komparasi reksadana saham perusahaan investasi …

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Prosiding Seminar Nasional AIMI ISBN: 1234-5678-90-12-1 Jambi, 27 28 Oktober 2017 557 KOMPARASI REKSADANA SAHAM PERUSAHAAN INVESTASI NASIONAL DAN ASING DI INDONESIA DILIHAT DARI KINERJA, MARKET TIMING DAN STOCK SELECTION A.A.Ayu Putri Utami; Luh Gede Sri Artini Fakultas Ekonomi Dan Bisnis Universitas Udayana Denpasar e-mail: [email protected] ABSTRAK Reksadana merupakan salah satu alternatif berinvestasi bagi investor yang memiliki dana terbatas, tidak memiliki waktu dan keahlian untuk menghitung risiko dan return atas investasi yang ditanamkan. Tujuan dari penelitian ini adalah untuk mengetahui signifikansi perbedaan antara reksadana saham perusahaan investasi nasional dan asing di Indonesia dilihat dari kinerja, market timing dan stock selection. Populasi penelitian ini adalah seluruh reksadana saham yang terdaftar pada website Otoritas Jasa Keuangan yang memiliki kinerja outperform selama periode 2014-2016. Pemilihan sampel dilakukan secara obyektif berdasarkan perusahaan investasi. Penilaian terhadap kinerja reksadana saham menggunakan Indeks Sharpe sedangkan market timing dan stock selection menggunakan Treynor Mazuy. Metode yang digunakan adalah teknik analisis data berupa uji beda dua rata - rata. Hasil penelitian menunjukkan bahwa tidak terdapat perbedaan yang signifikan antara reksadana saham perusahaan investasi nasional dan asing di Indonesia dilihat dari kinerja dengan menggunakan Indeks Sharpe, tidak terdapat perbedaan yang signifikan antara reksadana saham perusahaan investasi nasional dan asing dilihat dari market timing dan tidak terdapat perbedaan yang signifikan antara reksadana saham perusahaan investasi nasional dan asing dilihat dari stock selection. Dengan demikian diharapkan penelitian ini dapat menjadi acuan bagi perusahaan investasi yang mengelola reksadana saham untuk memperbaiki kinerja, market timing dan stock selectionnya serta bagi investor dapat menjadi bahan pertimbangan dalam melakukan strategi investasi. Kata kunci : Reksadana Saham, Kinerja, Market Timing, Stock Selection, Perusahaan Investasi Nasional,Perusahaan Investasi Asing. ABSTRACT Mutual funds are one of the alternative investments for investors who have limited funds, do not have the time and expertise to calculate the risk and return on invested investments. The purpose of this study is to know the significance of the difference between mutual funds of national and foreign investment companies in Indonesia viewed from the performance, market timing and stock selection. The population of this study are all mutual fund shares listed on the website of the Financial Services Authority which has outperform performance during the period 2014-2016. The sample selection is done objectively based on the investment company. Assessment of the performance of stock funds using Sharpe Index while market timing and stock selection using Treynor Mazuy. The method used is a data analysis technique in the form of two different test average. The result of the research shows that there is no significant difference between mutual fund of national and foreign investment companies in Indonesia is seen from the performance using Sharpe Index, there is no significant difference between mutual fund of national and foreign investment companies seen from market timing and there is no significant difference between mutual funds shares of national and foreign investment companies seen from the stock selection. It is expected that this research can be a reference for investment companies that manage stock mutual funds to improve their performance, market timing and stock selection as well as for investors can be a consideration in conducting investment strategy. Key words: Mutual Fund, Performance, Market Timing, Stock Selection, National Investment Company, Foreign Investment Company.

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Prosiding Seminar Nasional AIMIISBN: 1234-5678-90-12-1 Jambi, 27 – 28 Oktober 2017

557

KOMPARASI REKSADANA SAHAM PERUSAHAAN INVESTASI NASIONALDAN ASING DI INDONESIA DILIHAT DARI KINERJA, MARKET TIMING

DAN STOCK SELECTION

A.A.Ayu Putri Utami; Luh Gede Sri Artini

Fakultas Ekonomi Dan Bisnis Universitas Udayana Denpasar

e-mail: [email protected]

ABSTRAKReksadana merupakan salah satu alternatif berinvestasi bagi investor yang memiliki danaterbatas, tidak memiliki waktu dan keahlian untuk menghitung risiko dan return atas investasiyang ditanamkan. Tujuan dari penelitian ini adalah untuk mengetahui signifikansi perbedaanantara reksadana saham perusahaan investasi nasional dan asing di Indonesia dilihat darikinerja, market timing dan stock selection. Populasi penelitian ini adalah seluruh reksadanasaham yang terdaftar pada website Otoritas Jasa Keuangan yang memiliki kinerja outperformselama periode 2014-2016. Pemilihan sampel dilakukan secara obyektif berdasarkan perusahaaninvestasi. Penilaian terhadap kinerja reksadana saham menggunakan Indeks Sharpe sedangkanmarket timing dan stock selection menggunakan Treynor Mazuy. Metode yang digunakanadalah teknik analisis data berupa uji beda dua rata - rata. Hasil penelitian menunjukkan bahwatidak terdapat perbedaan yang signifikan antara reksadana saham perusahaan investasi nasionaldan asing di Indonesia dilihat dari kinerja dengan menggunakan Indeks Sharpe, tidak terdapatperbedaan yang signifikan antara reksadana saham perusahaan investasi nasional dan asingdilihat dari market timing dan tidak terdapat perbedaan yang signifikan antara reksadana sahamperusahaan investasi nasional dan asing dilihat dari stock selection. Dengan demikiandiharapkan penelitian ini dapat menjadi acuan bagi perusahaan investasi yang mengelolareksadana saham untuk memperbaiki kinerja, market timing dan stock selectionnya serta bagiinvestor dapat menjadi bahan pertimbangan dalam melakukan strategi investasi.

Kata kunci : Reksadana Saham, Kinerja, Market Timing, Stock Selection, Perusahaan InvestasiNasional,Perusahaan Investasi Asing.

ABSTRACTMutual funds are one of the alternative investments for investors who have limited funds, do nothave the time and expertise to calculate the risk and return on invested investments. Thepurpose of this study is to know the significance of the difference between mutual funds ofnational and foreign investment companies in Indonesia viewed from the performance, markettiming and stock selection. The population of this study are all mutual fund shares listed on thewebsite of the Financial Services Authority which has outperform performance during theperiod 2014-2016. The sample selection is done objectively based on the investment company.Assessment of the performance of stock funds using Sharpe Index while market timing and stockselection using Treynor Mazuy. The method used is a data analysis technique in the form of twodifferent test average. The result of the research shows that there is no significant differencebetween mutual fund of national and foreign investment companies in Indonesia is seen fromthe performance using Sharpe Index, there is no significant difference between mutual fund ofnational and foreign investment companies seen from market timing and there is no significantdifference between mutual funds shares of national and foreign investment companies seen fromthe stock selection. It is expected that this research can be a reference for investment companiesthat manage stock mutual funds to improve their performance, market timing and stockselection as well as for investors can be a consideration in conducting investment strategy.

Key words: Mutual Fund, Performance, Market Timing, Stock Selection, National InvestmentCompany, Foreign Investment Company.