Analisis kinerja market timing reksa dana saham di Indonesia

MALAU, Tumpal M.H, Jogiyanto Hartono, Prof., Dr., MBA

2009 | Tesis | S2 Magister Manajemen

Tujuan dari penelitian ini yaitu untuk melihat Market Timing Reksa Dana secara khusus Reksa Dana Saham yang ada di Indonesia. Penelitian ini mengukur kemampuan market timing dari sebelas reksadana terpilih dengan melihat tingkat pengembalianya yaitu selisih antara risiko pasar (risk market) dengan risiko bebas (risk free). Penelitian dilakukan dengan menggunakan model pengukuran Market Timing Henriksson & Merton (Model Dummy), diukur dengan besaran koefisien regresi antara exces return pasar dengan exces return portofolio. Alat bantu uji statistik yang digunakan adalah program Statistical Product and Service Solution (SPSS) ver. 16.0 for Windows. Data yang digunakan berupa data Nilai Aktiva Bersih per Unit Penyertaan (NAB/Unit), data Indeks Harga Saham Gabungan (IHSG) dan data tingkat suku bunga Sertifikat Bank Indonesia (SBI) bulanan periode 2002 sampai dengan 2008. Dari pengujian yang dilakukan disimpulkan bahwa sepuluh Reksa Dana mempunyai kemampuan market timing negatif artinya tidak bagus, karena tidak memberikan kontribusi peningkatan tingkat pengembalian, namun justru memberikan kontribusi pengurangan terhadap tingkat pengembalian Reksa Dana. Satu Reksadana yaitu Reksadana Schroder Dana Prestasi Plus yang kemampuan market timingnya positif namun tidak signifikan,

The goal of this research is to find the ability of market timing to improve the performance of Equity Funds in Indonesia. The research is set on eleven selected equity funds in Indonesia. The ability of market timing is defined on the equity excess return which is the difference between market excess return and risk free return. Using the Henriksson & Merton Market Timing model, the ability of market timing is defined by regression coeficient which is calculating by the difference between market excess return and portfolio excess return. Statistical program SPSS (Statistical Product and Service Solution) version 16.0 is using as a tool to process the data. Data that is processing in this research is net asset value, Jakarta Composite Stock exchange index, and Central bank interest rate for Monthly Indonesian Sertificate from 2002 to 2008. The result of statistical test using regression analysis shown that ten Equity Funds have negative market timing ability which is means bad. The result found that the ten Equity Funds contribute negatively to the return means worsen the return. But one of the Equity Funds that is Schroder Dana Prestasi Plus has positive market timing ability eventhough it is not significant.

Kata Kunci : Investasi,Reksadana,Nilai aktiva bersih,Model Henrikson,Excess return pasar dan excess return portofolio, Investment, Equity Funds, Net Asset Value, Henrikson & Merton Model, Market Excess return and Portfolio excess return