Analisis Stock Selection Skills dan Market Timing Abiliites Manajer Investasi Terhadap Reksa Dana Saham Periode 2010-2013

     

  16 PT Corfina Capital Grow-2-Prosper 0086504 √ √ √ Sampel

  12 PT Batavia Prosperindo Aset Manajemen

  Batavia Dana Saham Optimal

  0086769 √ √ √ Sampel

  5

  13 PT Bowsprit Asset Management

  Reksa Dana Penyertaan Terbatas Bowsprit

  00D87A

  14 PT CIMB Principal Asset Management

  CIMB-Principal Equity Aggressive

  0099556 √ √ √ Sampel

  6

  15 PT Ciptadana Asset Management

  Rencana Cerdas 0091017 √ √ √ Sampel

  7

  8

  11 PT Batasa Capital BIG Dana Syariah Terproteksi

  17 PT Dana Nusa Indonesia Reksa Dana Brent Blue Chip Flexi

  BRBF

  18 PT Danareksa Investment Management

  Danareksa Mawar RDMW

  19 PT Danatama Makmur Danareksa Seruni RDSN

  20 PT Dhanawibawa Manajemen Investasi

  RDPT Dhanawibawa Eksklusif 1

  RDPT DW 1

  21 PT Eastspring Investment Indonesia

  Reksadana Eastspring Investment Value

  ESIFIF

  22 PT Emco Asset Management

  Reksa Dana Makinta Growth Fund

  00D68B √ √ √ Sampel

  BIGDST

  4

  LAMPIRAN I Daftar Manajer Investasi Reksa Dana Saham yang Menjadi Sampel Penelitian:

  Archipelago Equity Growth

  No Manajer Investasi Nama Reksa Dana Kode Reksa Dana Kriteria Penentuan Sampel Sampel 1 2 3

  1 AAA Asset Management AAA Blue Chip Value Fund 2

  611702

  2 PT AMCI Manajemen Investasi Indonesia

  Amobligasi Jibor 1 Year Plus

  AMC01

  3 PT AXA Asset Management Indonesia

  Reksa Dana AXA Citradinamis

  BIIDINA √ √ √ Sampel

  1

  4 PT Aberdeen Asset Management

  Reksa Dana NISP Indeks Saham Progresif

  CPF2

  5 PT Archipelago Asset Management

  0084699

  Reksa Dana Ekuitas Prima RDEP √ √ √ Sampel

  6 PT Ashmore Asset Management

  Ashmore Dana Ekuitas Nusantara

  D0AS01

  7 PT Avrist Asset Management

  Avrist Equity – Cross Sectoral

  0087783

  8 PT BNI Asset Management

  BNI Reksa Dana Berkembang

  000D1B √ √ √ Sampel

  2

  9 PT BNP Paribas Investment Partners

  BNP Paribas Maxi Saham 0082214 √ √ √ Sampel

  3

  10 PT Bahana TCW Investment Management

  9

     

  Mandiri Investasi UGM 0083303 √ √ √ Sampel

  Maybank GMT Dana Ekuitas

  43 PT Maybank GMT Asset Management

  14

  Manulife Dana Saham 0092882 √ √ √ Sampel

  42 PT Manulife Aset Manajemen Indonesia

  13

  41 PT Mandiri Manajemen Investasi

  15

  12

  BIG-EQ √ √ √ Sampel

  Reksa Dana MNC Dana Ekuitas

  40 PT MNC Asset Management

  RDLDP

  39 PT Lippo Securities Tbk Reksa Dana Lippo Dana Prima

  0085209 √ √ √ Sampel

  44 PT Mega Asset Management

  00D54N √ √ √ Sampel

  16

  Net Dana Flexi NETFLE

  49 PT Net Assets Management

  Narada Saham Indonesia 0087768

  48 PT Narada Kapital Indonesia

  Minna Padi Keraton II 611901

  47 PT Minna Padi Aset Manajemen

  00D61B √ √ √ Sampel

  Mega Asset Maxima

  Reksa Dana Millenium Equity

  46 PT Millenium Danatama Indonesia

  0D10AI

  RDPT Mega Saham Maxima

  45 PT Mega Capital Investama

  0D10AQ

  11

  Reksa Dana Lautandhana Equity Progressive

  No Manajer Investasi Nama Reksa Dana Kode Reksa Dana Kriteria Penentuan Sampel Sampel 1 2 3

  FIPF √ √ √ Sampel

  29 PT Indo Premier Investment Management

  HPAMD

  Reksa Dana HPAM Saham Dinamis

  28 PT Henan Putihrai Asset Management

  27 PT GAP Capital GAP Equity Fund 0085126

  10

  Reksa Dana First State Indoequity Peka Fund

  0088245

  26 PT First State Investments Indonesia

  Reksa Dana V Plus RVP1

  25 PT Eurocapital Peregrine Securities

  Reksa Dana Prima 0092841

  24 PT Equity Securities Indonesia

  23 PT Equator Investment Equator Alpha 0087395

  Premier Ekuitas Makro Plus

  30 PT Indoasia Aset Manajemen

  38 PT Lautandhana Investment Management

  35 PT Kharisma Asset Management

  Mrs Cash Kresna MRSCK

  37 PT Kresna Asset Management

  612101

  Kiwoom Indonesia Optimum Fund

  36 PT Kiwoom Investment Management Indonesia

  Kharisma Flexi Terbatas 710801

  34 PT Jisawi Finas Jisawi Profresif 612003

  I Am Equity Fund

  33 PT Intru Nusantara Garuda Satu GARSAT

  Reksa Dana Guru 0086652

  32 PT Insight Asset Management

  R099

  Reksa Dana Indosurya Balance Fund

  31 PT Indosurya Asset Management

  IND02IA MEFFI

  XIM

     

