STUDI KOMPARATIF TINGKAT RETURN DAN RESIKO REKSADANA SAHAM DAN PORTOFOLIO SAHAM LQ45 DENGAN MENGGUNAKAN SINGLE INDEX MODEL

Abstract

Penelitian tentang kinerja portofolio telah banyak dilakukan di berbagai bidang investasi. Penelitian ini mencoba mengulas kinerja portofolio di pasar modal Indonesia (Bursa Efek Jakarta), khususnya portofolio saham. Portofolio saham ini dibentuk dengan menggunakan metode yang paling sederhana yaitu Single Index Model atau model indeks tunggal. Hasil return dan resiko portofolio menggunakan Single Index Model kemudian dibandingkan/diuji beda dengan hasil return dan resiko reksadana saham, karena reksadana saham merupakan portofolio saham yang dikelola oleh manajer investasi. Pembandingan ini dilakukan untuk mengetahui apakah ada perbedaan return dan resiko antara reksadana saham dengan portofolio yang telah dibentuk menggunakan Single Index Model. Seluruh anggota populasi dad Indeks LQ45 dan reksadana saham digunakan untuk menjawab permasalahan dalam penelitian. Metode pengumpulan datanya adalah nonparticipant observer, dimana peneliti hanya mengamati data yang telah tersedia tanpa ikut campur atau menjadi bagian clan suatu sistem data. Data diperoleh dari Harian Bisnis Indonesia selama periode Oktober 1998 sampai dengan April 2000. Hasil uji beda (Paired-Sample T-Test) secara statistik menunjukkan bahwa tidak ada perbedaan return antara reksadana saham dengan portofolio hasil bentukan Single Index Model, namun diantara keduanya terdapat perbedaan resiko. Lebih lanjut, untuk menuju pada keputusan investasi yang paling menguntungkan bagi investor, digunakan Indeks Sharpe (Sharpe Index) untuk mengukur kinerja antara portofolio hasil Single Index. Model dan reksadana saham: Hasilnya, reksadana saham temyata memiliki Indeks Sharpe yang lebih besar daripada Indeks Sharpe yang dimiliki portofolio Single Index Model, dad sini dapat diketahui bahwa reksadana saham inemiliki kinerja yang lebih baik bila dibandingkan dengan portofolio yang menggunakan Single Index Model. Lebih dalam lagi, diantara 21 reksadana yang ada di Indonesia, temyata akan lebih menguntungkan bagi investor jika is memilih reksadana saham yang strategi investasinya 80% di pasar saham dan 20% jenis investasi lain, jadi bukan reksadana yang mengalokasikan 100% dananya di pasar saham, karena meskipun hasil yang diperoleh/returnnya sama namun resiko yang hams clitanggung investor menjadi semakin kecil.ABSTRACT Many researches on portfolio performance have been done in several kinds of investments. This research is hying to analyze about portfolio performance in Indonesian Capital Market (Jakarta Stock Exchange), especially about portfolio of stock. This portfolio is formed using the simplest method which is known as Single Index Model. The result from portfolio return and portfolio risk then will be compared to the return and the risk of stock-based mutual fund. These two things can be compared since stock-based mutual fund is also a kind of stock portfolio managed by investment manager. This comparison is hying to find out, whether there are many differences in return and risk, between the stock-based mutual fund and the portfolio which has been formed by using Single Index Model. The population from Index LQ45 and from stock-based mutual fund are used to answer the problem of the research. The data collecting method in this research is nonparticipant-observer method. Data are taken from Bisnis Indonesia daily newspaper from October 1998 until April 2000. The Paired-Sample T-Test statistically shows that there is no difference in return between the stock-based mutual fund and the portfolio which is formed using Single Index Model, but there is a difference in risk. Furthermore, to make the most profitable investment decision, Sharpe Index is used to measure the performance of stock-based mutual fund as well as stock portfolio using the Single Index Model. The final result is that, in fact, stock-based mutual fund has a bigger Sharpe Index than of portfolio using Single Index Model. From this, it can be concluded that stock-based mutual fund has a better performance than portfolio using Single Index Model. And furthermore, among the 21 stock-based mutual funds in Indonesia, it appears to be more profitable if the investor • chooses the stock-based mutual fund whose investment strategy is 80% in stock Market. • and 20% in other kinds of investments, instead Of the stock-based mutual fund which spends 100% of its cash in stock market. The reason of this is that although the return is equal, the risk for investor is getting lower.