ANALISIS KEMAMPUAN STOCK SELECTION DAN MARKET TIMING MANAJER INVESTASI REKSA DANA DI INDONESIA

Yoeniarti Shara, Prof. Eduardus Tandelilin, M.B.A., Ph.D

2016 | Tesis | S2 Manajemen

Kinerja reksa dana bergantung pada perekonomian baik nasional maupun internasional, yang menyebabkan para investor harus berhati-hati dalam berinvestasi pada reksa dana. Salah satu hal yang dipertimbangkan dalam berinvestasi reksa dana adalah kompetensi untuk mengelola reksa dana, yaitu kemampuan stock selection dan market timing. Kemampuan stock selection dibutuhkan manajer investasi untuk membentuk portofolio yang menghasilkan return tinggi pada masa yang akan datang. Kemampuan market timing digunakan untuk mengambil kebijakan dalam membentuk portofolio aset pada waktu yang tepat. Penelitian ini bertujuan untuk melakukan evaluasi kinerja reksa dana saham dan menguji kemampuan stock selection dan market timing manajer investasi reksa dana saham di Indonesia pada periode pengamatan dari tahun 2011 hingga 2015. Evaluasi kinerja reksa dana saham menggunakan metode risk-adjusted return yaitu Treynor Ratio, Sharpe Ratio, dan Jensen’s Alpha. Pengujian kemampuan stock selection dan market timing menggunakan pemodelan Henrikson Merton. Hasil penelitian ini mengindikasikan bahwa hampir seluruh kinerja reksa dana saham tidak dapat mengungguli kinerja Indeks Harga Saham Gabungan (IHSG) selama periode pengamatan. Hasil pengujian kemampuan stock selection, baik secara agregat maupun parsial mengindikasikan bahwa manajer investasi reksa dana saham di Indonesia tidak memiliki kemampuan stock selection selama tahun 2011 hingga 2015. Hasil pengujian kemampuan market timing secara agregat mengindikasikan bahwa manajer investasi reksa dana saham di Indonesia memiliki kemampuan market timing selama tahun 2011 hingga 2015, sedangkan hasil pengujian secara parsial mengindikasikan bahwa kemampuan market timing terlihat pada empat reksa dana saham, yaitu First State Indoequity Value Select Fund, Reksa Dana Emco Growth Fund, Reksa Dana Lautandhana Equity Progresif, dan Rencana Cerdas.

Mutual Fund performance depends on the national and international economy that makes investors to be cautious in investing in mutual funds. One thing to consider in investing on mutual funds is the competence to manage mutual funds that can describe in two indicators, stock selection ability and market timing ability. Stock selection ability is needed by investment managers to form a portfolio that generates high returns in the future. While the market timing ability is needed to make a good decision in shaping the portfolio of assets at the right time. This research aims to evaluate the performance of equity mutual fund and testing of stock selection and market timing of equity mutual fund by investment managers in Indonesia in the period of observation from 2011 to 2015. The performance evaluation of equity mutual fund uses the risk-adjusted return ratio that is Treynor Ratio, Sharpe ratio, and Jensen's Alpha. Furthermore, Henrikson Merton model is use to evaluate the ability of stock selection and market timing. The results of this research indicate that most of equity mutual funds performance can’t outperform Indonesia Composite Index (known as IDX Composite) during the observation period. Furthermore, the results of stock selection ability test (both in aggregate or partial) indicates that the investment manager of equity mutual fund in Indonesia do not have the ability to do stock selection during the years 2011 to 2015. In the other hand, the results of market timing ability test in aggregate indicates that the investment manager of equity mutual funds in Indonesia has the ability to decide market timing during 2011 to 2015, while the partial test results indicate that the ability of market timing seen in four equity mutual funds that First State Indoequity Value Select fund, Emco Growth fund, Equity Lautandhana Progressive and Rencana Cerdas.

Kata Kunci : Kinerja Reksa Dana Saham, Treynor Ratio, Sharpe Ratio, Jensen’s Alpha, Stock Selection, Market Timing, Henrikson Merton