  RELIAN CECT

  20

  63 PT Prospera Asset Management

  Prospera Bijak 0084343

  64 PT Quant Kapital Investama

  Reksa Dana Quant Investa Saham

  RDQIS

  65 PT RHB OSK Asset Management

  RHB OSK Alpha Sector Rotation

  RHBASR

  66 PT Recapital Asset Management

  Reksa Dana Terproteksi Recapital Proteksi VI

  RECAPIT ALVI

  67 PT Reliance Asset Management

  Reksa Dana Reliance Cerdas Terencana

  68 PT Samuel Aset Manajemen

  62 PT Pratama Capital Assets Management

  71 PT Signature Capital Indonesia

  73 PT Sucorinvest Asset Management

  22

  000D80 √ √ √ Sampel

  Reksa Dana Simas Danaman Saham

  72 PT Sinarmas Asset Management

  Synergy Capital 0085167

  Semesta Dana Saham 0088534

  SAM Indonesian Equity Fund

  70 PT Semesta Aset Manajemen

  21

  SIEF √ √ √ Sampel

  Reksa Dana Schroder Indo Equity Fund

  69 PT Schroder Investment Management Indonesia

  0084665

  Pratama Saham 0099424 √ √ √ Sampel

  00D66A

  No Manajer Investasi Nama Reksa Dana Kode Reksa Dana Kriteria Penentuan Sampel Sampel 1 2 3

  53 PT PG Asset Management

  Reksa Dana Pacific Equity Fund

  55 PT Pacific Capital Investment

  PNM Saham Agresif 0084962

  54 PT PNM Investment Management

  00D31B

  Reksa Dana PG Sejahtera

  00D32B

  56 PT NISP Asset Management

  52 PT Optima Investama Optima Pasar Uang

  OSO Sustainability Fund OSUS

  51 PT OSO Manajemen Investasi

  RB001IN DEQSH

  Nikko Indonesia Equity Fund

  50 PT Nikko Securities Indonesia

  PACIFIC EQ

  Reksa Dana NISP Indeks Saham Progresif

  Reksa Dana Phillip Rupiah Balanced Fund

  19

  61 PT Phillip Asset Management

  00D40A

  60 PT Pavillion Capital Reksa Dana Pavillion Dana Anugrah

  00D18A

  Reksa Dana Paramitra Platinum

  59 PT Paramitra Alfa Sekuritas

  Panin Dana Maksima 0091033 √ √ √ Sampel

  NISP √ √ √ Sampel

  58 PT Panin Asset Management

  18

  IMASH √ √ √ Sampel

  Panin Dana Prima GR002PR

  57 PT Panin Asset Management

  17

  Sucorinvest Equity Fund 008D57

     

  No Manajer Investasi Nama Reksa Dana Kode Reksa Dana Kriteria Penentuan Sampel Sampel 1 2 3

  74 PT Surya Timur Alam Raya

  Reksa Dana Star Balanced 008D60

  75 PT Syailendra Capital Syailendra Equity Opportunity Fund 0082412 √ √ √ Sampel

  23

  76 PT Treasure Fund Investama

  TF Super Maxxi 622101

  77 PT Trimegah Asset Management

  TRIM Kapital 000D2B √ √ √ Sampel

  24

  78 PT Valbury Capital Management

  Reksa Dana Valbury Equity 1

  VALBUR YE1 Sumber: www.bapepam.go.id (Data Diolah oleh Peneliti, 2014)

LAMPIRAN II

     

  Data Nilai Aktiva Bersih (NAB) yang digunakan sebagai variabel return portofolio dalam penelitian: BULAN KODE REKSA DANA BIIDINA 000D1B 0082214 RDEP 0086769

  JAN 2,103,328,212 41,925,124,212 30,143,661,389 188,419,674,418 83,849,635,976 FEB 2,852,205,693 38,446,430,692 42,519,796,916 231,746,630,711 81,607,206,660

MAR 47,242,488,847 39,593,667,023 61,088,735,165 261,987,792,908 86,244,853,154

APR 61,682,816,648 41,632,849,719 64,786,873,934 238,824,303,356 86,891,613,976

  MEI 58,600,130,323 33,719,469,174 110,701,385,640 243,263,530,722 104,052,447,615 JUN 62,082,271,929 35,126,769,910 115,419,786,450 247,903,746,859 109,394,092,791 JUL 72,056,677,915 31,159,147,372 122,290,178,282 253,060,502,705 68,628,369,351

AGT 69,673,467,163 27,553,166,471 121,820,530,470 216,127,222,032 66,639,887,928

SEP 78,510,543,670 26,406,248,408 135,398,238,770 266,941,226,791 67,816,420,550

OKT 78,559,901,139 8,075,682,420 140,658,044,482 254,682,771,651 78,491,598,230

  

NOV 75,672,851,053 33,103,832,873 134,637,422,092 237,871,863,219 86,994,893,300

DES 81,126,855,881 34,057,068,799 140,282,143,753 297,552,006,741 96,200,025,056 BULAN KODE REKSA DANA 0099556 0091017 0086504 00D68B FIPF

  JAN 74,188,971,747 54,425,171,819 10,756,529,600 23,598,620,042 61,510,248,849 FEB 72,477,331,542 67,889,110,326 11,470,713,318 22,965,031,833 80,260,945,685

MAR 55,297,003,180 73,957,149,214 10,814,388,771 23,321,968,911 83,954,377,609

APR 56,906,306,289 77,871,288,679 11,246,958,207 24,814,957,274 71,639,311,634

  MEI 53,419,795,185 72,514,436,893 25,410,956,835 20,996,657,430 65,730,287,793 JUN 51,159,419,804 65,768,236,565 26,834,898,293 20,826,622,713 60,085,771,692 JUL 41,071,901,706 69,171,252,675 27,519,413,136 17,815,231,377 52,208,260,795

