The Performance of Equity Funds Compared to Random Portfolios and Selective Portfolios (Study of Indonesia Capital Market 2006-2010)

Roh Edhi Anindita Warastri, Prof. Dr. Eduardus Tandelilin, MBA.

2012 | Tesis | S2 Magister Manajemen

Salah satu alasan yang menarik investor untuk berinvestasi di reksa dana adalah kemampuan untuk mengurangi risiko dan memaksimalkan return. Beberapa investor masih memilih untuk berinvestasi secara individu. Kinerja reksa dana dan portofolio individu harus dievaluasi terlebih dahulu sebelum investor memutuskan ke mana uang mereka akan diinvestasikan. Melalui penelitian ini, saya ingin mengidentifikasi mana di antara reksa dana saham, portofolio acak, atau portofolio selektif yang memiliki kinerja yang lebih baik dibandingkan dengan yang lain. Penelitian ini menggunakan data pasar modal antara tahun 2006 sampai dengan 2010. Delapan belas reksa dana saham yang beroperasi sejak 2006 sampai 2010 telah dipilih dan 4 jenis portofolio akan dibentuk secara acak, dengan 18 portofolio untuk setiap jenis portofolio. Empat jenis portofolio tersebut adalah portofolio Random, portofolio Selective1, portofolio Selective2, dan portofolio Selective3. Portofolio Selective1, Selective2, dan Selective3 dikembangkan berdasarkan saham-saham yang memiliki P/E ratio, PBV, dan kombinasi dari keduanya yang nilainya lebih rendah dari rata-rata industri. Langkah berikutnya menghitung beta, standar deviasi, dan return dari reksa dana saham dan portofolio serta pasar. Setelah itu, kinerja reksa dana dan 4 jenis portofolio lainnya akan diukur dan dibandingkan – berdasarkan indeks pengukuran kinerja: Sharpe, Treynor, dan Jensen – satu sama lain serta dibandingkan dengan kinerja pasar. Hasil penelitian menunjukkan bahwa ada cukup bukti bahwa: portofolio selektif yang didasarkan pada kombinasi P/E ratio dan PBV berperforma lebih baik dibandingkan portofolio selektif rasio berbasis P/E ratio saja; portofolio selektif yang didasarkan hanya pada P/E ratio berperforma lebih baik dibandingkan portofolio selektif berbasis PBV; portofolio selektif yang didasarkan pada PBV berperforma lebih baik dibandingkan portofolio acak; dan portofolio acak berperforma lebih baik dibandingkan reksa dana saham. Dengan kata lain, portofolio Selective3 memiliki kinerja terbaik, diikuti oleh portofolio Selective2, Selective1 dan Random; yang terburuk adalah reksa dana saham. Jadi, meskipun dikelola oleh manajer investasi profesional, reksa dana saham tidak selalu mengungguli kinerja portofolio individual atau bahkan kinerja pasar. Selain itu, agar portofolio individual berkinerja dengan baik, kriteria tertentu perlu dipenuhi dalam proses pembbentukan portofolionya.

One reason that attracts investors to invest in mutual funds is its capacity to reduce risk and to maximize the return. Some investors, however, still have a preference for individual investment. Performance of the funds and individual portfolios should be evaluated using the portfolio performance measures before investors decide whether they will invest their money on mutual funds, especially equity funds, or individual portfolios. Through this research, I wish to identify which one among the equity fund or random or selective individual portfolio that has better performance than the other. The research utilizes various capital market data ranging from the year 2006 through 2010. Eighteen equity funds operating since 2006 until 2010 are selected and 4 types of portfolio are developed randomly, with 18 portfolios for each type of portfolio. Four types of portfolio are Random portfolio, Selective1 portfolio, Selective2 portfolio, and Selective3 portfolio. The Selective1, Selective2, and Selective3 portfolios are developed based on stocks that have price-earnings ratios, price-to-book values, and the combination of both that are lower than the industry average. The following step is calculating beta, standard deviation, and expected return of the equity funds and portfolios as well as the market. After that, the performance of the funds and four types of portfolios will be measured and compared – based on the performance measurement indexes: Sharpe, Treynor, and Jensen index – one to another as well as to the market performance. The result of this study shows that there is enough evidence that: selective portfolios that are based on the combination of P/E ratio and PBV perform better than P/E-ratio-based selective portfolios; selective portfolios that are based only on P/E ratio perform better than PBV-based selective portfolios; selective portfolios that are based on PBV perform better than Random portfolios; and Random portfolios perform better than equity funds. In other words, Selective3 portfolio is the best performer; followed by Selective2, Selective1, Random portfolios; and, the poorest one is, equity fund. Thus, although being managed by professional fund managers, equity fund does not necessarily outperform the performance of individually developed portfolios or even the market performance. Moreover, a well performing individually developed portfolio is required to fulfill certain criteria during the development process.

Kata Kunci : mutual fund performance, portfolio performance, random portfolio, selective portfolio, Sharpe index, Treynor index, Jensen index