SECURITY SELECTION AND MARKET TIMING ON MUTUAL FUND PERFORMANCE (PERIOD 2004 - 2007)

Duta Yuwono Sapoetro, Eduardus Tandelilin, Prof., Dr., MBA.

2008 | Tesis | Magister Manajemen

Studi ini bertujuan untuk (i) analisis performa Reksadana Saham, Reksadana Pendapatan Tetap, dan Reksadana Campuran periode 2004 hingga 2007, (ii) membuktikan adanya kemampuan security selection dan market timing terhadap perfonna Reksadana Saham, Reksadana Peudapatan Tetap, dan Reksadana Campuran. Studi ini menggunakan 39 reksadana dengan dana kelolaan tertinggi, yang terdiri dari 10 Reksadana Saham, 16 Reksadana Pendapalan Tetap, dan 13 Reksadana Campuran. Analisis performa Reksadana akan menggunakan tiga metode yaitu Sharpe Index, Treynor Index, dan Jensen Alpha. Selanjutnya, dua metode dari security selection dan market timing yang akan diimplementasikan meliputi Treynor and Mazuy model and Henriksson and Merton model. Hasil dari studi untuk Reksadana Saham terhadap Shwpe index, Treynor index, dan Jensen Alpha menunjukkan bahwa performa 9 reksadana berada diatas market dan 1 dibawah market, dimana Reksadana Saham terbaik adalah Fo1tis Ekuitas. Selanjutnya, dikarenakan Indonesia tidak memililh index untuk obligasi dan pemilihan benchmark yang lelap sangatlah sulil maka Sharpe Index menjadi pilihan terbaik di dalam pengukuran performa Reksadana Pendapatan Teta.P dan Campuran. Untuk Reksadana Pendapatan Tetap menggtmakan Shmpe Index, 3 reksadana berada diatas market dan 10 berada dibawah market. TRIM Dana Tetap muncul scbagai yang terbaik. Untuk Reksadana Campuran menggunakan Shmpe Index, 7 reksadana bcrada diatas market dan 6 dibawah market. Reksadana terbaik pada Reksadana Can1puran adalah Mr Flex. Hasil dari penelitian ini juga menunjukkan bahwa secara keseluruhan hampir semua reksadana memiliki kemampuatl security .;election meskipun sangat kecil, tetapi terkait dengan murkei liming, liuak ditt:mukan kemampuan yang memauai. Dengan kesimpulan tambahan bahwa antara security s :lection and market timing ability, keduanya tidak memberikan kontrilJusi yang cukup berarti terhadap performa Reksadana. Terkait dengan Reksadana Pendapatan Tetap dan Campuran, hasil dari analisa market timing tidak dapat mmcermin.kan kondisi yang sebenarnya, dikarenakan permasalahan pemilihan market benchmark untuk obligasi. Kilta kunci : performa reksadana, Shape, Treynor, Jensen, security selection, market timing, Treynor and lvfazuy, Henrihson and Merton

This paper is aimed to (i) analyze performance Equity Flmd. Fixed lncome and Mixed Fund during period 2004 up to 2007. (ii) prove the ability of security selection and market timing on the Equity Ftmd, Fixed Income, and Mixed Fund erfonnance. This research will select total of 39 ftmds with the highest Asset Under Management, consist of 10 fund from Equity Ftmd, 16 fund from Fixed Income Fund, and 13 fund from Mixed Fund. Fund nerfonnance will be examine using three mt:asurt:mt:nt including Sharpt: Tndt:x , Trt:ynor lndt:x, and Jensen Alphit. Next, two model of security selection and market timing ability will be employed, including Treynor and Mazuy model and Henr1ksson and Merton model. The result of this study for Cquity rund under Sharpe Index, Treynor Index, and Jensen AJpha showl!d that performance of 9 funds was higher than the market and below the market. The best fund perfonuance for Equity Fund is Fortis Ekuitas. Furthem1ore, since Indonesia do not have bond index and proper benclm1ark for bond index was difficult to captuJe. th an Sharpe Index become the most appropriate employed for Fixed Income Fuud and Mixed Fund. For Fixed Fund under Sharpe Index, 3 fund above the market bendunark and 10 below the benchmark. TRIM Dana Tetap becomes the best one. For Mixed Fund under Sharpe Index, 7 fund above the market benchmark and 6 funds below the benchmark. Mr nex was in the first rating. This research also captured that majority fund have ability of security selection even it was small, but in term of market timing, the ability was negative. For additional conclusion, both security selection and market timing ability give small contribution on Mutual Fund performance. Related with Fixed Income Fund and Mixed Fund, market timing analysis cannot renect the real l.Ondition since the problc111 uf proper benchmark for bond index. Keyworth·: mutual fund performance, Sharpe, Treynor, Jensen, secunty selection, market timing, Treynor and Mazuy, Henriksson and Merton

Kata Kunci : performa reksadana, Shape, Treynor, Jensen, security selection, market timing, Treynor and lvfazuy, Henrihson and Merton