AGT 35,934,275,881 68,940,616,259 27,839,624,938 12,404,076,237 46,933,777,039

SEP 37,391,433,100 77,023,546,322 30,869,490,275 11,652,168,843 37,379,689,359

OKT 37,000,459,337 80,279,276,397 33,592,359,780 10,886,141,763 33,723,611,572

  

NOV 35,705,651,560 78,585,103,180 32,219,132,385 10,585,406,930 34,053,977,177

DES 35,147,436,516 90,346,769,710 36,149,456,351 26,930,296,345 38,185,559,904

NAB 2010

BULAN KODE REKSA DANA

     

  00D54N BIG-EQ 0083303 0092882 0085209

JAN 24,639,283,293 4,354,091,757 19,203,373,926 1,946,864,872,501 39,919,483,963

FEB 23,713,609,996 4,863,936,393 17,641,154,632 1,913,655,379,432 43,239,044,377

  

MAR 24,626,346,476 31,537,713,437 9,418,014,125 1,972,043,193,686 45,339,299,632

APR 25,574,160,573 34,194,038,186 9,418,800,816 2,034,252,352,396 38,883,414,234

MEI 23,943,546,245 32,664,037,763 31,076,503,619 1,996,509,991,139 35,383,689,078

JUN 99,263,581 32,804,111,525 20,840,533,015 2,011,328,042,866 30,258,224,587 JUL 97,568,700 33,987,834,366 9,792,621,739 1,964,006,265,509 27,408,279,541

AGT 101,599,086 33,230,501,926 9,793,306,765 1,889,254,405,135 26,790,363,515

SEP 100,272,247 37,215,629,481 9,902,338,136 2,115,743,661,907 28,501,093,791

OKT 42,925,051,628 41,038,820,632 26,124,159,390 2,263,284,462,363 35,485,278,897

  

NOV 51,819,405,280 40,761,745,623 31,382,939,165 2,312,318,990,566 37,471,868,435

DES 59,694,405,650 62,893,486,488 35,026,514,168 2,540,515,577,799 44,751,101,526

BULAN KODE REKSA DANA

  00D61B NISP GR002PRIMA SH 0091033 0099424

JAN 10,330,141,637 111,242,088,933 343,711,315,459 587,138,882,848 464,890,466,499

FEB 30,222,661,828 122,048,923,054 393,462,386,767 608,413,343,770 471,326,907,795

  

MAR 34,560,328,921 104,347,212,979 524,129,319,938 741,857,473,244 501,913,532,372

APR 38,097,618,943 106,857,028,316 643,413,947,002 910,638,708,255 551,028,830,069

MEI 28,987,188,177 113,711,914,710 648,424,060,109 1,077,310,553,121 478,718,294,602

JUN 26,988,349,883 102,316,090,095 575,927,689,866 975,042,303,346 455,484,290,327

JUL 28,171,336,689 98,705,497,224 588,683,007,845 1,016,259,468,056 473,558,464,458

AGT 30,943,698,729 95,770,976,671 604,788,395,168 1,199,605,288,350 467,761,120,939

SEP 33,697,917,295 96,020,704,791 690,493,763,893 1,361,433,356,148 501,954,935,111

OKT 32,341,989,476 112,432,771,783 731,398,421,421 1,626,019,813,334 515,694,740,652

  

NOV 30,331,956,205 112,389,794,449 695,480,993,782 1,787,039,414,616 502,755,349,961

DES 30,445,183,372 124,710,545,222 744,637,893,045 2,170,074,915,500 572,561,567,624

BULAN KODE REKSA DANA SIEF 000D80 0082412 000D2B

     

  

JAN 163,915,641,631 110,678,309,834 31,421,875,376 739,167,595,292

FEB 174,835,934,322 125,482,982,646 34,437,378,085 717,972,949,217

MAR 197,421,560,339 128,052,082,208 30,642,190,631 693,421,465,979

APR 220,035,266,462 135,529,745,334 38,636,282,908 674,478,386,029

  

MEI 211,708,996,491 132,185,810,908 25,843,377,613 574,599,411,276

JUN 231,200,707,064 128,959,063,505 26,938,095,846 577,462,448,457

JUL 244,991,987,018 124,806,530,868 29,451,014,481 545,456,386,933

AGT 254,107,361,081 119,656,125,952 26,570,562,975 463,318,872,456

SEP 284,598,797,932 126,716,335,801 36,216,942,563 428,908,730,280

OKT 352,365,634,389 138,072,065,810 38,937,841,050 422,529,329,636

  

NOV 367,309,835,365 138,662,901,494 39,497,602,126 412,608,520,178

DES 383,340,018,043 129,230,445,401 98,141,170,062 481,062,379,708

BULAN

  

KODE REKSA DANA

BIIDINA 000D1B 0082214 RDEP 0086769

JAN 73,200,760,849 30,493,824,375 149,839,651,492 340,504,656,523 107,788,313,803

FEB 75,330,140,287 30,202,167,687 150,962,048,575 360,359,447,514 110,594,865,071

  

MAR 78,737,722,610 32,868,117,845 160,659,789,490 374,716,293,586 118,532,057,256

APR 75,371,650,727 33,345,884,715 233,744,976,010 392,611,527,782 121,659,278,885

MEI 65,979,526,008 36,903,504,925 234,651,446,017 383,595,697,159 119,704,072,401

JUN 66,680,547,474 36,335,432,942 257,412,703,333 366,417,441,343 120,951,501,318

JUL 71,385,263,884 38,881,871,212 288,192,019,112 379,814,118,995 104,666,772,413

AGT 67,997,394,684 38,587,795,127 269,357,115,904 520,236,673,131 107,788,325,699

SEP 62,485,174,248 35,603,852,326 246,856,553,316 473,128,771,618 99,046,755,134

OKT 67,317,371,376 38,670,997,890 268,984,592,809 571,650,895,367 107,637,317,703

  

