Evaluasi Kinerja Reksa Dana Campuran Konvensional Sebelum dan sesudah Krisis Subprime Mortgage
HARTANTO, BAGUS (Adv.: Hardo Basuki, Dr., M.Soc.Sc.), Hardo Basuki, Dr., M.Soc.Sc.
Krisis moneter yang melanda Indonesia satu dekade yang lalu membuat dunia perbankan menjadi tidak berdaya sebagai motor penggerak di sektor riil. Seiring dengan semakin turunnya bunga tabungan atau deposito bank, para investor mulai mengalihkan investasinya ke pasar modal. Salah satu instrument pasar modal tersebut adalah reksa dana (mutual fund) khusus bagi investor yang tidak memiliki dana yang besar dan tidak memiliki banyak waktu serta keahlian dalam menghitung risiko atas investasi mereka. Semakin lama reksa dana mengalami pertumbuhan yang sangat pesat. Hal ini membuktikan bahwa reksa dana telah menjadi produk investasi yang diminati oleh masyarakat. Salah satu jenis reksa dana yang cukup banyak diminati investor adalah reksa dana campuran. Tujuan dari penelitian ini adalah menganalisis kinerja reksa dana campuran konvensional sebelum dan sesudah krisis subprime mortgage dibandingkan dengan kinerja pasar (benchmark) dan mengidentifikasi pengaruh krisis subprime mortgage terhadap kinerja reksa dana campuran khususnya yang berbasis konvensional di Indonesia dengan menganalisis kinerja reksa dana dengan menggunakan model Sharpe, model Treynor, dan model Jensen.
Penelitian ini dilakukan terhadap 41 reksa dana campuran berbasis konvensional yang terdaftar di Bursa Efek Indonesia sampai dengan 31 Agustus 2009 dan memiliki data lengkap Nilai Aktiva Bersih selama periode penelitian 1 September 2005–31 Agustus 2009. Alat bantu uji statistik komparatif yang digunakan adalah program Microsoft Excel 2007 dan Statistical Packed for the Social Science (SPSS) ver. 16.0 for Windows.
Reksa dana campuran yang memiliki kinerja lebih baik dari pasar (outperform) periode sebelum krisis berdasarkan model Sharpe tercatat ada 14 (empat belas), sedangkan dari model Treynor ada 13 (tiga belas). Pada periode sesudah krisis meningkat menjadi 24 (dua puluh empat) berdasarkan model Sharpe, sedangkan dari model Treynor ada 20 (dua puluh). Secara umum, semua kinerja baik reksa dana campuran maup un kinerja pasar periode sesudah krisis mengalami penurunan dibandingkan periode sebelum krisis. Hasil pengujian one sample t-test sebelum krisis dengan tingkat signifikansi 5% menyimpulkan bahwa ada perbedaan yang nyata antara kinerja reksa dana campuran di Indonesia dengan kinerja pasar sebelum terjadi krisis
subprime mortgage. Pada periode sesudah krisis disimpulkan bahwa secara tidak nyata tidak ada perbedaan antara kinerja reksa dana campuran di Indonesia dengan kinerja pasar sesudah terjadi krisis subprime mortgage. Pengujian paired samples t-test menunjukkan bahwa kinerja rata-rata 41 reksa dana campuran sebelum dan sesudah krisis subprime mortgage tidak sama, artinya krisis subprime mortgage diyakini memberikan efek yang signifikan terhadap kinerja rata-rata 41 reksa dana campuran di Indonesia.
The monetary crisis that hit Indonesia a decade ago to make the banking world to be helpless as a driving force in the real sector. Along with the decline in interest earned on savings or time deposits, investors began to shift investment to the capital market. One of these capital market instruments are mutual funds (reksa dana ), especially for investors who do not have a big fund and does not have a lot of time and expertise in calculating the risk on their investment. The
longer a mutual fund experienced strong growth. This proves that the mutual fund investment products has become a demand by the public. One type of mutual fund investors are interested enough is balanced fund. The purpose of this study was to analyze the performance of conventional balanced fund before and after the subprime mortgage compared with the market performance (patok duga) and identify the effect of the subprime mortgage crisis on the performance of balanced funds especially conventional based in Indonesia by analyzing the performance of mutual funds using the Sharpe model, the model of Treynor and Jensen model.
This research was performed on 41 conventional-based balanced fund listed on the Indonesia Stock Exchange until August 31, 2009 and had complete data Net Asset Value during the study period 1 September 2005-31 August 2009. Comparative statistical tool used was Microsoft Excel 2007 and Statistical Packed for the Social Science (SPSS) ver. 16.0 for Windows. Balanced fund that has better performance than the market (mengalahkan pasar) the period prior to the crisis based on the models were noted Sharpe 14 (fourteen), whereas the existing models of Treynor 13 (thirteen). In the period after the crisis rose to 24 (twenty four) based on the model of Sharpe, while the model of Treynor are 20 (twenty). In general, all the better mutual fund performance and market performance after the crisis period decreased compared to pre-crisis period.
The test results of uji beda rata-rata before the crisis with a 5% significance level to conclude that there are significant differences in performance between the balanced fund in Indonesia with the performance of the market before the subprime mortgage crisis. In the period after the crisis is not real that there is no difference between the performance of balanced funds in Indonesia with market performance after the subprime mortgage crisis. Tests for uji-t berpasangan showed that the average performance of 41 balanced fund before and after the subprime mortgage crisis is not the same, meaning that the subprime mortgage crisis was believed to have significant effects on the average performance of 41 balanced fund in Indonesia.
Kata Kunci : reksa dana campuran, konvensional, krisis subprime mortgage, kinerja, model Sharpe, model Treynor, model Jensen, balanced fund, conventional, subprime mortgage crisis, performance, Sharpe model, Treynor model, Jensen,s model.
