ANALISIS PERBANDINGAN KINERJA REKSA DANA KONVENSIONAL DAN REKSA DANA SYARIAH MENGGUNAKAN MODEL PENGUKURAN SHARPE, TREYNOR, REWARD TO MARKET RISK DAN REWARD TO DIVERSIFICATION

Adi Hari Susanto, Prof. Dr. Marwan Asri, MBA.

2012 | Tesis | S2 Magister Manajemen

Dalam berinvestasi, reksa dana merupakan salah satu cara untuk diversifikasi investasi. Berdasarkan prinsip yang dianutnya, reksa dana dibagi menjadi dua yaitu reksa dana konvensional dan reksa dana syariah. Dari segi return, reksa dana syariah masih lebih kecil dari reksa dana konvensional. Namun keduanya tetap dapat memberikan keuntungan yang melebihi keuntungan yang diperoleh dari tingkat bunga deposito. Reksa dana baik konvensional maupun syariah dalam perkembangannya berhasil menarik minat banyak investor karena beberapa keunggulan yang dimilikinya. Tujuan dari penelitian ini adalah untuk memberikan informasi kepada investor dalam memilih suatu reksa dana sebagai pilihan investasi dengan melihat kinerja reksa dana tersebut berdasarkan tingkat variabilitas, tingkat volatibilitas dan besarnya diversifikasi yang dicapai. Data penelitian yang digunakan dalam penelitian ini adalah data sekunder yang diperoleh dari PT Infovesta Utama, Bapepam dan Bank Indonesia. Sampel yang diambil dalam penelitian ini sebanyak 30 (tiga puluh) reksa dana yang masih aktif per 31 Oktober 2011 baik konvensional maupun syariah untuk sub kategori yang sama yaitu saham, campuran dan pendapatan tetap. Untuk menganalisis tingkat pengembalian reksa dana baik konvensional maupun syariah, penelitian ini menggunakan empat metode pengukuran yaitu indeks Sharpe (RVAR), indeks Treynor (RVOL), indeks Reward to Market Risk (RMAR) dan indeks Reward to Diversification (RDIV). Berdasarkan penilaian kinerja reksa dana saham dan campuran yang diukur dengan indeks Sharpe, indeks Treynor, indeks Reward to Market Risk dan indeks Reward to Diversification selama kurun waktu 1 Januari 2008 hingga 31 Oktober 2011, kinerja reksa dana konvensional lebih baik daripada kinerja reksa dana syariah. Sedangkan kinerja reksa dana pendapatan tetap yang diukur dengan indeks Sharpe, indeks Treynor, indeks Reward to Market Risk dan indeks Reward to Diversification selama kurun waktu yang sama, kinerja reksa dana syariah lebih baik daripada kinerja reksa dana konvensional.

In investing, mutual fund is one way to diversify investments. Based on the principle that was followed, a mutual fund that is divided into two conventional mutual funds and Islamic mutual funds. In terms of return, Islamic mutual funds are still smaller than conventional mutual funds. But they still can provide benefits that exceed the gains from interest rate deposits. Mutual fund both conventional and sharia, successfully attracted many investors because of several advantages it has. The purpose of this study is to provide information to investors in choosing a mutual fund as an investment option by looking at the performance of mutual funds based on the degree of variability, the rate and magnitude volatibilitas diversification achieved. The research data used in this study is secondary data obtained from PT Infovesta Utama, Bapepam and Bank Indonesia. Samples taken in this study of 30 (thirty) mutual funds that are still active by October 31, 2011 both conventional and Islamic to the same sub-category of stock, mixed and fixed income. To analyze the return on mutual funds both conventional and Islamic, this study used four models of measuring that are Sharpe (RVAR) index, Treynor (RVOL) index, Reward to Market Risk (RMAR) index and Reward to Diversification (RDIV) index. Based on performance appraisal of equity and mixed mutual funds as measured by Sharpe index, Treynor index, Reward to Market Risk index and Reward to Diversification index during the period January 1, 2008 until October 31, 2011, the performance of conventional mutual funds are better than the performance of Islamic mutual funds. While the performance of fixed income mutual funds as measured by the Sharpe index, Treynor index, Reward to Market Risk index and Reward to Diversification index during the same period, the performance of Islamic mutual funds are better than the performance of conventional mutual funds.

Kata Kunci : Reksa Dana Konvensional, Reksa Dana Syariah, Risk Adjusted Return, Indeks Sharpe, Indeks Treynor, Indeks Reward to Market Risk, Indeks Reward to Diversification