CORRELATION ANALYSIS BETWEEN JAKARTA COMPOSITE INDEX AND LQ45 INDEX WITH NET ASSET VALUE OF EQUITY MUTUAL FUND AND BALANCED MUTUAL FUND - Binus e-Thesis

  

ABSTRACT

Subprime mortgage is one factor causes world economic in crisis. The impact has

stroke the stock exchange world wide, included Indonesia Stock Exchange (BEI).The

investors who are investing in the instrument of Stocks and Mutual Fund are having

consequences of global financial crisis and index prices drops. In Indonesia, Mutual

Fund is guaranteed by the BAPEPAM with the Act of Capital Market no.8, 1995

(Undang-Undang Pasar Modal ). The main purposes of the research is to analyze JCI

and LQ 45 index with Equity Mutual Fund and Balanced Mutual Fund in terms of

risk and return, sharpe ratio, correlation and whether the JCI and LQ 45 are linked

together over time with Vector autoregression. Types of research methodology are

using secondary research method and analysis method. In return, Equity Mutual

Fund has a higher return than Balanced Mutual Fund because the portfolio

diversification consists of money market and equity, but in Balanced Mutual Fund

there is also bond as portfolio. In risk, Equity Mutual Fund is more risky than

Balanced Mutual Fund as compensation with higher return. Sharpe ratio is used to

measure the performance of mutual fund. The higher the Sharpe ratio, the better the

fund's historical risk-adjusted performance. In Vector Autoregression, both Equity

Mutual Fund and Balanced Mutual Fund will affect by both JCI and LQ 45 Index.

  

Key: equity mutual fund; balanced mutual fund; risk and return; sharpe ratio;

correlation; vector autoregression.

  

PROLOGUE

  First of all, writer would like to praise and thank God for the blessing and loving care, as helps the writer with the trouble-free in accomplished this thesis with a title “Correlation Analysis between Jakarta Composite Index and LQ 45 Index with Net Asset Value of Equity Mutual Fund and Balanced Mutual Fund”. The thesis is conducted as one of the requirements to conclude the post graduate degree at Bina Nusantara Business School. The purposed of the thesis is to apply the knowledge that has learned at the school

  The writer would like to show appreciation to whom that helped the writer to conclude the thesis:

  1. Mr. Johan Halim, MBA as a counselor 2.

  Professors at Bina Nusantara Business School who has transferred their knowledge to the writer.

  3. Family and beloved parents supported writer to conclude the thesis.

  4. Friends of the writer whose name are not mention each. Moreover, writer has realized there is not such thing of perfection in the making of the thesis, so any critics and advices that help the ideal of this thesis would appreciate. Finally, writer would like to thankful for the support and attention that have been given and hopefully the thesis will give a value for the readers.

  Jakarta, 07 March 2008.

  Writer

  TABLE OF CONTENT

  Front Page............................................................................................................ i Statement of Purpose........................................................................................... ii Supervisor’s Approval........................................................................................ iii PROLOGUE....................................................................................................... iv ABSTRACT …………………………………………………………………... v TABLE OF CONTENT ……………………………………………………….. vi TABLE OF FIGURES ………………………………………………………… ix

