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................................. 66Dinamis ............................................................................................. 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................................ 54II ........................................................................................................ 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............13Campuran .......................................................................................... 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................................. 90Dua.................................................................................................... 89
Figure 4.35 Return, Standard deviation and Sharpe Ratio – BNI Dana FleksibelFigure 4.34 Vector Autoregression Estimates – Sinarmas Danamas Fleksi........ 87Fleksi................................................................................................. 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.................................................. 824.29 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............................... 744.23 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 PrestasiFigure
Figure 4.64 Correlation Matrix – Danareksa Mawar Agresif............................. 125Agresif ............................................................................................ 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....................................... 1214.60 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................................... 117Saham............................................................................................... 116
Figure 4.57 Return, Standard deviation and Sharpe Ratio – Manulife Dana4.56 Vector Autoregression Estimates – Batavia Si Dana Saham............................................................................................... 114
Figure 4.55 Correlation Matrix – Batavia Si Dana Saham.................................. 113Plus .................................................................................................. 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................................ 109Atraktif............................................................................................. 108
Figure 4.50 Vector Autoregression Estimates – Fortis Ekuitas............................106Figure 4.49 Correlation Matrix – Fortis Ekuitas.................................................. 1054.48 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 DanamasSaham............................................................................................... 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 ReksadanaBerkembang..................................................................................... 136
Figure 4.74 Vector Autoregression Estimates – BNI ReksadanaBerkembang.................................................................................... 138