KINERJA REKSA DANA DI INDONESIA DITINJAU DARI PEMILIHAN SAHAM, DAN TINGKAT RISIKO

Authors

  • Diyan Lestari Institut Teknologi dan Bisnis Kalbis

DOI:

https://doi.org/10.12928/optimum.v9i2.13304

Keywords:

mutual fund, performance, stock selection, risk level

Abstract

Mutual fund is a pool investment which combines many investment products. It is managed by investment manager. It can be stock, bond, and other investment products. Currently, there is positve trend of mutual fund performance in Indonesia. It can be concluded that Indonesian tend to realize the positive impact of mutual fund investment which has relatively fix returns compare to other investment products. However, the stability of economic and political condition in Indonesia also drive the positive trend of mutual fund investment. Every investors want to gain optimal return. They will observe the mutual fund which has the maximum return. To predict mutual fund performance, many studies consider threee measurement which is Sharpe, Tryenor amd Jensen. This study aims to examine the mutual fund performace based on stock selection, and risk consideration.. This study use pool regression to analyze the data. The result shows that risk level do not effect the mutual fund performance, while stock selection effect the mutual fund performance.

References

Alexandri, M. B. (2011). Analisis Karakteristik, Kinerja dan Persistensi Reksa Dana Saham di Indonesia. Working Paper.

Arifiani, I. (2009). Analisis Pengaruh Kompensasi Manajemen, Ukuran Reksa Dana, dan Tingkat Risiko terhadap Kinerja Reksa Dana Campuran di Indonesia Tahun 2006 – 2008. Skripsi. Universitas Sebelas Maret, Surakarta.

Biglari, B., & Nazaripour, M. (2016). The Method of Stock Selection with the Intention of Portfolio Formation. Problems and Perspectives in Management 14(3-si), 429-438.

CEIC. (2015). Additional of Mutual Fund Datasets. https://www.ceicdata.com/en/press/addition-mutual-fund-datasets diakses pada 14 Desember 2016.

Chen, D. (2013). An Empirical Study on Mutual Funds Performance and Performace Persistence in China. Thesis. Lincoln University.

Cuthbertson, K. & Nitzsche, D. (2012). Performance, Stock Selection and Market Timing of the German Equity Mutual Fund Industry. Working Paper.

Global Business Guide Indonesia. (2014). Overview of Indonesia’s Mutual Fund Industry. http://www.gbgindonesia.com/en/finance/article/2014/overview_of_indonesia_s_mutual_fund_industry.php diakses pada 14 Desember 2016.

Gunawan, R. A. (2014). Investasi Reksadana Saham Secara Jangka Panjang di Indonesia Berdasarkan Keputusan Ketua BAPEPAM - LK. Jurnal Manajemen, Vol. 11, No.2, 73-83.

Hsu, J., Kalesnik, V., & Myers, B. (2010). “Performance Attribution: Measuring Dynamic Allocation Skillâ€, Financial Analysts Journal, Vol. 66, No. 6, pp.

Kalyan, N. B., & Gautami, S. (2018). A Study on Risk & Return Analysis of the Selected Mutual Funds Schemes In India. International Journal of Research in Social Sciences, Vol. 8 Issue 5.

Klapper, L., Sulla, V. & Vittas, D. (2002). The Development of Mutual Funds Around the World. Working Paper.

Lestari, D. (2019). Measuring e-commerce adoption behaviour among gen-Z in Jakarta, Indonesia. Economic Analysis and Policy, Vol. 64, 103-115.

Manurung, A. H. (2002). Lima Bintang untuk Agen Penjual Reksa Dana. Jakarta: Ghalia Indonesia.

Nurcahya, G. P., & Bandi. (2010). Reksa Dana di Indonesia: Analisis Kebijakan Alokasi Aset, Pemilihan Saham, dan Tingkat Risiko. Simposium Akuntansi XIII, Purwokerto 2010.

Paranita, C., Dzulkirom, M. & Hidayat, R. R. (2015). “Analisis Kinerja Investasi dalam Reksadana Saham (Equity Funds) dengan Metode Sharpe dan Treynorâ€. Jurnal Administrasi Bisnis (JAB), Vol 27, No. 1.

Prather, L., Middleton, K. & Cusack, A. (2001). “Are N + 1 Heads Better than One? The Timing and Selectivity of Australian-Managed Investment Fundsâ€, Pacific-Basin Finance Journal 9, pp.379-400.

Prince, T., & Bacon , F. (2012). Analyzing Mutual Fund Performance Against Established Performance Benchmarks: A Test of Market Efficiency . Research in Business and Economics Journal.

Sekreter, A. (2017). An Analysis of Theories on Stock Returns. International Journal of Social Sciences & Educational Studies, Vol. 3, No.3, 149-154.

Sharpe, W. (1966). “Mutual Fund Performanceâ€. The Journal of Business, Vol. 39, No. 1, Part. 2: Supplement on Security Preices, pp. 119-138.

Simons, K. (1998). Risk-Adjusted Performance of Mutual Funds. New England Economic Review.

Treynor, J. L. & Mazuy, K. (1966). “Can Mutual Funds Outguess the Market?â€, Harvard Business Review, Vol. 44, pp.131-136.

Zakaria, N., & Hashim, F. (2017). Emerging Markets: Evaluating Graham’s Stock Selection Criteria on Portfolio Return in Saudi Arabia Stock Market. International Journal of Economics and Financial Issues, 7(2) , 453-459.

Downloads

Published

2019-09-01

Issue

Vol. 9 No. 2 (2019)

Section

Articles

License

License and Copyright Agreement

In submitting the manuscript to the journal, the authors certify that:

  • They are authorized by their co-authors to enter into these arrangements.
  • The work described has not been formally published before, except in the form of an abstract or as part of a published lecture, review, thesis, or overlay journal.
  • That it is not under consideration for publication elsewhere.
  • That its publication has been approved by all the author(s) and by the responsible authorities tacitly or explicitly of the institutes where the work has been carried out.
  • They secure the right to reproduce any material that has already been published or copyrighted elsewhere.
  • They agree to the following license and copyright agreement.