KINERJA REKSA DANA SYARIAH SAHAM INDONESIA: ANALISIS KEMAMPUAN MANAJER INVESTASI DENGAN METODE TREYNOR-MAZUY CONDITION TAHUN 2016-2018 - Katrina Wigusniarto, - (2019)
Tujuan penulisan ini adalah untuk menguji keterpengaruhan kemampuan manajer investasi dalam hal stock selection dan market timing, menggunakan metode Treynor-Mazuy Condition dengan menambahkan variabel seperti kurs dan inflasi sebagai pengambaran manajer investasi dalam memperhitungkan faktor risiko sistemik yang terjadi disuatu negara terhadap kinerja Reksa Dana Syariah Saham di Indonesia pada Tahun 2016 sampai Tahun 2018. Teknik Pemilihan sampel menggunakan purposive sampling. Sehingga, diperoleh sampel penelitian sebanyak 24 Produk Reksa Dana Syariah Saham. Teknik analisis data menggunakan uji regresi data panel dengan bantuan Software Eviews 10 dan Microsoft Excel. Hasil Penelitian menunjukkan bahwa kemampuan manajer investasi dalam hal mempertimbangkan keputusan pengalokasian portofolio efeknya berdasarkan stock selection berpengaruh terhadap kinerja reksa dana syariah saham. Sedangkan, kemampuan manajer investasi dalam hal mempertimbangkan keputusan pengalokasian portofolio efeknya berdasarkan market timing dari hasil regresi Treynor-Mazuy Condition tidak berpengaruh terhadap kinerja reksa dana syariah saham. Sama halnya dengan kemampuan manajer investasi dalam hal mempertimbangkan keputusan pengalokasian portofolio efeknya berdasarkan risiko sistemik seperti kurs dan inflasi dari hasil regresi Treynor-Mazuy Condition, tidak berpengaruh terhadap kinerja reksa dana syariah saham.;--This study aims to test the ability of investment managers in stock selection and market timing, using the Treynor-Mazuy Condition method by adding variables such as exchange rates and inflation as an illustration of investment managers in calculating the systemic risk factors that occur in a country to the performance of Islamic Sharia Mutual Funds in Indonesia in 2016 to 2018. The technique of selecting samples using purposive sampling. Thus, a research sample of 24 Sharia Mutual Fund Products was obtained. Data analysis techniques using panel data regression test with the help of Software Eviews 10 and Microsoft Excel. The results showed that the ability of investment managers in terms of considering the decision to allocate their portfolio of securities based on stock selection affects the performance of Islamic mutual fund shares. Meanwhile, the ability of investment managers in terms of considering the decision to allocate their portfolio of securities based on market timing of the Treynor-Mazuy Condition regression results does not affect the performance of Islamic mutual fund shares. Likewise, the ability of investment managers to consider the decision to allocate portfolio of securities based on systemic risks such as exchange rates and inflation from the Treynor-Mazuy Condition regression results does not affect the performance of Islamic mutual fund shares.