Kinerja Reksadana Syariah campuran sepanjang tahun 2005

HANAFIAH, Hery Heryana, Zaki Baridwan, Prof.Dr.,M.Sc

2007 | Tesis | Magister Manajemen

Salah satu wahana investasi yang sempat mengalami pertumbuhan pesat adalah reksadana (mutual fund). Kapitalisasi yang terhimpun dalam reksadana sampai dengan awal tahun 2005 mencapai Rp 108,2 triliun. Namun di tahun 2005 itu juga reksadana mengalami fenomena redemption secara besar‐besaran yang menyebabkan anjloknya nilai aktiva bersih. Lantas, timbul pertanyaan bagaimana halnya dengan reksadana syariah? Untuk mengetahui hal tersebut perlu suatu penelitian tentang kinerja reksadana syariah. Penelitian mengukur kinerja reksadana syariah campuran dengan cara membandingkan dengan reksadana campuran konvensional, kinerja pembanding (JII, SWBI, deposito bank syariah). Penelitian mengukur imbal hasil (return), risiko berdasarkan standar deviasi, dan kinerja berdasarkan indeks Safety First Model. Penelitian dilakukan terhadap data selama 1 tahun dari tanggal 3 Januari hingga 29 Desember 2005 yang terdiri dari 246 hari perdagangan yang dibagi menjadi dua periode penelitian yaitu Januari‐April dan Mei‐Desember. Hipotesis penelitian yaitu: a. apakah kinerja reksadana syariah campuran berbeda dengan reksadana konvesional campuran dan pembanding? b. apakah kinerja periode Januari‐April berbeda dengan Mei‐Desember? Hipotesis diuji dengan Uji Dua Pihak (Two Tail Test). Tingkat signifikansi perbedaan kinerja diukur dengan metoda Uji‐T Sampel Independen (Independent Samples T‐Test), Uji‐T Satu Sampel (One Sample T‐Test), Uji‐T Sampel Berpasangan (Paired Samples T‐Test). Hasil penelitian menggambarkan bahwa pada dua periode analisa (Januari‐April dan Mei‐Desember), reksadana syariah memperlihatkan kinerja diatas wahana sejenis yang konvensional. Pada periode Januari‐ April 2005, reksadana syariah campuran memiliki kinerja lebih baik dibanding reksadana konvensional. Namun berdasarkan uji statistik (pada tingkat signifikansi 5%), kinerja kedua jenis tersebut tidak berbeda secara signifikan. Reksadana syariah campuran juga memiliki kinerja lebih baik dari pembanding namun tidak terdapat perbedaan secara signifikan. Pada periode Mei‐Desember 2005, reksadana syariah campuran tetap memiliki kinerja yang lebih baik dibanding reksadana konvensional campuran. Diantara kedua jenis reksadana tersebut tidak berbeda secara signifikan. reksadana syariah campuran juga memiliki kinerja yang lebih baik dibanding kinerja pembanding dan tetap sama diantara keduanya tidak ada perbedaan kinerja yang signifikan. Kinerja reksadana syariah campuran pada periode Januari‐April dan periode Mei‐Desember relatif sama. Meski rata‐rata kinerja pada periode pertama sedikit lebih baik dibanding periode kedua, secara statistik tidak terdapat perbedaan kinerja yang signifikan.

One of the investment institution has experienced growing rapidly is mutual fund. In the beginning 2005 the accumulation of mutual fund capitalization achieved Rp 108.2 billion. However, at the same time, the mutual fund was also having a big “redemption phenomenon” caused net present value (NPV) descend rapidly. Then, How are things with Islamic Mutual Fund? To find out the answer, we need a research about Islamic Mutual Fund Performance. The research is comparing the performance of discretionary Islamic mutual fund and discretionary conventional mutual fund, and JII, SWBI, & islamic bank save deposit as other standard of comparison. The research is measuring return of investment, risks based on deviation standard, and performance based on Safety First Model. The research is conducted to data taken from 3 January to 29 December 2005, consists of 246 trading days divided into two period, January–April and May– December. The hypothesis of this research are : a) Is an islamic discretionary mutual fund performance different than conventional discretionary mutual fund and standard of comparison? b) Is the performance of January–April period different than May– December period? Hypothesis was tested with Two Tail Test. The significant level of performance differentiation is measured with Independent Samples T‐Test, One Sample T‐Test, and Paired Samples T‐Test methods. In two period analysis (January–April and May–December), the result of research describing that islamic mutual fund performance is above than conventional mutual fund performance. At the first period, January–April 2005, islamic discretionary mutual fund performance was better compare than conventional mutual fund. However, based on the statistical test (with significance level 5%), the performance for both mutual fund above are not significantly different. The islamic discretionary mutual fund has also better performance compare than other standard of comparison such as JII, SWBI, and Islamic bank save deposit, however it doesn’t have a significant differentiation. At the second period, May–December 2005, the islamic discretionary mutual fund keep better performance compare than conventional discretionary mutual fund. Among the two mutual fund, it doesn’t have a significant differentiation. The islamic discretionary mutual fund has also a better performance compare than other standard of comparison of investment and there is insignificant differentiation among them. The islamic discretionary mutual fund performance in January–April period is relatively the same as May–December period. However, the average performance at the first period is slightly better comparing with the second period, statistically there is insignificant differentiation performance at those two period.

Kata Kunci : Reksadana Syariah,Kinerja, Performance, Islamic, Mutual Fund