Pengaruh Kebijakan Alokasi Aset terhadap Kinerja Reksa Dana Terbuka Berbentuk Kontrak Investasi Kolektif (Reksa Dana Saham, Reksa Dana Pendapatan Tetap, Dan Reksa Dana Campuran)  

Oleh:

Mulyana, Deden

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI
Dalam koleksi: Jurnal Ekonomi dan Bisnis (Dian Ekonomi) vol. 12 no. 2 (Sep. 2006), page 172-182.
Topik: mutual funds; asset allocation policy; investment policy; mutual fund performance

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ43.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

A number of studies indicate that performance of mutual fund was much influenced by asset allocation policy. There also an indication of a possible inconsistency in the relationship between asset allocation policy and asset allocation implementation by investment manager. Referring to these observable facts, this study was carried out with the following objectives: (i) to analyze performance of three different types of mutual funds (i.e., equity, fixed income, and balanced funds); (ii) to analyze the influence of asset allocation policy on performance of the above-mentioned types of mutual funds; and (iii) to comprehend the level of consistence of the invesment managers in executing asset allocation policies. Descriptive method is performed in this study. Secondary data related to mutual fund performance analyses is used. These sets of data were collected from a number of publications published by Bank of Indonesia, the Surabaya Stock Exchange, Jakarta Stock Exchange, and Bapepam. The Sharpe Ratio is used to estimate the performance of mutual funds under research. Multiple linear regression analysis which statistical equation models is developed based on Asset Class Factor is used to analyze the impact of asset allocation policy and security selection on the performance of the mutual funds. The results of this study show that the performances of all types of mutual funds during the period between 2001 and 2003 is higher than that of their benchmarks (i. e. market return levels). It is discovers that asset allocation policy significantly influenced the performance of equity fund, fixed income fund, and ofbalanced fund. This indicates that the performance of mutual fund is determined by this particular activity of investment managers. Finally, results of the study indicate that there is no signifìcant d jerence between asset allocation policy and asset allocation realization executed by investment managers of equity fund and the fixed income fund. This means that asset allocation policy is consistently accomplished by investment managers of these two types of mutual funds. A different finding appears in the study of investment managers of balanced fund. There is a significant difference between asset allocation policy and asset allocation which indicate that investment managers of balanced fund are inconsistent in implementing their asset allocation policies.

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