MARKET TIMING ABILITY AND STOCK SELECTION SKILLS OF EQUITY FUND MANAGERS IN INDONESIA (2008-2010)

Jessica Nina Pratiwi, Prof. Dr. Abdul Halim, M.B.A., Akt.

2012 | Tesis | S2 Magister Manajemen

Evaluasi kinerja manajer investasi merupakan hal yang penting. Hal ini karena investor memiliki harapan bahwa manajer investasi mampu mengelola dana mereka secara lebih baik, melalui pengurangan resiko dan perolehan dana pengembalian yang lebih besar. Oleh sebab itu penelitian ini bertujuan untuk menginvestigasi kemampuan market timing dan kemampuan pemilihan saham dari reksadana saham selama tahun 2008-2010. Penelitian ini juga bertujuan untuk mengivestigasi konsistensi dari kemampuan market timing dan kemampuan pemilihan saham setiap tahun selama 2008-2010. Penelitian ini menggunakan tiga model pengukuran yakni pengukuran Jensen, Pengukuran Treynor-Mazuy (TM) dan Pengukuran Henriksson-Merton (HM). Sample diambil berdasarkan purposive sampling untuk reksadana saham yang secara konsisten berada di peringkat sepuluh besar berdasarkan Total Dana Kelola selama tiga tahun berturut-turut dari tahun 2008-2010. Berdasarkan kriteria tersebut didapatkan 16 reksadana saham. Hasil dari penelitian menunjukkan rata-rata dari 16 reksadana saham, tidak mampu menunujukkan kemampuan pemilihan saham yang baik. Pengukuran Jensen menunjukkan Panin Dana Maksima dan Panin Dana Prima memiliki kemampuan pemilihan saham namun bukti ini tidak didukung oleh hasil dari pengukuran TM dana HM. TM dan HM menunjukkan 50% dari sample memiliki kemampuan market timing yang signifikan. Berdasarkan hasil penelitian, reksadana saham yang memiliki kemampuan market timing adalah Schroder dana prestasi Plus, BNP Paribas Ekuitas, Dana Ekuitas andalan, Manulife Dana Saham, Phinisi Dana Saham, Danareksa Mawar, Panin Dana Maksima dan Bahana Dana Prima.

Performance evaluation of equity fund managers is important since investors have an expectation that fund managers will be able to manage their funds by reducing the risk and earn return higher than these on the random selection of market securities. Therefore, this research aimed to investigate the performance of equity fund managers due to their market timing abilities and stock selection skills during 2008-2010. This research also aimed to investigate the consistency of superior market timing abilities and/or superior stock selection skills from year to year during 2008-2010. To measure market timing abilities and stock slection skills of equity fund managers, this research use three model of measurement; Jensen model, TreynorMazuy model and Henriksson-Merton model. The sample will be taken using purposive sampling, for equity fund of the investment companies which consistently were in big ten investment companies in term of Asset Under Management (AUM) according to data from BAPEPAM in the end of year 2008- 2010. Based on those criteria the total sample will be 16 equity funds. The evidence of 16 equity funds indicate that on average the equity funds were not able to predict the security price well to outperform the market. However, Using TM model and HM model, 50% of the sample show significantly market timing ability. There are Schroder dana prestasi Plus, BNP Paribas Ekuitas, Dana Ekuitas andalan, Manulife Dana Saham, Phinisi Dana Saham, Danareksa Mawar, Panin Dana Maksima, Bahana Dana Prima and Mandiri Investa Atraktif. The highest places in the ranking of market timing ability is occupied by Panin Dana Maksima. This research also reveal no evidence for consistency of superior market timing ability and/or stock selection skills of equity funds.

Kata Kunci : Kemampuan market timing, kemampuan pemilihan saham, reksadana saham, Jensen, treynor-Mazuy, Henriksson-Merton.