Evaluasi Kinerja Reksa Dana di Bursa Efek Jakarta tahun 2004-2006

Sulistiani, Drs. M. Irfan Nursasmito, M.Si., Ak.

2008 | Skripsi | S1 Extention - Accounting

Penelitian ini bertujuan untuk mengetahui: (1) perbedaan kinerja dan risiko reksa dana pasar uang, reksa dana pendapatan tetap, reksa dana saham, dan reksa dana campuran, dan (2) reksa dana manakah yang memiliki kinerja paling tinggi. Jumlah reksa dana sampel yang digunakan dalam penelitian ini sebanyak 120 reksa dana, dimana dari masing masing jenis reksa dana diambil sebanyak 30 reksa dana. Pengambilan sampel secara purposive sampling dengan kriteria: reksa dana yang memiliki data lengkap selama periode pengamatan, serta bukan termasuk dalam kelompok reksa dana syariah. Metode analisis yang digunakan untuk menguji hipotesis adalah analisis varian satu faktor. Hasil penelitian ini menunjukkan: (1) terdapat perbedaan return yang signifikan reksa dana pasar uang, reksa dana pendapatan tetap, reksa dana saham, dan reksa dana campuran (F=20,898; p=0,000), dimana reksa dana saham memiliki return paling tinggi, (2) terdapat perbedaan kinerja reksa dana (RVAR) yang signifikan antara reksa dana pasar uang, reksa dana pendapatan tetap, reksa dana saham dan reksa dana campuran (F=9,782; p=0,000), dimana reksa dana saham memiliki kinerja (RVAR) paling tinggi, (3) terdapat perbedaan risiko reksa dana yang signifikan antara reksa dana pasar uang, reksa dana pendapatan tetap, reksa dana saham dan reksa dana campuran (F=13,020; p=0,000), dimana reksa dana saham memiliki resiko paling tinggi. Kata kunci: purposive sampling, RVAR

This research aims to understand: (1) performance difference and the risks of money market funds, fixed income funds, equity funds, discretionary funds, and (2) which mutual funds have the highest performance. The sample of mutual funds used in this research are 120 mutual funds, which from the kind of mutual funds are took all about 30 mutual funds. Sample taking with purposive sampling with criteria: mutual funds that have complete data during monitoing periods, and not including shariah mutual funds group. The method of analysis used to testing hypotesis is single factor variance analysis. This research shows : (1) There is a different significant return in money market funds, fixed income funds, equity funds, discretionary funds (F = 20.898; p = 0.000), where equity funds had the highest return, (2) There is a difference of mutual funds performance (RVAR) that is significant between money market funds, fixed income funds, equity funds, discretionary funds, (F = 9.782; p = 0.000), where equity funds had the highest (RVAR) performance, (3) There is a difference of mutual funds risk that is significant between money market funds, fixed income funds, equity funds, discretionary funds (F = 13.020; p = 0.000), where equity funds had the highest risks. Key words: purposive sampling, RVAR

Kata Kunci : Evaluasi Kinerja; Reksa Dana; Bursa Efek Indonesia