ANALISIS EFISIENSI KINERJA REKSA DANA DI INDONESIA PERIODE TAHUN 2008 – 2011 DENGAN METODE DATA ENVELOPMENT ANALYSIS (DEA)

Abstract

Mutual funds underwent some rapid development during 2008-2011, this was indicated by the escalation of a number of NAB and its inclusion units value. However, mutual funds still experience efficiency inconsistency on their operating activities. This research’s purpose is to analyse the efficiency level on each mutual funds and to compare efficiency between stock mutual funds and fixed-income mutual funds, stock mutual funds and mixed mutual funds, stock mutual funds and protected mutual funds, mixed mutual funds and protected mutual funds, fixed-income mutual funds and mixed mutual funds, and fixed-income mutual funds and protected mutual funds. There are eighty-nine mutual funds used as samples done by purposive sampling on this research; twenty-nine stock mutual funds, twenty-nine fixed-income mutual funds, twenty-one mixed mutual funds, and nine protected mutual funds. This research used Data Envelopment Analysis (DEA) method. A Unit Kegiatan Ekonomi (UKE) is considered efficient if the efficiency value reachs perfection (100 percent), on the contrary when the efficiency value is less than 100 percent, then the UKE is rated as inefficient. The variables on this research are chosen based on intermediation approach. The input variables are standard deviation of return, investation processing services cost ratio, custodian services cost ratio, other fees cost ratio, and redemption cost; and the output variables are average return and assets growth toward return. To find out the efficiency value difference on each mutual funds, the research used Mann Whitney U test. The result of analysis using DEA method indicated that fixed-income mutual funds and mixed mutual funds during 2008-2011 incline to have efficiency increase even though it’s fluctuating with the average of 84.03 percent in fixed-income mutual funds and 81.04 percent in mixed mutual funds. Mann Whitney U hypothesis testing shows that there is no efficiency difference between stock mutual funds and fixed-income mutual funds, mixed mutual funds and protected mutual funds, fixed-income mutual funds and protected mutual funds, and stock mutual funds and mixed mutual funds during 2008-2011; but there is an efficiency difference between stock mutual funds and protected mutual funds, and fixed-income mutual funds and mixed mutual funds during 2008-2011