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Pengaruh Kebijakan Alokasi Aset dan Pemilihan Sekuritas terhadap Kinerja Reksa Dana Terbuka Berbentuk Kontrak Investasi Kolektif

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Berbagai hasil penelitian mengindikasikan bahwa kinerja reksa dana banyakdipengaruhi oleh kebijakan alokasi aset dan pemilihan sekuritas. Di samping itu,diduga pula adanya kemungkinan terjadinya ke-tidakkonsisten-an hubungan antarakebijakan alokasi aset dan realisasi alokasi aset yang dilakukan oleh manajer investasi.Mengacu kepada kedua fenomena di atas, penelitian ini dilakukan dengan tujuan: (i)menganalisis kinerja tiga jenis reksa dana, yaitu reksa dana saham, reksa danapendapatan tetap, dan reksa dana campuran; (ii) menganalisis seberapa besar kinerjaketiga reksa dana tersebut dipengaruhi oleh kebijakan alokasi aset dan pemilihansekuritas; dan (iii) mengkaji konsistensi manajer investasi dalam menjalankankebijakan alokasi aset.Metode penelitian yang digunakan adalah metode deskriftip dan verifikatif. Data yangdigunakan dalam penelitian ini adalah data sekunder berupa publikasi yang diterbitkanBursa Efek Surabaya, Busa Efek Jakarta, laporan mingguan dari Bapepam, BankIndonesia, dan sumber lainnya. Untuk mengestimasi kinerja masing-masing reksa danadigunakan metode Sharpe Ratio (Elton et al., 2003: 295), sedangkan untukmenganalisis pengaruh kebijakan alokasi aset dan pemilihan sekuritas terhadap kinerjareksa dana digunakan analisis regresi linier berganda yang model matematiknyadikembangkan berdasarkan Asset Class Factor Model (Sharpe, 1992). Untuk mengujikonsistensi manajer investasi dalam menjalankan kebijakan alokasi aset digunakananalisis statistik Uji F (Gujarati, 2003: 268).Hasil penelitian menunjukkan bahwa kinerja ketiga jenis reksa dana periode 2001-2003 umumnya lebih tinggi daripada patok duga (benchmark) yang digunakan. Lebihjauh, hasil penelitian menunjukkan bahwa kebijakan alokasi aset dan pemilihansekuritas berpengaruh terhadap ketiga kinerja reksa dana. Hal ini mengindikasikanbahwa kinerja reksa dana banyak ditentukan oleh kedua jenis kegiatan manajerinvestasi tersebut. Berkaitan dengan konsistensi manajer investasi dalam menjalankankebijakan alokasi aset, hasil penelitian menunjukkan bahwa antara kebijakan alokasiaset yang telah ditetapkan dan realisasi alokasi aset yang dilakukan oleh manajerinvestasi reksa dana saham dan reksa dana pendapatan tetap tidak terdapat perbedaanberarti. Hal ini mengindikasikan bahwa manajer investasi konsisten dalammelaksanakan kebijakan alokasi aset. Untuk reksa dana campuran ditemukanperbedaan yang berarti antara kebijakan alokasi aset yang ditentukan dan realisasialokasi aset. Hal ini mengandung arti bahwa manajer investasi reksa dana campurantidak konsisten dalam melaksanakan kebijakan alokasi aset.

A number of studies indicates that performance of mutual fund is mostly influenced byasset allocation policy and security selection. It is also indicated that there is aphenomenon where relationship between asset allocation policy and asset allocationimplementation by investment manager is inconsistent. Referring to these observablefacts, this study is carried out with the following objectives: (i) to analyze performanceof three different types of mutual funds (i.e., equity, fixed income, and balanced funds);(ii) to analyze the influence of asset allocation policy and security selection onperformance of the above-mentioned types of mutual funds; and (iii) to comprehendthe level of consistence of fund managers in executing asset allocation policies.Descriptive and verificative methods were performed in this study. Secondary datarelating to mutual fund performance analyses were used. These sets of data werecollected from a number of publications published by Bank of Indonesia, the SurabayaStock Exchange, Jakarta Stock Exchange, and Bapepam. The Sharpe Ratio (Elton etal., 2003:295) was used to determine performance of mutual funds under investigation.Multiple linear regression analysis whose statistical equation models were developedbased on Asset Class Factor Model (Sharpe, 1992) was used to analyze the impact ofasset allocation policy and security selection on mutual fund performance. In themeans time, F test (Gujarati, 2003: 268) was adopted to comprehend fund managers'consictencies in accomplishing their missions.The Results of this study showed that performances of all types of mutual funds duringthe period between 2001 and 2003 were higher than performance of their benchmarks(i.e., market return levels). It was also found that asset allocation policy and securityselection significantly influenced performance of equity fund, fixed income fund, and ofbalanced fund. This indicates that performance of mutual fund was determined bythese two most important activities of investment managers. Finally, results of thestudy find that there was no significant difference between asset allocation policy andasset allocation realization which has been executed by investment managers of equityfund and fixed income fund. This means that asset allocation policy was consistentlyaccomplished by investment managers of these two types of mutual fund. A differentfinding was determined for investment managers of balanced fund. There was found asignificant difference between asset allocation policy and asset allocation indicatingthat investment managers of balanced fund were inconsistent in implementing theirasset allocation policies.

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D995

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Bandung : ., 2005

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Indonesia

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NONE

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