  CHAPTER I INTRODUCTION ………………………………………………. 1

  1.1 Background…………………………………………………………………. 1

  1.2 Problem Identification……………………………………………………... 3

  1.3 Objective and Benefit ……………………………………………………… 4

  1.4 Scope ………………………………………………………………………. 5 CHAPTER II LITERATURE REVIEW………………………………………..

  2.1 Mutual Fund ……………………………………………………………….. 6

  2.1.1 Definition of Mutual Fund ………………………………………………. 6

  2.1.2 Definition of Investment Companies ……………………………………. 6

  2.1.3 Definition of Investment Manager ………………………………………. 7

  2.1.4 Characteristic of Mutual Fund …………………………………………... 7

  2.1.5 Types of Mutual Fund …………………………………………………… 8

  2.1.6 Net Asset Value (NAV) …………………………………………………. 13

  2.1.7 Advantages and Disadvantages of Investing in Mutual Fund ………….. 14

  2.2 Index ………………………………………………………………………. 16

  2.3 Expected Return, Variance and Standard Deviation to Measure Risk ……. 19

  2.4 Risks ………………………………………………………………………. 20

  2.4.1 Types of Risk ……………………………………………………………. 20

  2.4.2 Risk Measurement ………………………………………………………. 21

  2.4.2.1 Risk Premium …………………………………………………………. 21

  2.4.2.2 Measuring Systematic Risk …………………………………………… 22

  2.4.2.3 Estimating Risk Premium ……………………………………………... 22

  2.4.3 Diversification and Portfolio Risk ………………………………………. 23

  2.4.4 Sharpe Ratio ……………………………………………………………... 23

  2.4.5 Portfolio of Two Risky Assets …………………………………………... 24

  2.5 Statistical Theory ………………………………………………………….. 26

  2.5.1 Inferential Statistic ………………………………………………………. 26

  2.5.2 Covariance ………………………………………………………………. 26

  2.5.3 Correlation ………………………………………………………………. 27

  2.5.4 Vector Autoregression …………………………………………………... 28

  3.1 Framework ………………………………………………………………… 32

  3.2 Research Methodology ……………………………………………………. 34

  3.3 Methods of Data Collection ……………………………………………….. 34

  3.4 Techniques of Data Processing ……………………………………………. 36

  3.5 Variable ……………………………………………………………………. 37

  3.6 Population and Sample …………………………………………………….. 38

  3.7 Model and Method of Analysis ……………………………………………. 39

  3.7.1 Hypothesis Testing ………………………………………………………. 39

  3.7.2 Coefficient of Correlation ………………………………………………... 41

  3.7.3 Vector Autoregression …………………………………………………… 41

  CHAPTER IV ANALYSIS AND SOLUTION ……………………………….. 43

  4.1 Introduction ………………………………………………………………… 43

  4.2 Risk and Return Analysis ............................................................................... 44

  4.3 Risk and Return of Balanced Mutual Fund ……………….……………...… 45

  4.4 Correlation and Vector Autoregression of Balanced Mutual Fund................ 50

  4.4.1 Schroder Dana Terpadu II............................................................................ 53

  4.4.2 Fortis Spektra .............................................................................................. 57

  4.4.3 Mandiri Investa Aktif .................................................................................. 61

  4.4.4 Batavia Si Dana Dinamis ............................................................................ 65

  4.4.5 Manulife Dana Campuran............................................................................ 69

  4.4.6 Bahana Dana Infrastruktur........................................................................... 73

  4.4.7 Danareksa Anggrek...................................................................................... 77

  4.4.8 Optima Fleksi............................................................................................... 81

  4.4.9 Simas Danamas Fleksi................................................................................. 85

  4.4.10 BNI Dana Fleskibel Dua ........................................................................... 89

  4.5 Risk and Return of Equity Mutual Fund......................................................... 93

  4.6 Correlation and Vector Autoregression of Equity Mutual Fund.................... 97

  4.6.1 Schroder Dana Prestasi Plus....................................................................... 100

  4.6.2 Fortis Ekuitas............................................................................................. 104

  4.6.4 Batavia Si Dana Saham.............................................................................. 112

  4.6.5 Manulife Dana Saham ............................................................................... 116

  4.6.6 Bahana Dana Prima.................................................................................... 120

  4.6.7 Danareksa Mawar Agresif ......................................................................... 124

  4.6.8 Optima Saham............................................................................................ 128

  4.6.9 Simas Danamas Saham.............................................................................. 132

  4.6.10 BNI Reksadana Berkembang................................................................... 136

  CHAPTER V CONCLUSION AND RECOMMENDATION........................... 141

  5.1 Conclusion .................................................................................................... 141

  5.2 Recommendation........................................................................................... 146 BIBILIOGRAPHY.............................................................................................. 147 RESUME............................................................................................................. 148 ATTACHMENT 1 Net Asset Value of Balance Mutual Fund............................ L1 ATTACHMENT 1 Net Asset Value of Equity Mutual Fund.............................. L2

