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Abstract
Reksadana adalah media yang digunakan untuk mengumpulkan uang dari investor dan kemudian diinvestasikan dalam bentuk portofolio oleh manajer investasi. Penelitian ini bertujuan untuk mengukur kinerja manajer investasi reksadana syariah dengan menganalisis securities selection skill dan market timing ability berdasarkan model TreynorMazuy dan Henriksson-Merton. Data yang digunakan dalam penelitian ini adalah Nilai Aktiva Bersih, Sertifikat Bank Indonesia dan Jakarta Islamic Index. Populasi dalam penelitian ini adalah sembilan puluh tiga reksadana. Sampel diambil dengan menggunakan teknik purposive sampling. Sampel yang digunakan adalah tiga belas reksadana syariah yang terdaftar di Bursa Efek Indonesia dari 2014 hingga 2016. Penelitian ini menggunakan metode regresi yang diolah dengan menggunakan Eviews 7.0. Hasil penelitian menunjukkan bahwa berdasarkan Sharpe Ratio mengindikasikan bahwa dari tiga belas reksadana, hanya ada empat reksadana yang berkinerja baik sementara sembilan reksadana lainnya berkinerja buruk. Hasil berdasarkan model Treynor-Mazuy dan Henriksson-Merton mengindikasikan bahwa manajer investasi tidak memiliki securities selection skill dan market timing ability. Secara umum, temuan tersebut menunjukkan bahwa manajer investasi reksadana tidak memiliki kemampuan untuk memilih aset dari portofolio yang diharapkan untuk memberikan return dan tidak memiliki kemampuan untuk mengambil kebijakan yang tepat untuk membeli atau menjual sekuritas tertentu. Disarankan agar Otoritas Jasa Keuangan harus mengadakan pelatihan berkelanjutan untuk manajer investasi dan harus mengeluarkan sertifikasi baru khusus untuk manajer investasi dengan meningkatkan standar kompetensi.
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Copyright (c) 2023 Marta Dwiyana, Nur Indah Riwajanti, Fita Setiadi
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References
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- Agarwal, S., C. Tandon & P. S. Raychudhuri. (2016). Determinants of Mutual Funds Investor Preferences and Returns in India: An
- Empirical Assessment in Delhi- NCR Region. The International Journal of Business & Management, 4 (10), 417-424.
- Ambarwati. (2007). Analisis Perbandingan Kinerja Reksadana Saham dengan Kinerja Pasar (IHSG) melalui Pendekatan Sharpe dan
- Treynor. Tesis Tidak Dipublikasikan. Universitas Diponegoro.
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- Bukhari, S. K. H & M. Azam. (2015). A Comparative Returns Performance Review of Islamic Equity Funds with Socially Responsible Equity Funds and the Broader Market Indices. The Lahore Journal of Economics, 20 (2), 53– 75.
- Chen, L., A. Adams & R. Taffler. (2013). What styletiming skills do mutual fund “stars” possess? Journal of Empirical Finance, 21 (2013), 156173.
- Christensen, M. (2013). Danish mutual fund performance. Journal Applied Economic Letters, 20 (8), 818-820.
- Cuthbertson, K., D. Nitzsche, N. O'Sullivan. (2008). UK mutual fund performance: skill or luck? Journal of Empirical Finance, 15(2008), 613634.
- Cuthbertson, K., D. Nitzsche & N. O’Sullivan. (2010). The Market Timing Ability of UK Mutual Funds. Journal of Business, Finance and Accounting, 37 (1), 270-289.
- Dewan Syariah Nasional MUI. (2001). “Himpunan Fatwa Dewan Syariah Nasional”. MUI, Jakarta.
- Henriksson DR, Merton RC. 1981. On Market Timing and Investment Performance II, Statistical Procedures for Evaluating Forcasting Skills. Journal of Business, 54 pp. 513-533.
- Imisiker, S & U. Ozlale. (2014). Assessing Selectivity and Market Timing Performance of Mutual Funds for an Emerging Market: The Case of Turkey. Journal Emerging Markets Finance and Trade, 44 (2), 87-99.
- Jiang J., T. Yao & T. Yu. (2007). Do mutual funds time the market? Evidence from portfolio holdings. Journal of Financial Economics 86, 724-758.
- Mansor, F & M. I. Bhatti. (2011). The Islamic Mutual Fund Performance: New Evidence on Market Timing and Stock Selectivity. Proceeding. International Conference on Economics and Finance Research, 487-494.
- Putri, R. A. (2012). Pengukuran Kemampuan Stock Selection dan Market Timing Reksa Dana Saham di Indonesia. Tesis. Universitas Indonesia, Program Magister Manajemen. Jakarta: Fakultas Ekonomi.
- Sharpe, W.F., G. J. Alexander, and J.V. Bailey. (1998). Investment. Parentice Hall: New York.
