian Retail Bonds (ORI) and the market return is represented by the Composite Stock Price Index (IHSG). Based on these study results it can be concluded that the majority of mutual funds average return can be greater than the average market return because investment managers have the ability to stock selection and not for their ability to market timing, only GMT Dana Ekuitas dan Manulife Saham Andalan are significantly has the ability to market timing and stock selection simultaneously. The greater the assets managed by an investment manager in a mutual fund, the better the performance of mutual fund managed by the investment manager. Keyword: Performance, Mutual Fund, Market Timing, Stock Selection, Fund Size

Kata Kunci : Kinerja,Reksadana, Market Timing, Stock Selection, Fund Size