Analisis kinerja reksa dana pendapatan tetap, reksa dana saham, dan reksa dana campuran di Indonesia tahun 2005

UTOMO, Eko Adi, Prof.Dr. Eduardus Tandelilin, MBA

2006 | Tesis | Magister Manajemen

Reksa dana merupakan salah satu alternatif investasi yang menarik bagi para investor. Namun pada tahun 2005 terjadi penurunan pertumbuhan industri reksa dana khususnya reksa dana pendapatan tetap yang dikarenakan nilai underlying asset reksa dana pendapatan tetap yaitu obligasi, menurun. Tujuan dari penelitian ini adalah untuk mengetahui bagaimana sebenarnya kinerja reksa dana dibanding kinerja pasar, dan juga untuk mengetahui apakah terdapat konsistensi hasil pengukuran dari ketiga metode pengukuran yaitu Sharpe measure, Treynor measure, dan Jensen measure manakala digunakan untuk mengukur kinerja reksa dana di Indonesia. Periode pengamatan pada penelitian ini adalah 3 Januari 2005 hingga 29 Desember 2005. Metode yang digunakan untuk mengukur kinerja reksa dana yaitu Sharpe measure, Treynor measure, dan Jensen measure. Untuk mengetahui adanya konsistensi dari ketiga ukuran kinerja tersebut digunakan uji Kendall’s W Concordance. Dari penelitian ini dapat diambil kesimpulan bahwa 73,33 persen dari sampel reksa dana saham, 53,33 persen dari sampel reksa dana pendapatan tetap, dan 45 persen dari sampel reksa dana campuran kinerjanya lebih baik dibanding kinerja pasar, serta terdapat konsistensi hasil pengukuran kinerja portofolio dengan menggunakan Sharpe measure, Treynor measure, dan Jensen measure untuk semua jenis reksa dana yang diamati.

Mutual fund is one of the interesting investment alternative to investor. But in the year 2005 the growth of mutual fund industry is declining specially for the fixed income fund because of the underlying asset value of the fixed income fund which is the obligation is declining. The intention of this research is to knowing how in fact the performance of mutual fund compared to the market performance, as well as to know if there is consistency result of measurement from three measurement methods like Sharpe measure, Treynor Measure, and Jensen measure that use to measure the performance of mutual fund in Indonesia. Period of observation for this research is started from 3 January 2005 until 29 December 2005. The method used to measure performance of mutual fund are Sharpe measure, Measure Treynor, and Jensen measure. To knowing the existence of consistency from three measurement method the test of Kendall'S W Concordance is used. The conclusion from this research is 73,33 percentage of equity fund sample, 53,33 percentage of fixed income fund sample, and 45 percentage of mixed fund sample have a better performance compared to the market performance, and also there is consistency result of the measurement performance of portfolio by using Sharpe measure, Measure Treynor, and Jensen measure for all type of mutual fund observed in this research.

Kata Kunci : Reksa dana, Sharpe measure, Treynor measure, Jensen measure, kinerja reksa dana, konsistensi hasil pengukuran, Mutual fund, Sharpe measure, Treynor measure, Jensen measure, mutual fund performance, consistency result of measurement