Analisis Pengaruh Faktor Makroekonomi Terhadap Kinerja Reksa Dana Terproteksi dalam Masa Pandemi COVID-19

Abstract

Investasi dan pasar modal tidak dapat dipisahkan dan memiliki pengaruh yang kuat terhadap perekonomian baik secara individu, dunia usaha, maupun nasional. Salah satu jenis reksa dana di Indonesia yang banyak diminati investor adalah reksa dana terproteksi. Dalam berinvestasi reksa dana, investor perlu mengetahui beberapa hal yang dapat mempengaruhi kinerja reksa dana, terutama dalam masa pandemi COVID-19 dimana terjadi penurunan tingkat perekonomian termasuk reksa dana. Penelitian ini bertujuan untuk mengetahui kinerja reksa dana terproteksi dibandingkan dengan kinerja pasar dan reksa dana lainnya pada periode 2016-2021. Selain itu, menganalisis pengaruh faktor makroekonomi terhadap kinerja reksa dana terproteksi sebelum dan selama pandemi COVID-19. Sumber data yang digunakan untuk menghitung kinerja reksa dana dalam penelitian ini adalah data sekunder. Data ini berupa laporan bulanan Nilai Aktiva Bersih (NAB) reksa dana terproteksi, saham, pendapatan tetap, dan pasar uang di Indonesia yang diperoleh dari publikasi Otoritas Jasa Keuangan. Ada tiga metode pengukuran kinerja reksa dana yang digunakan dalam penelitian ini, yaitu metode Sharpe, Treynor, dan Jensen. Analisis yang digunakan untuk mengolah data dalam penelitian ini menggunakan metode deskriptif dan regresi linier berganda. Hasil dari penelitian ini adalah kinerja reksa dana terproteksi pada masa sebelum pandemi COVID-19 dengan nilai perhitungan Sharpe 0,669 adalah lebih baik terhadap kinerja pasar dan terhadap reksa dana pasar uang serta saham. Namun pada periode saat pendemi COVID-19, kinerja reksa dana terproteksi mengalami penurunan. Kinerja reksa dana terproteksi dengan nilai Sharpe adalah -0,225 menempati urutan terakhir dibandingkan reksa dana lainnya, yaitu dibawah kinerja reksa dana pendapatan tetap, pasar uang, dan saham. Faktor makroekonomi yang menunjukkan pengaruh signifikan terhadap kinerja reksa dana terproteksi pada periode saat pandemi COVID-19 adalah IHSG, suku bunga Bank Indonesia, dan jumlah uang beredar. Saran kepada investor untuk lebih selektif memilih produk reksa dana sebagai tempat berinvestasi. Salah satu pertimbangan penting bahwa investor lebih fokus pada faktor yang berpengaruh signifikan, antara lain: IHSG, BI rate, dan jumlah uang beredar.

Investment and the capital market are inseparable and have a strong influence on the economy both individually, in the business world, and nationally. One of the types of mutual funds in Indonesia that is in great demand by investors is Capital Protected Funds. In investing in mutual funds, investors need to know several things that can affect the performance of mutual funds, especially during the COVID-19 pandemic which has had a bad effect on the economy and also mutual funds. This study aims to know the performance of Capital Protected Funds compared to market and other mutual funds in the 2016-2021 period. Then to analyze the influence of macroeconomic factors on the performance of Capital Protected Funds before and during the COVID-19 pandemic. The source of data used to calculate the performance of mutual funds in this study is secondary data. This data is in the form of a monthly report Net Asset Value (NAV) of Capital Protected, Equity, Fixed Income, and Money Market Funds in Indonesia obtained from the publications of the Indonesian Financial Services Authority. There are three methods of measuring the performance of mutual funds used in this study: Sharpe, Treynor, and Jensen methods. The analysis used to process the data in this study was quantitative analysis using descriptive and multiple linear regression analysis. The result of this study is the performance of Capital Protected Fund in the period before the COVID-19 pandemic with Sharpe value of 0.669 was better for market performance and for money market and equity fund. However, during the COVID-19 pandemic the performance of Capital Protected Fund was decreased. The performance of Capital Protected Fund with the Sharpe calculation value of -0.225 would be ranks last compared to other mutual funds, which is below the performance of fixed income, money market and equity fund. Macroeconomic factors that showed a significant influence on the performance of Capital Protected Fund during the COVID-19 pandemic are the IHSG, Bank Indonesia interest rates, and the money supply. Suggestions for investors to be more selective in choosing mutual fund products as a place to invest. One of the important considerations is that investors focus more on factors that have a significant effect, including IHSG, BI rate, and the money supply.