Analisis terhadap kinerja Reksa Dana dan hubungannya dengan pergerakan Indeks Harga Saham Gabungan (IHSG)

WIJOYO, Muhamad Adi, Supriyadi, Dr.,M.Sc

2005 | Tesis | Magister Manajemen

Pasar Modal di Indonesia, khususnya Bursa Efek Jakarta (BEJ) menunjukkan perkembangan yang pesat, dalam hal kuantitas perusahaan yang terdaftar, jumlah pialang, jumlah investor, peningkatan prasarana maupun perbaikan perangkat lunak dan dalam bentuk peraturan. Perkembangan pasar modal makin menarik calon emiten untuk masuk ke bursa efek. Hal ini berarti semakin banyak pilihan Reksa Dana atau saham bagi para investor. Faktor yang patut dipertimbangkan selain tingkat keuntungan (return) adalah faktor resiko dari masing-masing alternatif investasi. Oleh karena itu perlu identifikasi faktor yang mempengaruhinya sehingga pengambilan keputusan bagi para investor atau calon investor dapat memilih investasi yang maksimal dan dapat dipertanggung - jawabkan. Penelitian dilakukan di Bursa Efek Jakarta periode 1 Januari 2003 – 31 Desember 2003. Jumlah Reksa Dana yang listing di Bursa Efek Jakarta pada awal awal periode tersebut sebanyak 26 Reksa Dana yang terbagi dalam 4 jenis. Dari 4 jenis ini yaitu : Reksa Dana Pendapatan Tetap, Reksa Dana Saham dan Reksa Dana Campuran serta Reksa Dana Pasar Uang. Akan tetapi penelitian ini akan menggunakan Reksa Dana Saham saja sebagai sampelnya. Pengambilan sampel dilakukan dengan sampel kelompok yang listing saat itu. Sifat penelitian adalah deskriptif analitis, bermaksud agar penelitian memuat gambaran secara terstruktur fakta-fakta variabel yang diteliti. Sedangkan metode yang digunakan adalah menggunakan data sekunder yang diperoleh dari berbagai sumber yang relevan dengan obyek penelitian. Analisis kinerja dilakukan dengan dua pendekatan, yakni tanpa memperhitungkan resiko dan memperhitungkan resiko. Memperhitungkan resiko dengan menggunakan ukuran Sharpe, Treynor dan Jensen serta koefisien variasi. Hasil penelitian menunjukkan investasi dalam Reksa Dana Bira Dana Saham menghasilkan return lebih tinggi dari rata-rata investasi dalam Reksa Dana saham yang lain.

The Indonesian Capital Market, especially the Jakarta Stock Exchange (JSX) shows a rapid growth in the quantity of listed firms, brokers, investors, infrastructures as well as the improvement on the regulation of Capital Market. The development of capital market becomes more attractive to the candidates of issuer to join with the stock exchange. This means there will be many choices, mutual fund or stock for the investors. The factor which must be considered other than level of return is the risk factor of each investment alternatives. Therefore it requires to identify the influencing factors so that investors or candidate investors can take a reliable and accountable decision. This research was held at the Jakarta Stock exchange during the period of January 1, 2003 – December 31, 2003. The amount of mutual funds that was listed at the Jakarta Stock Exchange at the beginning were 26 mutual funds that was divided into 4 (four) mutual funds classifications. Out of the 4 (four) classifications, there is only that to be analyzed using sampling methods : Equity Fund. Actually there are 3 (three) mutual funds, i.e. : Fixed Income Fund, Equity Fund, and Balance Fund. Sampling were formed by cluster sampling obtained from present listed. The research caracteristic is analytical descriptive research, which the objective is to describe the structural facts of observed variables. Whereas the method used is to acquire the secondary data which closely related to the research object and is taken from some sources. There are two ways of analyzing the performance : with the calculated risk analysis and without the calculated risk analysis. The method used in the calculated risk analysis is using the Sharpe, Treynor and Jensen measurement and the coefficient of variation. The result of the research shows that the investment of Bira Dana Saham mutual funds yield greater return than the other investment in the stock mutual funds. The fact that the higher the return means the higher the risk. It is obvious that from the three type of mutual funds, the stock is relatively the better option comparing to the other types. Between the other options Bira Dana Saham is the best.

Kata Kunci : Kinerja Reksadana,IHSG, Reksa Dana, Indeks Harga Saham Gabungan, Kinerja, Pergerakan, Reksa Dana Saham, Mutual Funds, Capital Market, Influenced, Composite Stock Index.