Analisis Pengaruh Stock Selection Skills, Market Timing Ability, Fund Size, dan Fund Longevity terhadap Kinerja Reksa Dana Saham di Indonesia

ABSTRAK

ANALISIS PENGARUH STOCK SELECTION SKILLS, MARKET TIMING
ABILITY, FUND SIZE, DAN FUND LONGEVITY TERHADAP
KINERJA REKSA DANA SAHAM DI INDONESIA

Penelitian ini dilakukan untuk mengetahui dan menganalisis pengaruh
stock selection skill, market timing ability, fund size, dan fund longevity terhadap
kinerja reksa dana saham di Indonesia dengan menggunakanpengukuran Sharpe
Ratio. Populasi yang digunakan dalam penelitian ini adalah seluruh reksa dana
saham yang aktif, diketahui tanggal efektifnya dan terdaftar di Badan Pengawas
Pasar Modal-Lembaga Keuangan (Bapepam-LK) dimulai periode Desember
2011-Desember 2014, yaitu sebanyak 48 reksa dana saham.Data yang digunakan
dalam penelitian ini adalah data sekunder. Penelitian ini menggunakan data Nilai
Aktiva Bersih (NAB) bulanan reksa dana, tanggal efektif reksa dana, BI Rate, dan
IHSG periode 2012-2014. Penelitian ini menggunakan model data panel dengan
teknik analisis regresi linier berganda. Hasil penelitian menunjukkan, secara
simultan stock selection skill, market timing ability, fund size, dan fund longevity
berpengaruh signifikan terhadap kinerja reksa dana saham. Sedangkan secara
parsial, diperoleh hasil bahwa stock selection skill dan market timing ability
berpengaruh positif signifikan terhadap kinerja reksa dana dan fund size serta fund

longevity jugaberpengaruh positif tetapi tidak signifikan terhadap kinerja reksa
dana saham.
Kata kunci : stock selection skill, market timing ability, fund
longevity, kinerja reksa dana saham

size, fund

Universitas Sumatera Utara

ABSTRACT

ANALYSIS THE EFFECT OF STOCK SELECTION SKILLS, MARKET
TIMING ABILITY, FUND SIZE, AND FUND LONGEVITY ON THE
PERFORMANCE OF FUND SHARES IN INDONESIA

This study was conducted to determine and analyze the effect of stock
selection skills, market timing ability, fund size and fund longevity on the
performance of mutual fund shares in Indonesia by using Sharpe Ratio’s measure.
The population and sample used in this study are all active equity funds, known to
the effective date and is listed on the Badan Pengawas Pasar Modal-Lembaga

Keuangan (Bapepam-LK) that began from the period December 2011 to
December 2014, as many as 48 mutual fund shares. The data used in this research
is secondary data. This study uses data monthly Net Asset Value (NAV) of a
mutual fund, the effective date of mutual funds, BI Rate, and JCI 2012-2014. This
study uses panel data model with multiple linear regression analysis. The results
showed, simultaneously stock selection skills, market timing ability, fund size and
fund longevity significantly effecting the performance of mutual fund shares.
While partially, the result showed that stock selection skills and market timing
ability significantly positive effecting the performance of mutual funds and then
fund size and fund longevity also positively but not significantly effected the
performance of mutual fund shares.
Keywords: stock selection skills, market timing ability, fund size, fund
longevity, performance of mutual fund shares

Universitas Sumatera Utara