ANALISIS PENGUKURAN KINERJA, MARKET TIMING DAN SELECTIVITY REKSA DANA SAHAM DI INDONESIA PERIODE 2006 - 2010

Univer Immanuel, Prof. Dr. Sukmawati Sukamulja

2012 | Tesis | S2 Magister Manajemen

Saat ini reksa dana telah menjadi kendaraan utama bagi investor yang memiliki keterbatasan untuk berinvestasi di pasar modal Indonesia. Seiring dengan tumbuhnya reksa dana, semakin banyak penelitian reksa dana dilakukan. Penelitian terdahulu mengenai pengukuran kinerja reksa dana dan pengukuran kemampuan market timing dan selectivity di berbagai negara telah menghasilkan temuan yang berbeda-beda. Adanya perbedaan tersebut melatarbelakangi dilakukannya penelitian mengenai kinerja reksa dana saham dan kemampuan market timing dan selectivity pada reksa dana saham di Indonesia . Penelitian ini menggunakan traditional risk-adjusted return yang terdiri atas Sharpe Ratio, Treynor Ratio, dan Jensen Alpha dalam mengukur kinerja reksa dana saham. Benchmark yang digunakan sebagai perbandingan, yaitu menggunakan Indeks Harga Saham Gabungan. Pengukuran kemampuan market timing dan selectivity menggunakan metode Treynor-Mazuy dan metode Henriksson-Merton. Hasil penelitian menunjukkan secara keseluruhan reksa dana saham menghasilkan kinerja outperform terhadap kinerja pasar. Dengan pengukuran kinerja terhadap masing-masing reksa dana saham ditemukan 6 reksa dana saham yang berkinerja outperform berdasarkan Sharpe Ratio, 9 reksa dana saham yang berkinerja outperform berdasarkan Treynor Ratio, 9 reksa dana saham yang berkinerja outperform berdasarkan Jensen Alpha. Hasil pengukuran kemampuan market timing menunjukkan bahwa terdapat bukti adanya kemampuan market timing pada sebagian besar reksa dana saham, sedangkan hasil pengukuran kemampuan selectivity menunjukkan bukti yang sangat sedikit yang menunjukkan adanya kemampuan selectivity.

These days, mutual funds has become a main vehicle for investor who has lack of ability come to investing in Indonesian capital market. Along with growing of mutual funds, a lot of studies has been done. Previous studies of fund performance measurement and market timing and selectivity measurement in several countries, found different findings. Existence of this differences encourage to doing a study of equity funds performance measurement and market timing and selectivity measurement in Indonesian equity funds. This study using traditional risk-adjusted return, consists of Sharpe Ratio, Treynor Ratio, dan Jensen Alpha in measuring equity funds performance. Indeks Harga Saham Gabungan is used as a benchmark. Treynor-Mazuy and Henriksson- Merton model is used to measure market timing and selectivity. The results show that in overall equity funds have outperform performance. In individual, there are 6 equity funds have outperform performance based on Sharpe Ratio, 9 equity funds have outperform performance based on Treynor Ratio, and 9 equity funds have outperform performance based on Jensen Alpha. Result from market timing measurement finds that there is an evidence of market timing capabilites on largely of equity funds, otherwise there is a lack of evidence of selectivity capabilites in equity fund managers.

Kata Kunci : Reksa dana saham, Pengukuran kinerja reksa dana saham, Market Timing, Selectivity