Investment Style dan Kinerja Reksa Dana Saham di Indonesia

Syamroh, Maria, Dra. Sri Handaru Yuliati, M.B.A.

2008 | Skripsi | S1 Management

Sejalan dengan penurunan BI rate dan keadaan pasar Indonesia yang sedang bullish, reksa dana saham bergairah kembali setelah peristiwa redemption pada akhir tahun 2005. Banyak investor yang tertarik untuk menginvestasikan dananya pada reksa dana saham karena menjanjikan return yang menarik. Berdasarkan situasi ini, maka penelitian ini bertujuan untuk menganalisis hubungan yang ada antara investment style dan kinerja reksa dana saham selama tiga periode pengamatan, yaitu 1 Desember 2004-30 November 2007. Klasifikasi investment style berdasarkan pada asal return yang disediakan oleh reksa dana tersebut dan selanjutnya penelitian ini memfokuskan pada dua kategori investment style yaitu growth fund dan growth income fund. Kinerja reksa dana saham diukur oleh Indek Sharpe, Indek Treynor, dan Jensen Apha. Sampel dalam penelitian ini dikumpulkan dengan menggunakan purposive sampling dan independent sample t-test digunakan untuk menguji perbedaan kinerja antara growth fund dan growth income fund. Hasil penelitian ini membuktikan bahwa investment style tidak berpengaruh secara signifikan terhadap kinerja reksa dana saham. Penelitian ini juga membuktikan bahwa growth fund memiliki kinerja yang lebih baik daripada growth income fund tetapi tidak signifikan. Kata kunci: Investment style, Reksa Dana Saham, Growth Fund, Growth Income Fund, dan Kinerja

In line with decreasing of BI rate and bullish condition of capital market in Indonesia, equity mutual fund is growing back after redemption phenomena at the end of 2005. Many investors attracted to invest their fund in equity mutual fund because it promises interesting return. Based on this situation, the purpose of this research is to analyze the relationship between investment style and equity mutual fund performance during three sample periods, 1st December 2004-30th November 2007. Classification of investment style based on the nature of return provided by mutual funds and furthermore, the research focused on two investment style that are growth and growth income fund. Performance of equity mutual fund is measured by Sharpe's Index, Treynor's Index, and Jensen Alpha. Sample of this research is selected uses purposive sampling and independent sample t-test is used to test differential performance between growth and growth income fund. The result of this research found that investment style is not significantly influenced performance of equity mutual fund in Indonesia. In addition, this research found that growth income funds plan has better performance than growth income funds plan during three sample period but it isn't significant. Key words: Investment Style, Equity Mutual Fund, Growth Fund, Growth Income Fund, and Performance

Kata Kunci : Investment style, Reksa Dana Saham, Growth Fund, Growth Income Fund, dan Kinerja