ANALISIS PERBANDINGAN KINERJA REKSADANA SAHAM ANTARA PENGELOLAAN PERUSAHAAN REKSADANA LOKAL DENGAN PERUSAHAAN REKSADANA ASING (Studi Kasus: Reksadana Saham Konvensional di Indonesia Periode Tahun 2016-2020)

Abstract

ABSTRACT This study aims to analyze the differences in the performance of equity mutual funds managed by local mutual fund companies and foreign mutual fund companies in Indonesia. Equity mutual fund performance is measured by using the rate of return (return), Sharpe ratio (SR), Treynor Ratio (TR), Jensen Alpha (JA), Market Timing Ability, and Stock Selection Skills. This study uses secondary data, with purposive sampling techniques to obtain representative samples by the specified criteria, thus obtaining a sample of 60 equity mutual funds, 30 equity mutual funds managed by local mutual fund companies, and 30 equity mutual funds managed by foreign mutual fund companies who manage stock mutual funds, and consistent listings since the period 2016-2020, and this study uses parametric statistics in analyzing data. The Independent sample t-test was used to answer the hypothesis. The results of this study indicate that 5 out of 8 stock mutual fund performance measurements between the management of foreign and local mutual fund companies showed no significant difference in the return measurement, Sharpe Ratio, Treynor Ratio, Jensen Alpha, and Market Timing Ability (Henriksson-Merton model). Meanwhile, in Market Timing Ability (TreynorMazuy model), and Stock Selection Skills (Treynor-Mazuy model and Henriksson-Merton model) there are significant differences between local mutual fund companies and foreign mutual fund companies.