NOV 61,076,302,172 37,127,713,780 259,668,541,473 521,312,958,509 109,953,379,240

DES 56,467,255,779 37,397,206,203 269,778,408,899 538,281,728,879 112,217,016,384

NAB 2011

BULAN KODE REKSA DANA 0099556 0091017 0086504

     

  00D68B FIPF

JAN 31,809,599,073 91,157,735,474 35,179,748,193 24,213,456,180 34,170,597,935

FEB 31,701,100,406 92,884,700,175 35,203,402,993 23,911,759,130 36,003,747,336

  

MAR 32,775,933,493 106,081,896,752 38,583,784,499 25,287,494,976 38,771,187,500

APR 31,096,087,793 111,678,397,503 40,493,024,331 26,308,282,899 38,190,575,433

MEI 30,152,657,259 114,840,210,059 40,724,296,410 26,295,714,110 35,602,281,642

JUN 30,536,710,810 116,802,743,337 40,102,515,065 25,325,305,646 33,869,436,987

JUL 29,764,957,993 125,733,918,176 38,453,094,434 28,446,008,641 66,535,972,248

AGT 27,186,084,089 121,407,973,694 40,279,744,070 27,796,207,267 149,428,784,058

SEP 24,703,773,581 111,259,334,671 36,449,814,852 24,716,204,091 157,266,129,241

OKT 26,493,546,036 120,598,899,498 38,519,132,046 25,570,778,977 169,963,889,173

  

NOV 25,421,578,048 116,750,471,333 37,882,931,386 24,676,178,440 169,139,607,699

DES 28,400,917,731 108,652,966,294 38,375,048,079 25,918,734,490 166,569,304,811

BULAN KODE REKSA DANA

  00D54N BIG-EQ 0083303 0092882 0085209

JAN 54,852,921,987 73,047,423,129 46,814,267,119 2,720,755,177,936 47,732,074,806

FEB 55,944,583,961 85,538,255,653 80,896,459,730 2,825,170,747,425 48,722,145,557

  

MAR 59,808,665,862 93,819,685,111 99,014,631,462 3,081,123,224,409 52,170,879,780

APR 61,383,631,133 93,543,442,849 102,002,301,126 3,355,796,461,939 54,991,316,216

MEI 61,290,124,127 102,623,169,203 103,313,599,241 3,453,915,619,656 55,264,362,158

JUN 62,509,712,442 118,728,702,199 115,281,209,101 3,383,059,974,750 59,700,609,799

JUL 67,392,733,685 149,334,271,280 102,568,020,660 3,466,069,323,079 57,987,011,685

AGT 66,617,248,843 277,906,632,450 119,218,038,030 3,177,444,923,448 75,587,282,162

SEP 60,098,306,044 260,735,798,483 111,501,037,711 2,897,778,330,368 71,390,657,175

OKT 65,921,547,899 286,964,935,034 125,950,325,509 3,129,821,512,591 79,051,242,100

  

NOV 63,343,203,955 285,273,989,528 122,244,922,704 3,023,560,035,429 76,004,773,085

DES 65,294,798,561 272,242,095,667 133,295,150,548 3,082,769,775,945 78,250,141,721

BULAN KODE REKSA DANA

     

  00D61B NISP GR002PRIMASH 91033 99424

JAN 29,332,859,921 125,803,031,792 813,920,249,615 2,258,793,214,879 548,652,340,183

FEB 29,596,585,491 134,795,945,662 821,362,078,270 2,369,926,273,044 561,725,257,131

  

MAR 30,549,650,730 132,209,595,092 814,440,304,027 2,722,080,210,888 614,670,838,328

APR 31,115,423,228 130,002,769,959 816,822,760,106 3,074,365,268,142 620,112,166,421

MEI 29,491,479,610 131,832,647,307 888,206,539,491 3,505,924,370,452 615,768,532,234

JUN 27,126,120,914 128,645,978,215 908,078,603,342 3,678,852,698,032 612,629,453,498

JUL 27,716,929,451 99,246,664,339 811,256,571,385 3,972,240,981,981 617,840,340,908

AGT 25,747,466,155 113,738,088,106 957,180,461,220 4,361,362,532,815 575,575,888,776

SEP 24,858,020,592 114,050,923,585 902,854,117,131 4,186,685,151,687 500,561,739,436

OKT 26,808,243,162 114,198,071,452 1,006,729,238,148 4,665,068,995,553 551,973,968,760

  

NOV 27,313,186,944 113,210,910,692 1,091,525,714,845 4,599,623,912,033 529,529,912,521

DES 28,213,712,952 114,243,345,982 1,134,654,400,551 4,757,655,753,605 556,805,502,390

BULAN KODE REKSA DANA SIEF 000D80 0082412 000D2B

  

JAN 363,615,658,732 153,636,815,054 150,328,055,739 444,622,125,760

FEB 380,034,638,743 160,600,131,895 160,489,476,744 470,608,849,491

MAR 411,041,716,547 170,382,064,792 178,882,563,024 510,665,535,075

APR 429,569,974,203 174,961,469,719 185,761,076,750 502,321,731,783

  

MEI 430,186,940,984 195,345,540,763 194,614,624,681 502,676,149,747

JUN 441,430,452,105 192,803,674,692 201,791,578,109 483,659,785,075

JUL 481,655,878,524 199,767,742,487 107,607,048,378 472,375,400,131

AGT 471,338,147,951 187,174,615,292 193,302,855,592 475,787,297,880

SEP 459,631,408,680 178,425,056,138 181,947,802,519 438,925,935,974

OKT 569,181,901,763 195,386,096,421 223,614,055,560 470,724,493,754

  