  

TABLE OF FIGURES

Figure 4.11 Return, Standard deviation and Sharpe Ratio – Fortis Spektra ......... 57Figure 4.20 Return, Standard deviation and Sharpe Ratio – Manulife DanaFigure 4.19 Vector Autoregression Estimates – Batavia Si Dana Dinamis.......... 67Figure 4.18 Correlation Matrix – Batavia Si Dana Dinamis................................. 66

  Dinamis ............................................................................................. 65

Figure 4.17 Return, Standard deviation and Sharpe Ratio – Batavia Si DanaFigure 4.16 Vector Autoregression Estimates – Mandiri Investa Aktif................ 63Figure 4.15 Correlation Matrix – Mandiri Investa Aktif....................................... 62

  ............................................................................................................ 61

Figure 4.14 Return, Standard deviation and Sharpe Ratio – Mandiri Investa AktifFigure 4.13 Vector Autoregression Estimates – Fortis Spektra............................. 59Figure 4.12 Correlation Matrix – Fortis Spektra.................................................... 58Figure 4.10 Vector Autoregression Estimates – Schroder Dana Terpadu II......... 55Figure 2.1 Mechanism of Corporate Mutual Fund..............................................11Figure 4.9 Correlation Matrix – Schroder Dana Terpadu II................................ 54

  II ........................................................................................................ 53

Figure 4.8 Return, Standard deviation and Sharpe Ratio – Schroder Dana TerpaduFigure 4.7 Vector Autoregression of All Product of Balanced Mutual Fund with 2 lags and 4 lags.................................................................................... 52Figure 4.6 Correlation Matrix of All Product of Balanced Mutual Fund........... 50Figure 4.5 Sharpe Ratio of All Product of Balanced Mutual Fund.................... 49Figure 4.4 BI Rate as Risk Free Rate.................................................................. 49Figure 4.3 Risk of All Product of Balanced Mutual Fund.................................. 48Figure 4.2 Return of All Product of Balanced Mutual Fund.............................. 47Figure 4.1 List of Balanced Mutual Fund........................................................... 46Figure 3.1 Research Diagram..............................................................................33Figure 2.2 Mechanism of Collective Investment Contract Mutual Fund............13

  Campuran .......................................................................................... 69

Figure 4.21 Correlation Matrix – Manulife Dana Campuran................................ 70Figure 4.33 Correlation Matrix – Sinarmas Danamas Fleksi............................... 86Figure 4.43 Correlation Matrix of All Product of Equity Mutual Fund.............. 97Figure 4.42 Sharpe Ratio of All Product of Equity Mutual Fund....................... 96Figure 4.41 BI Rate as Risk Free Rate................................................................. 96Figure 4.40 Risk of All Product of Equity Mutual Fund...................................... 95Figure 4.39 Return of All Product of Equity Mutual Fund................................... 94Figure 4.38 List of Equity Mutual Fund............................................................... 93Figure 4.37 Vector Autoregression Estimates – BNI Dana Fleksibel Dua.......... 91Figure 4.36 Correlation Matrix – BNI Dana Fleksibel Dua................................. 90

  Dua.................................................................................................... 89

Figure 4.35 Return, Standard deviation and Sharpe Ratio – BNI Dana FleksibelFigure 4.34 Vector Autoregression Estimates – Sinarmas Danamas Fleksi........ 87

  Fleksi................................................................................................. 85

