Meningkatkan Nilai Investasi Syariah Pada Reksadana Dengan Pengukuran Treynor-Mazuy Model Versus Henriksson-Merton Model
DOI:
https://doi.org/10.32662/gomares.v2i1.485Keywords:
Market Timing Ability, Stock Selection Ability, Treynor-Mazuy dan Henriksson-Merton.Abstract
Penelitian ini bertujuan untuk menganalisis kemampuan market timing dan stock selection ability manajer investasi setiap reksadana saham syariah selama satu tahun. Penelitian ini merupakan penelitian yang bersifat kuantitatif dengan dua hipotesis diantaranya; Terjadi konsistensi market timing ability yang baik dari para manajer investasi dan Terjadi konsistensi stock selection ability yang baik dari para manajer investasi. Variabel yang digunakan pada penelitian ini diantaranya variabel dependen yaitu kinerja reksadana dan variable independen diantaranya stock selection skill dan market timing ability. Dalam penelitian ini menggunakan model pengukuran reksadana dengan model Treynor- Marzuy dan Henriksson-Merton. Penelitian ini membutuhkan data Nilai Aktiva Bersih (NAB), Risk Free Rate dan Indeks Harga Saham Gabungan. Hasil pengukuran menggunakan metode Treynor dan Mazuy menyatakan hanya satu yang memiliki kemampuan market timing tetapi tidak memiliki kemampuan selectivity yaitu reksadana Sucorinvest Sharia Equity Fund, sedangkan pengukuran dengan menggunakan metode Henriksson-Merton menyatakan hanya satu yang memiliki kemampuan market timing dan selectivity yaitu reksadana saham syariah Sucorinvest Sharia Equity Fund.
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This study aims to analyze the ability of market timing and stock selection ability the investment managers any mutual fund syariah shares for a year. This research was quantitative study with two hyphotesis were the consistency of market timing ability by investment managers and occurring the consistency of stock selection ability by the investment managers. Variables in this research was likes dependend variable were mutual fund performance and independend variable were stock selection skill and market timing ability. This research used measurement model for mutual fund with Treynor-Mazuy model and Henriksson-Merton model. This research needs net asset value (NAV), risk free rate and Indonesia Composite Index. The result of measurement with Treynor and Mazuy method describe had only one market timing ability but han’t selectivity was Sucorinvest Sharia Equity fund, while measurement with Henriksson-Merton method describe had only one market timing ability and selectivity was Syariah Sucorinvest Fund.
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