NOV 589,066,912,295 183,729,881,583 214,377,895,133 459,176,756,193

DES 607,048,507,055 191,728,652,200 174,636,480,040 465,437,733,416

BULAN BIIDINA 000D1B 0082214 RDEP 0086769

     

  JAN 56,679,108,391 38,546,577,205 125,906,693,187 405,875,360,886 119,362,641,298 FEB 59,797,259,639 39,975,927,784 31,202,344,897 369,875,654,599 119,942,012,829

MAR 55,681,423,479 37,284,695,046 32,200,627,652 274,360,575,736 117,333,565,849

APR 48,942,550,367 40,178,566,196 32,456,734,606 274,685,644,122 105,602,611,024

  MEI 48,452,436,037 35,684,601,485 29,437,289,493 353,161,728,656 103,623,139,306 JUN 51,555,346,833 37,299,789,785 30,425,826,675 362,984,074,898 108,103,534,950 JUL 52,518,410,172 38,393,404,616 31,309,086,913 369,435,773,460 52,741,270,070

AGT 53,206,685,340 36,770,387,871 30,260,332,074 292,548,873,227 49,887,241,697

SEP 73,169,582,202 38,785,444,515 31,816,906,168 309,393,819,097 63,041,086,138 OKT 90,808,695,023 39,396,364,612 32,413,620,185 235,135,495,128 125,234,204,288

  

NOV 89,545,319,878 37,950,007,464 31,929,784,801 412,572,668,152 192,545,605,500

DES 89,178,688,513 38,740,498,211 32,545,047,561 580,038,342,455 224,793,718,823

BULAN KODE REKSA DANA 0099556 0091017 0086504

  00D68B FIPF JAN 28,756,410,075 104,619,298,377 38,764,503,795 7,890,261,027 143,092,722,492 FEB 31,248,616,570 106,728,679,745 40,385,566,206 18,378,013,060 149,920,588,040

  

MAR 27,035,577,046 108,265,585,578 40,582,609,237 22,086,850,790 154,453,881,445

APR 36,770,155,263 109,075,069,637 38,920,713,357 38,753,747,934 260,425,296,195

MEI 38,081,691,263 98,495,695,627 34,344,690,495 25,809,752,567 377,335,516,967

JUN 43,447,988,756 101,133,481,234 35,426,198,381 27,199,519,812 517,412,132,232

  JUL 41,999,562,460 106,613,144,039 37,267,460,529 28,554,949,533 517,849,798,180

AGT 37,494,677,132 98,290,495,485 30,895,749,476 27,692,375,089 502,067,749,475

SEP 38,188,249,640 104,158,225,478 31,703,541,288 29,002,306,235 552,799,330,751

OKT 39,178,925,422 103,526,181,938 26,364,591,982 31,643,819,766 637,185,351,871

  

NOV 43,380,333,236 100,499,341,546 26,781,827,035 30,597,577,448 865,259,456,935

DES 43,135,487,417 100,642,051,404 25,128,335,644 32,397,951,279 979,914,002,298 NAB 2012

BULAN KODE REKSA DANA

     

  00D54N BIG-EQ 0083303 0092882 0085209

JAN 66,856,520,381 209,708,058,078 108,369,304,991 3,071,828,863,458 76,492,534,322

FEB 72,598,045,839 193,862,892,685 106,400,204,201 3,085,455,658,259 77,383,514,380

  

MAR 81,344,493,358 350,458,151,963 106,259,277,586 3,134,184,197,133 75,750,002,435

APR 82,745,671,204 462,760,983,494 102,440,640,921 3,122,536,566,715 77,312,084,888

MEI 76,854,952,369 442,691,395,052 89,357,307,324 2,882,344,340,798 73,183,895,058

JUN 78,907,325,180 467,278,850,225 93,654,360,624 2,972,351,702,236 84,853,882,852

JUL 82,862,009,932 549,887,323,410 96,824,204,548 3,090,290,547,424 81,185,373,777

AGT 80,290,978,903 543,981,081,625 92,722,556,859 2,986,885,547,570 76,560,349,759

SEP 84,097,726,406 701,816,831,652 80,794,975,522 3,102,216,897,702 83,521,183,908

OKT 85,613,050,343 983,165,035,685 79,120,772,458 3,174,337,259,517 82,338,814,830

  

NOV 86,129,072,974 926,559,120,862 77,683,458,832 3,188,466,285,545 80,475,169,455

DES 84,432,439,377 950,651,751,433 63,007,174,816 3,186,558,735,610 74,301,231,588

BULAN KODE REKSA DANA

  00D61B NISP GR002PRIMASH 91033 99424 JAN 28,637,403,807 97,244,937,918 881,631,999,197 4,785,944,170,792 551,025,322,940 FEB 28,634,314,521 82,453,987,603 908,573,059,525 4,837,463,751,321 583,670,935,781

  

MAR 28,132,439,749 72,688,182,080 911,625,307,775 4,726,177,059,510 537,337,541,508

APR 27,988,182,412 64,298,559,528 953,189,204,575 4,640,803,366,278 536,772,158,008 MEI 25,908,311,987 59,295,160,282 1,263,022,981,537 4,596,189,123,984 530,812,129,741 JUN 26,451,206,963 61,544,685,932 1,315,817,447,415 4,965,662,536,491 523,120,647,873

  JUL 27,867,767,171 61,578,384,410 1,342,262,280,368 5,215,370,790,255 499,947,853,603

AGT 25,561,463,857 58,855,999,479 1,345,648,711,332 5,077,930,918,289 470,856,982,368

SEP 26,573,074,929 58,772,931,508 1,395,165,341,419 5,115,979,829,501 489,239,364,496

OKT 27,043,989,780 53,746,427,972 1,164,808,691,627 4,620,569,176,386 477,849,668,754

  

NOV 73,643,530,628 53,171,494,766 1,128,096,304,029 4,636,103,548,407 456,745,572,564

DES 114,386,450,033 56,414,426,421 915,324,777,240 4,634,511,565,119 448,132,248,232

     