Figure 4.22 Vector Autoregression Estimates – Manulife Dana Campuran......... 71Figure 4.32 Return, Standard deviation and Sharpe Ratio – Sinarmas DanamasFigure 4.31 Vector Autoregression Estimates – Optima Fleksi........................... 83Figure 4.30 Correlation Matrix – Optima Fleksi.................................................. 82

  4.29 Return, Standard deviation and Sharpe Ratio – Optima Fleksi ........................................................................................................... 81

  Figure

Figure 4.27 Correlation Matrix – Danareksa Anggrek......................................... 78

  ........................................................................................................... 77

Figure 4.26 Return, Standard deviation and Sharpe Ratio – Danareksa AnggrekFigure 4.25 Vector Autoregression Estimates – Bahana Dana Infrastruktur........ 75Figure 4.24 Correlation Matrix – Bahana Dana Infrastruktur............................... 74

  4.23 Return, Standard deviation and Sharpe Ratio – Bahana Dana Infrastruktur....................................................................................... 73

  Figure

Figure 4.44 Vector Autoregression of All Product of Equity Mutual Fund with 2 lags and 4 lags.................................................................................... 99Figure 4.45 Return, Standard deviation and Sharpe Ratio – Schroder Dana Prestasi

  Figure

Figure 4.64 Correlation Matrix – Danareksa Mawar Agresif............................. 125

  Agresif ............................................................................................ 124

Figure 4.63 Return, Standard deviation and Sharpe Ratio – Danareksa MawarFigure 4.62 Vector Autoregression Estimates – Bahana Dana Prima... .............122Figure 4.61 Correlation Matrix – Bahana Dana Prima....................................... 121

  4.60 Return, Standard deviation and Sharpe Ratio – Bahana Dana Prima................................................................................................ 120

  Figure

Figure 4.59 Vector Autoregression Estimates – Manulife Dana Saham............ 118Figure 4.58 Correlation Matrix – Manulife Dana Saham................................... 117

  Saham............................................................................................... 116

Figure 4.57 Return, Standard deviation and Sharpe Ratio – Manulife Dana

  4.56 Vector Autoregression Estimates – Batavia Si Dana Saham............................................................................................... 114

Figure 4.55 Correlation Matrix – Batavia Si Dana Saham.................................. 113

  Plus .................................................................................................. 100

  Saham............................................................................................... 112

Figure 4.54 Return, Standard deviation and Sharpe Ratio – Batavia Si DanaFigure 4.53 Vector Autoregression Estimates – Mandiri Investa Atraktif.......... 110Figure 4.52 Correlation Matrix – Mandiri Investa Atraktif................................ 109

  Atraktif............................................................................................. 108

Figure 4.50 Vector Autoregression Estimates – Fortis Ekuitas............................106Figure 4.49 Correlation Matrix – Fortis Ekuitas.................................................. 105

  4.48 Return, Standard deviation and Sharpe Ratio – Fortis Ekuitas .......................................................................................................... 104

  Figure

  4.47 Vector Autoregression Estimates – Schroder Dana Prestasi Plus................................................................................................... 102

  Figure

Figure 4.46 Correlation Matrix – Schroder Dana Prestasi Plus........................... 101Figure 4.65 Vector Autoregression Estimates – Danareksa Mawar Agresif...... 126Figure 4.66 Return, Standard deviation and Sharpe Ratio – Optima Saham....... 128Figure 4.67 Correlation Matrix – Optima Saham.................................................129Figure 4.68 Vector Autoregression Estimates – Optima Saham......................... 130Figure 4.69 Return, Standard deviation and Sharpe Ratio – Simas Danamas

  Saham............................................................................................... 132

Figure 4.70 Correlation Matrix – Simas Danamas Saham.................................. 133Figure 4.71 Vector Autoregression Estimates – Simas Danamas Saham........... 134Figure 4.72 Return, Standard deviation and Sharpe Ratio – BNI Reksadana

  Berkembang..................................................................................... 136

Figure 4.74 Vector Autoregression Estimates – BNI Reksadana

  Berkembang.................................................................................... 138