Analisis Kinerja Reksa Dana Saham dan Reksa Dana Indeks pada Pasar Modal Indonesia

Abstract

ABSTRAK FILYA RAHMADANI. Analisis Kinerja Reksa Dana Saham dan Reksa Dana Indeks pada Pasar Modal Indonesia. Dibimbing oleh WITA JUWITA ERMAWATI. Penurunan Indeks Harga Saham Indonesia (IHSG) dapat mempengaruhi kondisi pasar modal Indonesia. Investor yang berinvestasi pada reksa dana akan mengalami penurunan nilai yang sama. Investor dapat meminimalisir kerugian dengan mengukur tingkat return dan risiko. Return dihitung menggunakan Nilai Aktiva Bersih (NAB) dan risiko menggunakan metode Value at Risk (VAR). Kinerja reksa dana diukur menggunakan metode Risk Adjusted of Performances seperti Sharpe Ratio, Treynor Ratio, Jensen Ratio, M-Squared, dan Information Ratio. Investor dapat mengukur kinerja reksa dana yang melebihi (outperform) atau kurang (underperform) dari kinerja pasarnya sebagai tolak ukur (benchmark). Penelitian ini bertujuan untuk membandingkan kinerja reksa dana saham dan reksa dana indeks terhadap benchmarknya untuk keputusan investasi pada masa sebelum dan saat pandemi Covid-19. Metode pengambilan sampel menggunakan purposive sampling. Hasil yang diperoleh umumnya return dan risiko yang dihasilkan oleh reksa dana saham lebih tinggi daripada reksa dana indeks. Perhitungan kinerja reksa dana dengan lima metode berdiferensiasi. Pada tahun 2018 dan 2019 rata-rata kinerja reksa dana saham bersifat outperform. Pada tahun 2020, tidak ada reksa dana saham maupun indeks yang bekerja secara outperform. Kata kunci: Kinerja, Outperform, Return, Risiko, Underperform

ABSTRACT FILYA RAHMADANI. Performance Analysis of Equity Funds and Index Funds in the Indonesian Capital Market. Supervised by WITA JUWITA ERMAWATI. The reduction in the Indonesian Stock Price Index (IHSG) could affect the condition of the Indonesian capital market. Investors who invest in mutual funds can be impact. To minimize losses, investors can measure the level of return and risk. Return is calculated using the Net Asset Value (NAV) and risk using the Value at Risk (VAR) method. Mutual fund performance is measured using the Risk Adjusted of Performance method such as Sharpe, Treynor, Jensen, M-Squared, and Information Ratio. Than, Investors could measure outperforms or underperforms mutual funds their benchmark. This study aims to compare the performance of equity funds and index mutual funds to their benchmarks for investment decisions before and during the Covid-19 pandemic. The sampling method used purposive sampling. The results obtained are generally the return and risk generated by equity mutual funds higher than index mutual funds. The result of performance index and equity mutual funds are different. In 2018 and 2019 the average equity fund performance was outperform. In 2020, no equity or index mutual fund was outperform. Keywords: Outperform, Performance, Return, Risk, Underperform