  BULAN KODE REKSA DANA SIEF 000D80 0082412 000D2B JAN 619,844,017,574 202,223,327,309 124,682,984,642 455,565,730,397 FEB 575,745,363,389 203,717,314,404 137,110,395,559 409,603,645,911

  MAR 491,672,995,532 199,345,006,378 132,830,539,123 419,810,266,662 APR 489,150,911,259 205,673,005,254 146,210,696,229 455,358,973,346 MEI 443,255,807,060 197,371,567,268 237,704,261,649 418,454,198,094 JUN 460,407,487,486 213,261,196,161 272,474,236,840 426,463,173,687

  

JUL 483,389,035,759 211,587,774,267 308,878,241,230 439,357,923,089

AGT 462,126,384,487 196,983,613,394 289,180,725,175 399,525,615,965

SEP 476,864,215,372 204,830,196,369 365,677,799,901 404,112,954,267

OKT 485,209,269,118 203,999,865,709 371,119,631,793 446,229,179,393

  NOV 485,685,540,483 163,885,488,479 458,246,022,229 427,491,573,386 DES 491,531,448,221 159,262,149,925 482,214,987,986 519,799,664,348 BULAN KODE REKSA DANA BIIDINA 000D1B 0082214 RDEP 0086769

  JAN 92,312,249,124 39,880,992,717 33,792,513,622 560,083,347,910 226,784,837,211 FEB 100,609,146,910 39,458,011,083 36,352,178,474 381,798,435,832 247,604,038,792 MAR 138,968,999,104 40,143,396,111 37,513,962,621 580,277,974,565 275,230,349,020 APR 144,985,220,970 81,249,553,696 38,449,564,475 682,510,837,198 363,910,449,091

  MEI 148,479,977,778 85,897,575,823 38,671,834,861 786,367,047,328 350,215,854,699 JUN 147,719,454,936 76,454,172,311 36,453,625,004 906,386,014,576 394,205,096,032 JUL 142,569,461,223 44,313,880,554 34,875,703,087 870,493,999,079 390,222,442,768 AGT 129,742,756,859 38,838,627,340 31,347,861,168 778,744,823,830 352,799,595,868 SEP 132,972,908,144 39,731,984,834 32,104,445,536 824,935,615,551 362,244,099,054 OKT 169,275,637,511 41,267,253,544 33,824,894,189 936,696,702,012 384,125,561,307

  NOV 158,613,531,967 38,074,133,006 31,554,415,729 862,159,896,339 365,666,440,917 DES 159,181,704,588 37,747,787,842 31,524,232,003 856,270,675,817 415,598,998,127 NAB 2013

KODE REKSA DANA

  

BULAN 0099556 0091017 0086504 00D68B FIPF

JAN 43,371,463,963 104,911,016,499 24,379,105,488 34,899,248,972 837,736,524,585 FEB 48,300,917,403 111,604,657,988 25,925,086,031 35,969,319,847 568,353,240,045

  

MAR 49,262,473,831 89,841,180,858 263,350,459,655 38,501,933,244 490,496,553,221

APR 54,130,075,336 85,038,961,974 229,565,354,763 38,172,605,337 506,671,283,991

MEI 59,476,073,310 86,646,717,564 162,255,466,812 38,553,772,970 558,806,837,086 JUN 56,261,622,165 83,805,668,687 142,899,050,962 34,683,533,680 668,244,776,010 JUL 47,946,046,491 75,892,873,302 138,943,040,636 33,101,659,552 666,313,539,036

AGT 41,899,409,470 68,995,091,620 136,317,988,449 29,450,451,515 623,477,119,706

SEP 43,097,663,000 72,862,493,381 141,044,658,479 30,383,241,666 655,907,975,949

OKT 45,018,752,930 76,346,255,793 151,761,299,321 32,046,363,957 717,159,629,977

  

NOV 41,190,217,664 72,692,887,776 133,066,127,073 29,127,741,032 681,101,876,849

DES 43,484,967,076 69,254,421,240 141,432,149,970 28,210,129,350 672,952,498,865

KODE REKSA DANA BULAN

  00D54N BIG-EQ 0083303 0092882 0085209 JAN 86,233,596,794 968,640,014,349 63,078,276,024 3,125,059,474,590 72,567,518,488 FEB 93,603,915,075 919,845,086,923 61,445,609,698 3,181,439,317,098 72,481,607,424

  

MAR 102,550,312,573 933,210,212,558 49,828,978,618 3,234,638,632,259 73,485,280,268

APR 102,665,797,949 935,255,125,211 103,889,614,005 3,206,979,377,955 73,481,126,945 MEI 109,510,474,840 945,714,943,526 112,046,087,855 3,122,249,166,714 74,468,331,203 JUN 101,058,497,486 926,783,842,659 102,061,067,845 2,977,678,235,632 76,772,327,633 JUL 95,749,978,447 880,371,971,926 95,282,704,889 2,806,584,840,267 79,309,840,626 AGT 85,973,086,972 824,632,096,036 82,469,593,505 2,593,400,085,042 75,000,020,173 SEP 87,331,307,146 802,817,712,456 81,580,958,288 2,566,711,692,288 75,587,185,136 OKT 91,747,390,978 836,036,270,450 85,456,311,975 2,690,664,990,914 79,769,615,070

  NOV 86,002,363,926 780,104,612,782 79,768,328,127 2,525,279,286,063 75,858,838,896 DES 85,740,894,752 779,422,752,316 79,263,131,743 2,464,039,731,881 73,578,175,861

     

KODE REKSA DANA

     

