KEMAMPUAN MEMILIH, MARKET TIMING, DAN PERSISTENSI KINERJA REKSA DANA SAHAM DI BURSA EFEK INDONESIA

Waelan, Suad Husnan, Ph.D.

2009 | Tesis | S2 Management

Penelitian ini mengenai kemampuan manajer investasi dan persistensi kinerja 46 reksa dana saham di Bursa Efek Indonesia periode Januari 2001-Desember 2006 dengan menggunakan quadratic timing factor untuk mengukur kemampuan manajer investasi. Hasil analisis menunjukkan manajer investasi reksa dana saham di Bursa Efek Indonesia tidak memiliki kemampuan memilih saham dan memiliki kemampuan market timing yang kecil dan tidak signifikan. Pada tingkat masing-masing reksa dana saham ditemukan 4 manajer investasi memiliki kemampuan memilih saham, 3 manajer investasi memiliki kemampuan market timing, dan 1 manajer investasi memiliki kemampuan keduanya. Hasil analisis juga menunjukkan terjadinya trade-off antara kemampuan memilih saham dengan kemampuan market timing. Untuk analisis persistensi kinerja, estimasi kinerja menggunakan single factor performance model dan estimasi korelasi menggunakan korelasi Pearson. Hasil analisis menunjukkan kinerja reksa dana saham di Bursa Efek Indonesia merupakan alat yang baik untuk meramalkan kinerja selanjutnya. Terdapat persistensi kinerja bulanan, tiga bulanan, enam bulanan, tahunan, dan tiga tahunan. Kinerja dua tahun pertama (2001-2002) mengalami persistensi dengan kinerja dua tahun kedua (2003-2004). Hanya kinerja dua tahun kedua (2003-2004) tidak mengalami persistensi dengan kinerja dua tahun ketiga (2005-2006). Kata kunci: Reksa dana saham, kemampuan memilih saham, kemampuan market timing, trade-off, dan persistensi kinerja.

This research is about investment manager ability and performance persistence of 46 equity mutual fund in Indonesian Stock Exchange from January 2001 to December 2006 by applying quadratic timing factor for measurement of investment manager ability. The result indicate that investment manager of equity mutual fund in Indonesian Stock Exchange (as group) have negative selection ability and small positive market timing ability. At the individual fund level, there are 4 investment manager have selection ability, 3 investment manager have market timing ability, and 1 investment manager have both. The result also found evidence about trade-off between selection ability and market timing ability. For analyze to performance persistence, performance estimated by applying single factor performance model and persistence estimated by applying Pearson correlation. The result indicate that equity mutual fund performance in Indonesian Stock Exchange are good predictor for respective performance. There are persistence performance for monthly, quarterly, semi annually, annually, and three years. First two-years performance (2001-2003) persistence to second two-years performance (2003-2004). Only second two-years performance (2003-2004) not persistence to third two-years performance (2005-2006). Keywords: Equity mutual fund, selection ability, market timing ability, trade-off, and performance persistence.

Kata Kunci : Reksa dana saham, kemampuan memilih saham, kemampuan market timing, trade-off, dan persistensi kinerja;Equity mutual fund, selection ability, market timing ability, trade-off, and performance persistence