Measuring the performance of Equal Mutual Funds using reward-to-variability ratio :: Sharpe's measure

SETIYOSO, Nurindra, Prof.Dr. Mas'ud Machfoedz, MBA

2003 | Tesis | Magister Manajemen

Mutual funds adalah sebuah organisasi yang mengelola dana investasi dari investor individu dimana organisasi tersebut dapat menjual dan membeli saham yang diperdagangkan dalam nilai aktiva bersihnya. Para investor yang akan melakukan investasi pada reksa dana saham sebaiknya memperhatikan pada kinerja dari reha ^ana tersebut. Kinerja dari reksa dana sangat bergantung dari manajer investasinya ialam membuat suatu portfolio. Salah satu metode untuk mengiikur performance idalah menggunakan. reward-to-variability ratio (Sharpe's measure). Cara ini nemakai tingkat keuntungan (excess return) dan tingkat resiko (standar deviasi)untuk nengukur kinerja dari reksa dana saham. Kinerja dari reksa dana saham akan iibandingkan dengan kinerja-dari LQ'45 yang mewakili pasar untuk mengetahui tpakah kinerja reksa dana saham yang dikelola secara aktif bisa lebih baik dari ^asar yang dikelola secara pasif Pada hipotesa tercantum bahwa mutual funds seharusnya mempunyai kinerja yang lebih baik dari pasar sebab manager mempunyai J^mampuan dalam memilih dan menyusun portfolio. \ Untuk^ mengukur kinerja reksa dana saham kita dapat bandingkan dengan kinerja dari pasar dengan cara mengurutkan Shape Index dari masing-masing reksa dana berdasarkdn kinerja mereka. Kemudian kita bandingkan kinerja rata-rata dari seluruh reha dana saham dengan LQ'45 sebagai yang mewakili pasar. Pada tahap terakhir kita uji perbedaan rata-rata dari reksa dana saham dengan rata-rata return LQ'45. Untuk mengetahui apakah perbadaan rata-rata reksa dana saham dengan rata-rata retur LQ '45 digunakan uji paired sample t-test. j Basil yang diperoleh dari pengiikuran kinerja reksa dana saham dengan r^enggunakan Sharpe's measure (reward-to-variability ratio), adalah; kinerja dari 1} reksa dana saham adalah lebih baik dari pasar dan lima reksa dana saham mempunyai positif return. Tetapi perbedaan rata-rata antara reksa dana saham dengan market tidak cukup significant, sehingga diperoleh kesimpulan bahwa tidak ada perbedaan return antara reksa dana saham dengan pasar. I ^ey-Words: Reksa dana saham, Sharpe's measure, reward-to-variability ratio, kinerja reksa dana saham. standar deviasi, perbedaan return reksa \ dana saham dan pasar.

Mutual funds are an investment company whose capitalization "constantly changes as new shares are sold and outstanding shares are redeemed. The investors who will invest their money in the equity mutual funds should consider to the performance of the funds. The performance of the equity mutual funds is depend on the manager investment in making the portfolio. One of the methods to measure the performance of equity mutual funds is using the reward-to-variability ratio (RVAR) or Sharpe's measure. This technique uses the return (excess return) and risk (^tandard deviation) to measure funds the performance of the funds. The performance of the equity mutual funds will compare to the performance of the JfQ'45 index as a proxy of the market, to know whether the performance of portfolio tliat managed actively (equity mutual funds) is perform better than portfolio that managed passively (market) or not. The hypothesis stated that equity mutual funds should perform better than the market because the funds are managed by professional manager who has skills and ability in making the portfolios. The market the RVAR of each equity mutual fund wotdd be ranked based on their performance and preferences and finally, on the average of equity funds performance would be compared with LQ '45 index in order to know whether equity funds have better performance of not. The differences will be examined with the paired sample t-test to find whether the performance of the average equity mutual funds and the average of LQ '45 is significantly difference or not. The conclusion is obtained based on the finding of measurement of the performance of equity mutual funds using analysis of reward-to-variability ratio (^harpe's measure). The conclusion is the performance of 11 equity mutual funds are Iqetter than market and five mutual funds have positive return. Yet the performance differences between average equity mutual funds and average LQ '45 as a proxy of the market is not significantly difference. Therefore, there are not performance differences between equity mutual funds and market. i Key-Words: Equity mutual fund, Sharpe's measure, reward-to-variability ratio, j performance of equity mutual funds, the excess return, standard \ deviation, differences ofreturn mutualfunds and market. VII

Kata Kunci : Manajemen Investasi,Mutual Fund,Reksa Dana Saham