Analisis Konsistensi Pengukuran Kinerja Portofolio Tri Frida Suryati

Analisis Konsistensi Pengukuran Kinerja Portofolio

Reksadana Saham

Tri Frida Suryati

Fakultas Ekonomi Universitas Sulawesi Barat

Email: trifrida.suryati@gmail.com

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Penelitian ini bertujuan menganalisis kinerja portofolio Reksadana Saham dengan cara membandingkan return portofolio Reksadana Saham dengan IHSG dan konsistensi model pengukuran Reksadana Saham di Bursa Efek Indonesia.

Penelitian ini menggunakan model pengukuran kinerja portofolio reksadana Saham model dari composite measure yaitu model Treynor, model Sharpe dan model Jensen. Selanjutnya diukur konsistensi ketiga model tersebut dengan mengukur kinerja portofolio Reksadana Saham. Sampel penelitian sebanyak 43 portofolio Reksadana Saham yang terdaftar di Bursa Efek Indonesia tahun 2008 sampai 2010. Analisis yang digunakan adalah analisis independent sampel t-test, one sampel t-test, dan one way ANOVA dengan menggunakan program statistik SPSS.

Hasil penelitian menunjukkan bahwa tidak ada perbedaan antara return portofolio Reksadana Saham dengan return pasar (IHSG). Model Treynor, Sharpe dan Jensen mempunyai kinerja yang berbeda dengan IHSG. Berdasarkan model pengukuran kinerja Treynor, Sharpe dan Jensen diperoleh bahwa kinerja IHSG jauh lebih tinggi dibandingkan dengan kinerja portofolio Reksadana Saham. Pengujian konsistensi menunjukkan bahwa pengukuran kinerja model Treynor dan model Jensen tidak berbeda. Sedangkan model pengukuran Treynor dan model pengukuran Jensen berbeda dengan model pengukuran kinerja Sharpe.

Kata Kunci: Return Reksadana Saham, IHSG, Composite Measure.

ABSTRACT

This research aims to analyse the portfolio performance of Equity Fund by comparing the return portfolio of the equity fund with IHSG and the consistency of the measurement model of equity fund in the Indonesia Stock Exchange.

In this study, the models used to measure the portfolio performance of equity fund were models of the composite measure: Treynor’s model, Sharpe’s model, and Jensen’s model. Furthermore, the consistency of the three models in measuring the portfolio performance of equity fund was measured. The samples involved in this study were 43 equity fund fortfolio listed in the Indonesia Stock Exchange from 2008 to 2010. The analyses used were the independent sample t-test, one sample t-test and one way ANOVA analyses, using SPSS statistical program.

The results reveal that there is no difference between the return portfolio of equity fund with the market return (IHSG). The Treynor, Sharpe, and Jensen’s performance model has a different performance compared to the IHSG. Based on the measurements of Treynor, Sharpe and Jensen’s model, it is found that the performance of IHSG is much higher than the portfolio performance of equity fund. Meanwhile. The consistency test reveals that the measurement of Treynor and Jensen models are not different, whereas the measurement models of Treynor and Jensen models are different from the Sharpe’s performance measurement model.

Key Word: return portfolio of the equity fund, IHSG, Composite Measure.