Analisis terhadap kinerja Reksa Dana pendapatan tetap untuk mendapatkan Reksa Dana yang terbaik berdasarkan metode Sharpe, treynor dan Jensen :: Studi kasus terhadap reksa dana Pendapatan Tetap yang dikelola oleh Manajer Investasi Lokal periode Januari 2004

YOGA, Endy Arya, Indra Wijaya Kusuma, Dr.,MBA

2005 | Tesis | Magister Manajemen

Sejak disahkannya Undang-undang No.8 Tahun 1995 tentang Pasar Modal, Reksa Dana sebgai salah satu dari variabel utama kegiatan pasar modal di Indonesia, mengalami perkembangan yang cukup pesat terutama bisnis reksa dana terbuka dalam bentuk Kontrak Investasi Kolektif (KIK) yang menarik perhatian berbagai kalangan investor, baik investor lokal maupun asing. Beberapa jenis reksa dana saham, reksa dana pendapatan tetap, reksa fdana campuran dan reksa dana pasar uang. Tetapi sejak tahun 1997 perkembangan kondisi moneter di Indonesia mengalami ketepurukan. Bursa Efek Jakarta dan Bursa Efek Surabaya tidak terlepas dari keterpurukan kondisi moneter itu yang tercermin dari indeks harga saham gabungan. Hal ini juga mempengaruhi kinerja reksa dana di Indonesia. Dan seiring membaiknya kondisi ekonomi di tahun 1999, bisnis reksa dana pun mulai semarak kembali. Untuk itu penulis ingin melihat gambaran kinerja reksa dana pendapatan tetap yang dikelola oleh Manajer yang efektif melakukan perdagangan selama tahun 2000 – 2004 sehingga dapat dijadikan pertimbagan investor bahwa kinerja reksa dana pendapatan tetap tersebut relative bisa diandalkan sebagai tempat investasi, dan selain itu investor bisa mengetahui reksa dana pendapatan tetap mana yang terbaik untuk dijadikan tempat investasi. Adapun yang menjadi pengukuran kinerja reksa dana ini adalah metode Sharpe, Treynor, Jensen. Setelah ketiga pengukuran ini dilakukan, maka untuk menentukan pengukuran kinerja apakah baik atau buruknya akan dibandingkan dengan benchmarknya yaitu kinerja pasarnya (yang juga menggunakan ketiga metode tersebut). Jika outperformed terhadapa pasar berarti reksa dana itu baik, sedangkan jika underperformed berarti kinerja reksa dana tersebut buruk. Hasil yang didapat penulis, ternyata sejak tahun 2000 hingga tahun 2004, kinerja reksa dana pendapatan tetap yang dikelola oleh Manajer Investasi Lokal berdasarkan metode Sharpe, Treynor, dan Jensen ternyata tidak menunjukan hasil yang memuaskan, dimana kinerja reksa dana masih banyak yang bernilai negatif dibandingkan benchmark-nya sehingga kinerjanya underperformed untuk melakukan investasi. Walapupun demikian, perkembangan reksa dana di Indonesia makin semarak, dan pengukuran kinerja dalam penulisana karya akhir ini hanya sebatas menggunakan metode Sharpe, Treynor, dan Jensen saja. Kiranya untuk penelitian studi selanjutnya digunakan parameter-parameter lain yang dapat digunakan untuk melihat kinerja reksa dana di Indonesia, sehingga dapat dijadikan alternative pilihan dalam melakukan investasi.

Since the validation of Law No. 8 Year 1995 regarding Capital Markets, Mutual Fund as one of the primary variables of capital market activities in Indonesia, has developed quite rapidly, especially the business of open mutual fund in the form of Collective Investment Contract (CIC), which has attracted the attention of various investor classes, including local and foreign investors. Some examples of mutual funds are shares mutual funds, fixed income mutual funds, mixed mutual funds, and money market mutual funds. However, since 1997, the monetary situation in Indonesia has deteriorated. Jakarta Stock Exchange and Surabaya Stock Exchange were not excluded from the deterioration of the monetary situation, which was reflected in their weighted average stock indices. This also affected the performance of mutual funds in Indonesia. In line with improvement in the economic conditions in 1999, the business of mutual funds also started to recover. Therefore, the author would like to investigate the performance of fixed income mutual funds managed by Managers who effectively carried out trading during 2000-2004 so that investors could consider the performance of those fixed income mutual funds as relatively dependable for investments, and so that investors may know which is the best fixed income mutual fund to invest in. To measure the performance of the mutual funds, the Sharpe, Treynor, and Jenson methods are used. After these three measurements are calculated, the results will be compared against the benchmark, namely the market performance (which is also calculated using the three methods), to determine if the performance is good or bad. If the results outperform the market, it means that the mutual fund is performing well, whereas if they underperform the market, it means that the mutual fund is performing poorly. Based on the Sharpe, Treynor, and Jensen methods, results derived by the author show that in fact, since the year 2000 until 2004, the performance of the fixed income mutual funds managed by the Local Investment Manager was not satisfactory – many mutual funds’ values are negative compared to the benchmark, so they were underperforming as investments. Nevertheless, mutual funds is becoming more and more popular in Indonesia, and the performance measures in this thesis are limited to the Sharpe, Treynor, and Jensen methods. It is recommended that other parameters should be used in future studies to measure the performance of mutual funds in Indonesia, so that they may be selected as an alternative investment.

Kata Kunci : Reksa Dana,Kontrak Investasi Kolektif,Kinerja, Fixed Income Mutual Funds, investment, performance of mutual funds