ANALISIS KEPUTUSAN INVESTASI DAN PENILAIAN KINERJA REKSADANA SAHAM: BERDASARKAN METODE SHARPE, TREYNOR DAN JENSEN SERTA CARA BERINVESTASI (LUMP SUM DAN DOLLAR COST AVERAGING) . .

DYAH SWASTI, performance of mutual funds, Sharpe, Treynor and jensen's, investment strategy

2017 | Tesis | S2 MANAJEMEN (MM) JAKARTA

Sebelum seorang investor memutuskan untuk berinvestasi dalam Reksadana, pengukuran kinerja Reksadana penting dilakukan karena bertujuan untuk melihat tingkat return dan tingkat risiko yang dihasilkan oleh portfolio tersebut. Berdasarkan teori pasar modal, beberapa ukuran kinerja portfolio sudah memasukkan faktor return dan risiko dalam perhitungannya, seperti indeks Sharpe, indeks Treynor dan indeks Jensen. Selain itu, dalam hal menghadapi kondisi yang dinamis dan selalu berubah yang menyebabkan volatilitas yang tinggi dan ketidakpastian dalam return investasi maka seorang investor perlu menetapkan strategi investasi yang tepat agar dapat diterapkan dalam kondisi tersebut. Strategi investasi yang umum digunakan adalah Lump sum dan Dollar Cost Averaging. Penulis melakukan penelitian terhadap 68 reksadana saham pada periode 1 Januari 2013 s.d 30 November 2016. Penelitian ini bertujuan untuk menempatkan reksadana saham berdasarkan kinerja yang diukur menggunakan metode Sharpe, Treynor dan Jensen Alpha. Kinerja reksadana yang berada diatas kinerja pasar dinyatakan sebagai reksadana yang outperform dan dinyatakan underperform jika kinerja reksadana dibawah kinerja pasar. Selanjutnya, dibuat peringkat kinerja reksadana saham dimulai dari kinerja yang terbaik sampai dengan yang terburuk untuk menguji ada atau tidaknya konsistensi kinerja reksadana saham dengan menggunakan uji konkordansi Kendall's W. Kemudian dilanjutkan pengujian perbedaan tingkat return dan risiko dari strategi investasi lumpsum dan dollar cost averaging dengan menggunakan uji t-test two independent sample. Terakhir, dilakukan uji regresi untuk mengetahui pengaruh jumlah dana kelolaan terhadap kinerja reksadana. Dari hasil penelitian, reksadana saham yang memiliki kinerja outperform menurut metode Sharpe adalah 41,18%, 39,71% menurut metode Treynor dan 33,82% menurut metode Jensen's. Atas uji konsistensi korkonkordansi Kendall's W diperoleh nilai koefisien Kendall's W adalah 0,000. Maka disimpulkan bahwa tidak terdapat konsistensi kinerja reksadana saham dengan menggunakan metode Sharpe, Treynor dan Jensen's, dimana 0,000<0,500. Atas uji t-two independent sample diperoleh nilai sig. 0,000 (0,000 <0,05), maka disimpulkan bahwa terdapat perbedaan tingkat return antara strategi investasi Lump Sum dengan Dollar Cost Averaging. Atas hasil uji regresi diperoleh nilai sig. adalah 0,000 (0,000 <0,05), sehingga dapat disimpulkan bahwa jumlah dana kelolaan reksadana berpengaruh positif terhadap peringkat kinerja reksadana.

Before an investor decides to invest in mutual funds, mutual fund performance measurement is important because it aims to look at the level of return and level of risk generated by the portfolio. Based on the theory of capital markets, some of performance measurement already have included portfolio return and risk factors into account, such as the Sharpe index, Treynor index and Jensen index. Moreover, in a dynamic and ever-changing that lead to high volatility and uncertainty in the investment return, an investor needs to establish appropriate investment strategy to be applied in such circumstances. The investment strategy commonly used are Lump sum and Dollar Cost Averaging. The author conducted a study of 68 mutual fund shares in the period from January 1, 2013 to November 30, 2016. This study aims to put mutual fund shares based on performance measured using the method of Sharpe, Treynor and Jensen's. Performance of mutual funds that are above the market performance expressed as mutual funds that outperform and underperform if the performance of mutual funds declared under market performance. Furthermore, ranked the performance of mutual fund shares starting from the best performance to the worst to test whether or not the consistency of the performance of mutual fund shares by using test concordance of Kendall's W. Then continued test of the different levels of risk and return on investment strategies lumpsum and dollar cost averaging using t-test two independent sample. Lastly, do regression testing to determine the effect of the amount of funds under management on the performance of mutual funds. From the research, mutual funds outperform stocks have performed according to the method Sharpe was 41.18%, 39.71% according to the methods of 33.82% according to the Treynor and Jensen's method. Concordances consistency test on Kendall's W coefficient values obtained Kendall's W is 0.000 (0.000<0,500). It was concluded that there is no consistency of performance of mutual fund using the measurement method of Sharpe, Treynor and Jensen's, where 0.000 < 0.500. Test on two independent sample t-values obtained significant level 0.001. Due to 0.001 < 0.500, it is concluded that there is a difference between the rate of return by investment strategy Lump Sum and Dollar Cost Averaging. The results of the regression test obtained significant value is 0,000 (0,000 < 0,05), so it can be concluded that the amount of funds under management of mutual funds effected positively on mutual fund performance rankings.

Kata Kunci : kinerja reksadana, sharpe, treynor dan jensen, strategi investasi/