Analisis Pengukuran Kinerja Reksa Dana Saham Periode 2011 Sampai Dengan 2015

RIANTO, ERWAN (2017) Analisis Pengukuran Kinerja Reksa Dana Saham Periode 2011 Sampai Dengan 2015. S2 thesis, Universitas Mercu Buana Jakarta-Menteng.

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Abstract

Investasi reksa dana saham merupakan investasi yang potensi keuntungannya paling tinggi dan mempunyai risiko yang paling tinggi juga dibanding Reksa Dana Pasar Uang dan Reksa Dana Pendapatan Tetap karena Reksa Dana Saham merupakan kumpulan portofolio saham yang tercatat di Bursa Efek Indonesia (BEI). Penelitian ini bertujuan untuk mengetahui kinerja Reksa Dana saham di Indonesia baik yang konvensional maupun yang syariah dengan periode 2011-2015. Metode pengukuran kinerja yang digunakan adalah metode Sharpe, Treynor, dan Jensen. Data yang digunakan pada penelitian ini adalah data sekunder dengan teknik pengambilan sampel menggunakan purposive sampling yaitu terdapat 55 reksa dana saham yang memenuhi kriteria. Teknik analisis yang digunakan pada penelitian ini adalah teknik deskriptif dengan pendekatan kuantitatif. Kinerja reksa dana saham dengan rata-rata 5 tahun menggunakan metode Sharpe dibandingkan dengan benchmark (IHSG) terdapat terdapat 21 reksa dana yang mempunyai kinerja out perform, sedangkan 34 reksa dana mempunyai kinerja under perform dan 48 Reksa Dana dengan kinerja positif. Kinerja reksa dana saham dengan rata-rata 5 tahun menggunakan metode Treynor dibandingkan dengan benchmark (IHSG) diperoleh hasil hampir berimbang yaitu 28 Reksa Dana mempunyai kinerja underperform dan 27 Reksa Dana yang mempunyai kinerja out perform dan 33 reksa dana saham dengan kinerja positif. Dengan demikian pengukuran kinerja reksa dana saham dengan metode sharpe dan metode treynor dibandingkan kinerja benchmark IHSG menunjukkan bahwa sebagian besar kinerja Reksa Dana Saham dibawah kinerja IHSG (underperform). Sementara kinerja reksa dana saham dengan rata-rata 5 tahun menggunakan metode Jensen dibandingkan dengan benchmark (IHSG) terdapat 26 Reksa Dana saham dengan kinerja positif, sedangkan kinerja out perform dan under perform tidak ada karena nilai beta IHSG nya sebesar 1. Hubungan korelasi antara Return Nilai Aktiva Bersih (NAB) reksa dana dengan Return IHSG, diperoleh nilai korelasi yang sangat tinggi yaitu sebesar 0.886 dan signifikan yang menunjukkan bahwa terdapat korelasi yang sangat kuat antara Return NAB dengan Return IHSG. Kemudian dilakukan uji lanjutan statistik dengan menggunakan uji beda Kruskal Wallish yang menunjukkan bahwa metode kinerja Treynor, Sharpe dan Jensen terjadi perbedaan antara ketiga metode tersebut. Hal ini dikarenakan nilai (p-value =Asymp. Sig.= 0.001) < (  =0.05), maka H0 ditolak. Kata Kunci: IHSG, Jensen, Kruskall Wallish, NAB, Sharpen, Treynor. Investments equity mutual fund is an investment that benefits the highest potential and has the highest risk was also compared to Money Market Mutual Funds and Fixed Income Fund for Equity Funds portfolio is a collection of stocks listed on the Indonesia Stock Exchange (BEI). This study aims to determine the performance of the Fund shares in Indonesia both conventional and sharia with the period 2011-2015. Performance measurement method used is the method of Sharpe, Treynor, and Jensen. The data used in this research is secondary data with the sampling technique used purposive sampling that contained 55 equity funds that meet the criteria. The analysis technique used in this research was descriptive with quantitative approach. The performance of equity mutual funds with an average of 5 years using the Sharpe compared to the benchmark (JCI) there are 21 mutual funds that have performance out perform, while the 34 mutual funds have performance under perform and 48 Mutual Funds with positive performance. Therefore measurement equity mutual fund using sharpe and treynor method compare tp the benchmark (JCI) indicate that most of the equity mutual fund underperform. The performance of equity mutual funds with an average of 5 years using the Treynor compared to the benchmark (JCI) gained nearly balanced result that 28 Mutual Fund has underperformed the performance and 27 Mutual Fund has a performance out perform and 33 equity funds with positive performance. While the performance of equity mutual funds with an average of 5 years using the method of Jensen compared to the benchmark (JCI) there are 26 Mutual Fund shares with a positive performance, while performance out perform and under perform there because its value JCI beta of 1. Correlation between the Return on Net Asset Value (NAV) of a mutual fund with JCI Return, correlation values were very high at 0.886 and significant indicating that there is a very strong correlation between the NAV Return with Return JCI. Then conducted further tests using different test statistic Kruskall Wallish which indicates that performance Sharpe, Treynor and Jensen there is a difference between the three methods. This is because (p-value = Asymp. Sig. = 0.001) < (  =0.05), then H0 is rejected. Keyword: JCI, Jensen, Kruskall Wallish, NAV, Sharpen, Treynor.

Item Type: Thesis (S2)
NIM/NIDN Creators: 55114120341
Uncontrolled Keywords: IHSG, Jensen, Kruskall Wallish, NAB, Sharpen, Treynor.JCI, Jensen, Kruskall Wallish, NAV, Sharpen, Treynor
Subjects: 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum
Divisions: Pascasarjana > Magister Manajemen
Depositing User: UMMI RAHMATUSSYIFA
Date Deposited: 04 Apr 2022 06:56
Last Modified: 04 Apr 2022 06:56
URI: http://repository.mercubuana.ac.id/id/eprint/59349

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