- Swinkels, L & L. Tjong-A-Tjoe. (2007). Can Mutual Funds Time Investment Styles? Journal of Asset Management, 8(2007), 123-132.
- Treynor, J. L. and K. Mazuy. (1966). Can Mutual Funds Outguess The Market?, Harvard Business Review, (online), Vol. 44, hal. 131– 136. Waelan. (2008). Kemampuan Memilih Saham dan Market Timing Manajer Investasi Reksa Dana Saham di Bursa Efek Indonesia. Tesis. Vol 12. hal. 167–176,
- Walia, N. & R. Kiran. (2009). An Analysis of Investor’s Risk Perception towards Mutual Funds Services. International Journal of Business and Management, 4 (5), 106-120.
References
Abdel-Kader, M & Y. Kuang. (2007). Risk-Adjustment Performance, Selectivity, Timing Ability and Performance Persistence of Hong Kong Mutual Funds. Journal of Asia-Pacific Business, 8(2), 25-58.
Agarwal, S., C. Tandon & P. S. Raychudhuri. (2016). Determinants of Mutual Funds Investor Preferences and Returns in India: An
Empirical Assessment in Delhi- NCR Region. The International Journal of Business & Management, 4 (10), 417-424.
Ambarwati. (2007). Analisis Perbandingan Kinerja Reksadana Saham dengan Kinerja Pasar (IHSG) melalui Pendekatan Sharpe dan
Treynor. Tesis Tidak Dipublikasikan. Universitas Diponegoro.
Ashraf, D. (2013). Performance evaluation of Islamic mutual funds relative to conventional funds: Empirical evidence from Saudi Arabia", International Journal of Islamic and Middle Eastern Finance and Management, 6 (2), pp.105-121, https://doi.org/10.1108/175383913113298 15
Bukhari, S. K. H & M. Azam. (2015). A Comparative Returns Performance Review of Islamic Equity Funds with Socially Responsible Equity Funds and the Broader Market Indices. The Lahore Journal of Economics, 20 (2), 53– 75.
Chen, L., A. Adams & R. Taffler. (2013). What styletiming skills do mutual fund “stars” possess? Journal of Empirical Finance, 21 (2013), 156173.
Christensen, M. (2013). Danish mutual fund performance. Journal Applied Economic Letters, 20 (8), 818-820.
Cuthbertson, K., D. Nitzsche, N. O'Sullivan. (2008). UK mutual fund performance: skill or luck? Journal of Empirical Finance, 15(2008), 613634.
Cuthbertson, K., D. Nitzsche & N. O’Sullivan. (2010). The Market Timing Ability of UK Mutual Funds. Journal of Business, Finance and Accounting, 37 (1), 270-289.
Dewan Syariah Nasional MUI. (2001). “Himpunan Fatwa Dewan Syariah Nasional”. MUI, Jakarta.
Henriksson DR, Merton RC. 1981. On Market Timing and Investment Performance II, Statistical Procedures for Evaluating Forcasting Skills. Journal of Business, 54 pp. 513-533.
Imisiker, S & U. Ozlale. (2014). Assessing Selectivity and Market Timing Performance of Mutual Funds for an Emerging Market: The Case of Turkey. Journal Emerging Markets Finance and Trade, 44 (2), 87-99.
Jiang J., T. Yao & T. Yu. (2007). Do mutual funds time the market? Evidence from portfolio holdings. Journal of Financial Economics 86, 724-758.
Mansor, F & M. I. Bhatti. (2011). The Islamic Mutual Fund Performance: New Evidence on Market Timing and Stock Selectivity. Proceeding. International Conference on Economics and Finance Research, 487-494.
Putri, R. A. (2012). Pengukuran Kemampuan Stock Selection dan Market Timing Reksa Dana Saham di Indonesia. Tesis. Universitas Indonesia, Program Magister Manajemen. Jakarta: Fakultas Ekonomi.
Sharpe, W.F., G. J. Alexander, and J.V. Bailey. (1998). Investment. Parentice Hall: New York.
Swinkels, L & L. Tjong-A-Tjoe. (2007). Can Mutual Funds Time Investment Styles? Journal of Asset Management, 8(2007), 123-132.
Treynor, J. L. and K. Mazuy. (1966). Can Mutual Funds Outguess The Market?, Harvard Business Review, (online), Vol. 44, hal. 131– 136. Waelan. (2008). Kemampuan Memilih Saham dan Market Timing Manajer Investasi Reksa Dana Saham di Bursa Efek Indonesia. Tesis. Vol 12. hal. 167–176,
Walia, N. & R. Kiran. (2009). An Analysis of Investor’s Risk Perception towards Mutual Funds Services. International Journal of Business and Management, 4 (5), 106-120.