Reksa Dana di Indonesia :Analisis Kebijakan Alokasi Aset, Pemilihan Saham, dan Tingkat Risiko

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Reksa Dana di Indonesia :Analisis Kebijakan Alokasi Aset, Pemilihan Saham, dan Tingkat Risiko

Ginting Prasetya Enka Nurcahya
Fakultas Ekonomi Universitas Sebelas Maret


This research aims to analyze the performance of equity mutual funds in Indonesia by observing  their asset allocation policy, stock selection, and risk level. This research uses pooled data, the  data choosing with purposive sampling. Data availability at:,,, and The sample consists of 63 items of  equity mutual funds since January 2006 until December 2008. The hypothesis of this research  are examined using the multiple regression. The result of this research shows that equity mutual  funds performance is affected by asset allocation policy, stock selection, and risk level. It  indicates that mutual funds performance is determined by those activities of investment  managers and market return conditions.

Key words: Equity mutual funds performance, Asset allocation policy, Stock selection, Risk level, Investment managers


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There are three important elements in mutual funds, namely the group of community funds, an individual or institution; the joint investment in a diversified portfolio that effect, and the investment trust managers as a fund manager owned by the investor community (Pratomo and Nugraha, 2005) . Portfolio effects of the letter itself is valuable, such as stocks, bonds, SBI, term deposits, government precious letter, and letters of valuable foreign exchange. Therefore mutual funds is a useful investment for the investor to be invested into various investment instruments available in the market. The purpose of this research are: 1) to measure levels of performance shares of mutual funds based on Sharpe Ratio method. Hopefully the results will give an indication to investors of equity funds that provide yields (returns) the best, and 2) measure the extent influence policy asset allocation, stock selection, and the level of risk to the performance of equity funds.

Mutual funds began to be traded in Indonesia since 1995 with the publication of Law No. 8 of 1995 on the capital markets. The availability of mutual funds investment make rapid progress until 1997. In 2006 in accordance with Bapepam data per end of December 2006 (Bapepam, 2006), total funds managed by the types of mutual funds amounted to Rp 52.28 trillion and 16% or Rp 8.36 trillion of that amount is the total funds managed by equity funds. Data Supervisory Board of the Capital Building Society (Bapepam-LK) showed that per December 2008 total net asset value (NAV) of Rp 74.35 trillion. Largest contributor of funds is managed by equity funds. Total fund equity funds managed by the end of December 2008, reaching Rp 19.89 trillion (Bapepam, 2008). …

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Investment Manager in managing funds between mutual funds with each other woods vary. Asset allocation policy (asset allocation policy) is taken can be divided into instruments in the money market and capital market instruments as well as a mixture of both with composition. Although asset allocation policy set vary, but in principle the same, ie to the level of higher investment returns than other investments with a certain risk. Investments in mutual funds that always has two opposite sides, namely the benefits and risks. The level of risk depends on the mutual fund asset allocation policy, meaning how the Investment Manager to allocate funds to asset classes that are available and how much portion of the distribution of funds.

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