Analisis kinerja Reksa Dana Saham di Indonesia tahun 2001

BANDONO, Bayu, Dr. Mudrajad Kuncoro, MSoc.Sc

2002 | Tesis | Magister Manajemen

Investasi di pasar modal melalui reksa dana adalah pilihan yang menarik bagi pemodal. Walaupun investasi di reksa dana memiliki beberapa kelebihan tetapi pemodal perlu mengevaluasi kinerja reksa, dana tersebut untuk mengambil keputusan investasi. Penelitian ini mengevaluasi kinerja reksa dana di Indonesia. Penilaian kinerja suatu potofolio efek harus mempertimbangkan risiko di samping hanya return semata. Penelitian ini menggunakan pendekatan Capital Asset Pricing Model (CAPM). CAPM merupakan model yang telah terkenal untuk mempelajari risiko dan return. CAPM menjelaskan karakteristik risiko dan hubungan antara risiko dan return. Berdasarkan model ini, pemodal dapat memilih portofolio berdasarkan return ekspektasi dan varian dari return. Model yang sering digunakan untuk mengukur kinerja reksa dana yang diturunkan dari pendekatan CAPM dan digunakan pada penelitian ini adalah model Jensen, Sharpe, dan Treynor. Penelitian ini menggunakan sampel20 reksa dana yang tergolong reksa dana saham yang terdatar di Bapepam. Periode penelitian adalah tahun 200 1. Data runtun waktu berupa Nilai Aktiva Bersih ke-dua puluh reksa dana berbasis penutupan hari Rabu setiap minggunya. Oleh karena itu terdapat 52 periode pengamatan selama tahun 2001. Model CAPM menggunakan tolok ukur tertentu untuk return aktiva bebas risiko dan return pasar. Return aktiva bebas risiko menggunakan data suku bunga lelang mingguan SBI-bulanan di Bank Indonesia. Return pasar diwakili oleh indeks Bursa Efek Jakarta pada periode yang, sama. Berdasarkan hasil penelitian ini, dapat disimpulkan bahwa tidak terdapat perbedan kinerja disesuaikan risiko secara keseluruhan reksa dana dibandingkan dengan pasar diukur menggunakan metode Jensen., S harpe, dan Treynor. Berdasarkan individual reksa dana diukur menggunakan metode Jensen dapat disimpulkan bahwa Manulife Saham dan Schroeder Prestasi memiliki kinerja lebih baik daripada pasar dan Bhakti BIG Nusantara, GTF Agresif, dan Penta Artha Arjuna memiliki kinerja lebih rendah daripada kinekja pasar.

Investing in capital market through mutual fund is a popular and interesting investment for investor. Even though mutual fund has some advantages, but to make investment decision, investors need to evaluate its performance. This research examines the mutual fund performance in Indonesia. Evaluation of portfolio performance has to consider the risk in spite of return. This research employs The Capital Asset Pricing Model (CAPM) model. CAPM is the popular model to analyze the securities based on historical data that evaluate the risk and return of portfolio. The Capital Asset Pricing Model is often used to provide the needed assumptions about the nature of risk and the relationship between return and risk. Within this model, investors can choose between portfolios on the basis of expected return and variance. The most popular mutual fund performance evaluation model derived from CAPM and employed in this research are Jensen Measure, Sharpe Measure, and Treynor Measure. The samples are 20 mutual funds that are categorized as equity fund registered in Bapepam. The research period is the year of 2001. The time series data of Net Asset Value of 20 mutual funds are based on Wednesday-closing price. There are 52 weekly time series data. The CAPM model needs benchmark for risk free return and market return. The risk free return is the rate of one month-SBI on weekly auction in Bank Indonesia. The market return is the return based on Jakarta Stock Exchange Indices in the same period. This research concludes that there is no difference risk-adjusted performance as a whole between the mutual fund and the market based on Alpha Jensen , Sharpe Ratio Method, and Treynor Ratio. Based on Jensen Measure of mutual funds individually, Manulife Saham and Schroeder Prestasi have the risk-adjusted performace better than the market one. Bhakti BIG Nusantara, GTF Agresif, and Penta Artha Arjuna have the lower risk-adjusted performance than the market one.

Kata Kunci : Reksadana Saham,Kinerja,Indonesia 2001, Performance, Mutual Fund, Camp