Analisis Pengaruh Market Timing Ability, Stock Selection Skill, Expense Ratio dan Tingkat Risiko terhadap Kinerja Reksa Dana Saham di Indonesia

ABSTRAK

ANALISIS PENGARUH MARKET TIMING ABILITY, STOCK SELECTION
SKILL, EXPENSE RATIO DAN TINGKAT RISIKO TERHADAP
KINERJA REKSA DANA SAHAM DI INDONESIA

Penelitian ini bertujuan untuk menganalisis pengaruh market timing
ability, stock selection skill, expense ratio dan tingkat risiko terhadap kinerja reksa
dana saham di Indonesia dengan menggunakan pengukuran Sharpe Ratio.
Populasi dalam penelitian ini adalah seluruh produk reksa dana saham saham yang
aktif, diketahui tanggal efektifnya dan terdaftar di Otoritas Jasa Keuangan (OJK)
pada periode 2012 sampai 2015yang berjumlah 174 produk reksa dana dengan
sampel berjumlah 13 produk reksa dana saham. Data yang digunakan dalam
penelitian ini adalah data bulanan Nilai Aktiva Bersih (NAB), data bulanan SBI,
data bulanan IHSG, dan prospektus dari 13 reksa dana saham yang dijadikan
sampel dengan periode penelitian selama tahun 2012 sampai 2015. Penelitian ini
menggunakan model data panel dengan teknik analisis
regresi linier
berganda.Hasil penelitian menunjukkan, secara simultan market timing ability,
stock selection skill, expense ratio, dan tingkat risiko berpengaruh signifikan
terhadap kinerja reksa dana saham. Sementara secara parsial stock selection skill

berpengaruh negatif signifikan terhadap kinerja reksa dana saham, tingkat risiko
berpengaruh positif signifikan terhadap kinerja reksa dana saham, market timing
ability berpengaruh berpengaruh positif tidak signifikan terhadap kinerja reksa
dana saham dan expense ratio berpengaruh negatif tidak signifikan terhadap
kinerja reksa dana saham periode penelitian 2012 sampai 2015.
Kata Kunci : market timing ability, stock selection skill, expense ratio, tingkat
risiko dan kinerja reksa dana saham.

i
Universitas Sumatera Utara

ABSTRACT
ANALYSIS THE EFFECT OF MARKET TIMING ABILITY, STOCK
SELECTION SKILLS, EXPENSE RATIO AND RISK LEVEL ON
EQUITY MUTUAL FUNDS PERFORMANCE’S
IN INDONESIA
The purpose of this study is to analyze the effect of market timing ability,
stock selection skill, expense ratio and risk level on equity mutual fund’s
performance using Sharpe Ratio’s measure.The population and sample used in
this study are all active equity funds, the effective date is known and listed in

Otoritas Jasa Keuangan (OJK) that began from the period 2012 to 2015 as many
as 174 equity mutual fund and the sample are 13 equity mutual fund. This study
uses monthly Net Asset Value (NAV) of a mutual fund, monthly SBI, and IHSG
2012-2015 and prospectus from 13 equity mutual fund. This study uses panel data
model with multiple linear regression analysis. The result on this study shows that
market timing ability, stock selection skill, expense ratio and risk level
simultaneously affecting equity mutual fund’s performance. Meanwhile, the result
of partial test on stock selection skill has negative significant effect on equity
mutual fund’s performance, risk level has possitive significant effect on equity
mutual fund’s performance, market timing ability has possitive insignificant effect
on equity mutual fund’s performance, expense ratio has negative insignificant
effect on equity mutual fund’s performance on 2012 to 2015 period.
Keywords: market timing ability, stock selection skill, expense ratio, risk
level and performance of equity mutual funds.

ii
Universitas Sumatera Utara