  BULAN

  00D61B NISP GR002PRIMASH 91033 99424

JAN 167,267,362,478 55,342,972,392 943,930,058,973 4,468,061,967,831 460,453,802,688

FEB 189,495,356,869 46,677,595,231 1,090,046,037,203 4,698,034,030,671 339,365,894,138

  MAR 222,265,776,046 43,683,248,168 1,229,573,980,893 4,954,313,454,366 362,228,605,024

APR 209,965,977,683 41,106,861,371 1,230,942,658,596 5,446,541,684,779 393,633,023,944

MEI 220,336,006,672 37,869,367,441 1,448,481,429,432 6,275,016,499,327 415,506,444,666

JUN 220,138,022,609 35,592,475,488 1,922,350,007,930 6,562,246,251,997 423,892,503,715

JUL 202,985,769,615 32,308,362,479 1,746,429,401,736 6,278,982,828,808 404,557,172,210

AGT 197,504,729,774 29,402,777,941 1,603,283,420,516 5,553,855,350,792 360,296,622,267

SEP 9,023,897,821 29,511,347,495 1,768,621,501,655 6,138,337,465,334 392,923,534,934

OKT 209,716,193,258 30,394,264,993 1,988,863,996,598 6,601,820,869,886 411,796,574,204

  

NOV 222,930,320,676 28,752,597,606 2,039,972,709,734 6,121,334,745,641 380,655,261,605

DES 249,576,395,957 28,517,461,956 2,044,973,101,401 6,116,656,590,110 371,534,082,427

BULAN KODE REKSA DANA SIEF 000D80 0082412 000D2B

  

JAN 505,990,375,154 166,641,136,326 487,733,964,284 514,203,447,247

FEB 549,587,790,297 178,201,576,074 432,266,793,213 530,022,863,226

MAR 573,078,685,885 191,337,490,086 543,233,766,877 547,434,593,965

APR 591,629,717,638 225,465,016,357 631,357,926,351 457,318,229,955

  

MEI 614,343,597,989 262,765,582,073 641,029,532,849 447,438,537,210

JUN 567,637,919,988 285,900,820,948 654,761,150,986 419,746,733,007

JUL 547,673,505,270 270,520,449,956 687,010,852,676 403,037,685,104

AGT 495,566,914,736 244,144,849,677 664,232,989,922 365,308,793,779

SEP 501,639,448,490 428,724,885,944 694,197,640,797 366,165,852,746

OKT 524,999,941,209 447,960,349,170 707,763,995,819 384,178,894,623

  

NOV 499,128,946,188 423,125,692,168 666,171,907,874 359,754,188,681

DES 498,316,830,577 417,024,847,205 670,085,087,869 413,485,828,718

LAMPIRAN III

     

  Data Indeks Harga Saham Gabungan (IHSG) yang diguanakan sebagai variabel return pasar dalam penelitian adalah:

  

TAHUN 2010 2011 2012 2013

JAN 2,610.7960 3,409.1670 3,941.6930 4,453.7030 FEB 2,549.0330 3,470.3480 3,985.2100 4,795.7890

  MAR 2,777.3010 3,678.6740 4,121.5510 4,940.9860 APR 2,971.2520 3,819.6180 4,180.7320 5,034.0710 MEI 2,796.9570 3,836.9670 3,832.8240 5,068.6280 JUN 2,913.6840 3,888.5690 3,955.5770 4,818.8950 JUL 3,069.2800 4,130.8000 4,142.3370 4,610.3770 AGT 3,081.8840 3,841.7310 4,060.3310 4,195.0890 SEP 3,501.2960 3,549.0320 4,262.5610 4,316.1760 OKT 3,635.3240 3,790.8470 4,350.2910 4,510.6310

  NOV 3,531.2110 3,715.0800 4,276.1410 4,256.4360 DES 3,703.5120 3,790.8470 4,316.6870 4,274.1770 Data IHSG dari 2010 - 2013

LAMPIRAN IV

  Data Surat Berharga Indonesia (SBI) yang digunakan sebagai variabel return free dalam penelitian adalah: Data SBI dari 2010 - 2013

  

TAHUN 2010 2011 2012 2013

JAN 6.00092% 6.08058% 4.88325% 4.84021% FEB 6.34451% 6.70542% 3.82290% 4.86119%

  MAR 6.08541% 6.71887% 3.82637% 4.86950% APR 6.77112% 7.17517% 3.92570% 4.89075% MEI 6.13346% 7.36011% 4.23785% 5.02275% JUN 6.56767% 7.36317% 4.32005% 5.27558% JUL 6.78113% 7.27563% 4.45727% 5.52051% AGT 6.09556% 6.77577% 4.54005% 5.85743% SEP 6.11567% 6.28206% 4.67165% 6.95555% OKT 6.00034% 5.76845% 4.74612% 6.96715%

  NOV 6.23111% 5.22412% 4.77039% 7.22435% DES 6.00756% 5.03858% 4.80274% 7.21695%

     

     

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) .075 .036 2.087 .043 Rm-Rf .116 1.016 .032 .115 .909 Rm-Rf^2 5.316 8.239 .179 .645 .522

  Standardized Coefficients t Sig. B Std. Error Beta

  Model Unstandardized Coefficients

  3. BNP Paribas Maxi Saham

Coefficients

a

  a. Dependent Variable: Rp-Rf

  1 (Constant) -.021 .099 -.212 .833 Rm-Rf -2.044 2.792 -.205 -.732 .468 (Rm-Rf)^2 -17.231 22.643 -.213 -.761 .451

  Model Unstandardized Coefficients

  LAMPIRAN V

Hasil estimasi regresi dari reksa dana saham yang menjadi sampel penelitian dari

penulis menggunakan program SPSS adalah sebagai berikut:

  2. BNI Reksa Dana Berkembang

Coefficients

a

  a. Dependent Variable: Rp-Rf

  1 (Constant) .879 .427 2.059 .045 Rm-Rf 27.255 12.079 .598 2.256 .029 Rm-Rf^2 149.162 97.959 .404 1.523 .135

  Standardized Coefficients t Sig. B Std. Error Beta

  Model Unstandardized Coefficients

  1. Reksa Dana AXA Citradinamis

Coefficients

a

  a. Dependent Variable: Absut

     

  4. Reksa Dana Dana Ekuitas Prima

Coefficients

a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) -.019 .040 -.476 .636 Rm-Rf .456 1.137 .112 .401 .690 Rm-Rf^2 6.899 9.217 .209 .748 .458

  a. Dependent Variable: Rp-Rf

  5. Batavia Dana Saham Optimal

Coefficients

a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) -.013 .041 -.325 .747 Rm-Rf -1.003 1.160 -.241 -.865 .392 Rm-Rf^2 -8.482 9.410 -.251 -.901 .372

  a. Dependent Variable: Rp-Rf

  6. CIMB-Principal Equity Aggressive

Coefficients

a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) -.046 .019 -2.468 .017 Rm-Rf -.283 .533 -.141 -.531 .598 Rm-Rf^2 -7.134 4.320 -.439 -1.651 .106

  a. Dependent Variable: Rp-Rf

     

  7. Rencana Cerdas

Coefficients

a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) -.011 .013 -.877 .385 Rm-Rf 1.023 .369 .658 2.772 .008 Rm-Rf^2 1.892 2.993 .150 .632 .530

  a. Dependent Variable: Rp-Rf

  8. Grow-2-Prosper

Coefficients

a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) .207 .268 .771 .444 Rm-Rf -1.425 7.591 -.053 -.188 .852 Rm-Rf^2 -26.799 61.564 -.122 -.435 .665

  a. Dependent Variable: Rp-Rf

  9. Reksa Dana Makinta Growth Fund

Coefficients

a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) .043 .067 .644 .523 Rm-Rf -.651 1.889 -.094 -.345 .732 Rm-Rf^2 -19.073 15.321 -.338 -1.245 .220

  a. Dependent Variable: Rp-Rf

     

  10. Reksa Dana First State Indoequity Peka Fund

Coefficients

a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) -.038 .055 -.693 .492 Rm-Rf -1.446 1.554 -.255 -.931 .357 Rm-Rf^2 -1.488 12.605 -.032 -.118 .907

  a. Dependent Variable: Rp-Rf

  11. Reksa Dana Lautandhana Equity Progresive

Coefficients

a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) 12.924 12.374 1.044 .302 Rm-Rf -23.611 350.228 -.019 -.067 .947 Rm-Rf^2 -1165.833 2840.260 -.115 -.410 .683

  a. Dependent Variable: Rp-Rf

  12. Reksa Dana MNC Dana Ekuitas

Coefficients

a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) .346 .153 2.254 .029 Rm-Rf 9.700 4.343 .593 2.234 .031 Rm-Rf^2 53.782 35.218 .406 1.527 .134

  a. Dependent Variable: Rp-Rf

     

  13. Mandiri Investa UGM

Coefficients

a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) -.035 .094 -.374 .710 Rm-Rf -2.216 2.647 -.232 -.837 .407 Rm-Rf^2 -6.966 21.467 -.090 -.324 .747

  a. Dependent Variable: Rp-Rf

  14. Manulife Dana Saham

Coefficients

a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) -.022 .008 -2.874 .006 Rm-Rf .852 .217 .823 3.933 .000 Rm-Rf^2 1.612 1.757 .192 .918 .364

  a. Dependent Variable: Rp-Rf

  15. Maybank GMT Dana Ekuitas

Coefficients

a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) -.034 .017 -1.922 .061 Rm-Rf .243 .494 .138 .493 .624 Rm-Rf^2 1.078 4.002 .076 .269 .789

  a. Dependent Variable: Rp-Rf

     

  16. Reksa Dana Millenium Equity

Coefficients

a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) .745 .647 1.152 .256 Rm-Rf .920 18.313 .014 .050 .960 Rm-Rf^2 -49.205 148.510 -.093 -.331 .742

  a. Dependent Variable: Rp-Rf

  17. Reksa Dana NISP Indeks Saham Progresif

Coefficients

a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) -.095 .016 -5.960 .000 Rm-Rf -.318 .450 -.196 -.706 .484 Rm-Rf^2 -.807 3.650 -.062 -.221 .826

  a. Dependent Variable: Rp-Rf

  18. Panin Dana Prima

Coefficients

a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) .002 .024 .096 .924 Rm-Rf 1.267 .680 .502 1.864 .069 Rm-Rf^2 10.915 5.513 .534 1.980 .054

  a. Dependent Variable: Rp-Rf

     

  19. Panin Dana Maksima

Coefficients

a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) .029 .016 1.814 .076 Rm-Rf .956 .448 .547 2.135 .038 Rm-Rf^2 2.445 3.633 .173 .673 .504

  a. Dependent Variable: Rp-Rf

  20. Pratama Saham

Coefficients

a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) -.027 .013 -2.088 .043 Rm-Rf .351 .368 .235 .955 .345 Rm-Rf^2 -3.236 2.983 -.267 -1.085 .284

  a. Dependent Variable: Rp-Rf

  21. Reksa Dana Schroder Indo Equity Fund

Coefficients

a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) .019 .011 1.628 .111 Rm-Rf 1.060 .323 .689 3.283 .002 Rm-Rf^2 .342 2.619 .027 .131 .897

  a. Dependent Variable: Rp-Rf

     

  22. Reksa Dana Simas Danamas Saham

Coefficients

a

  Model Unstandardized Coefficients

  Standardized Coefficients t Sig. B Std. Error Beta

  1 (Constant) .000 .026 -.029 .977 Rm-Rf .181 .724 .069 .250 .804 Rm-Rf^2 -3.262 5.870 -.153 -.556 .581