DAFTAR PUSTAKA. Ambachtsheer, Keith. (1972). Portofolio Theory and Security Analysis. Financial Analysts Journal, Vol.28, pp.53-57

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Ajija, Shochul R, Sari, Dyah W, Setianto, Rahmat H, Primanti, Marta R. (2011). Cara Cerdas Menguasai Eviews. Salemba Empat. Jakarta Ambachtsheer, Keith. (1972). “Portofolio Theory and Security Analysis”. Financial Analysts Journal, Vol.28, pp.53-57 Ardiyanto, Ferry. (2004). “Kinerja Stock Selection dan Market Timing Reksa Dana Saham di Indonesia”. Tesis Pascasarjana (tidak diterbitkan). Universitas Indonesia. Jakarta. Bello, Zakri Y dan Janjigian, Vahan. (1997). “A Reexamination of The MarketTiming and Security-Selection Performance of Mutual Funds”. Financial Analysts Journal, Vol.53, pp.23-30 Bodie Z, Kane A, Marcus A. (2014). Manajemen Portofolio dan Investasi (Investment). Edisi Global. Penerbit Salemba Empat. Jakarta Bollen, Nicolas P.B dan Busse, Jeffrey A. (2001). “On The Timing Ability of Mutual Fund Managers”. The Journal of Finance, Vol.LVI No.3, pp.10761094 Brahmana, Surya Bina. (2003). “Analisis Kemampuan Market Timing dan Stock Picking Manajer Reksa Dana Saham Indonesia”. Tesis Pascasarjana (tidak diterbitkan). Universitas Indonesia. Jakarta. Chang, Eric C dan Lewellen Wilbur G. (1984). “Market Timing and Mutual Fund Investment Performance”. The Journal of Business, Vol.57, pp.57-72 Christian, Ferry. (2009). Evaluasi Kinerja Reksadana Saham pada Kondisi Bullish dan Bearish”. Tesis Pascasarjana (tidak diterbitkan). Universitas Indonesia. Jakarta. Cuthbertson, Keith dan Nitzche Dirk (2013). “Performance, Stock Selection and 84 http://digilib.mercubuana.ac.id/

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Market Timing of the German Equity Mutual Fund Industry”. Journal of Empirical Finance, Vol.21, pp.86-101 Giles, M.S., Alexeeva, E, dan Buxton, S (2013). Managing Collective Investment Funds, 4nd edition, John Wiley & Sons, Singapore. Harahap, Bachreza Nauval. (2006). “Strategi Kemampuan Market Timing Reksa Dana Saham di Indonesia”. Tesis Pascasarjana (tidak diterbitkan). Universitas Indonesia. Jakarta. Henriksson, Roy D dan Merton, Robert C. (1981). On Market Timing and Investment Performance II Statistical Procedures for Evaluating Forecasting Skills. The Journal of Business, Vol.4, pp.513-533 Henriksson, Roy D. (1984). Market Timing and Mutual Performance: An Empirical Investigation. The Journal of Business, Vol.57, pp. 73-96 Jensen, Michael C. (1968). The Performance of Mutual Funds in the period 19451964. The Journal of Finance, Vol. 23, pp.389-416 Jones, C. P. (2010). Investments, 12th edition. John Wiley &Sons,Inc. New Jersey. Kaslani, Rahmad. (2004). “Pengukuran Kemampuan Market Timing dan Tingkat Keberhasilan Pemilihan Sekuritas pada Portofolio Reksa Dana Saham”. Tesis Pascasarjana (tidak diterbitkan). Universitas Indonesia. Jakarta. Kaur, Inderjit. (2013). Performance, Timing and Selectivity Skills of Indian Equity Mutual Funds: An Empirical Approach. Researchers World, Vol.4, pp.87-94 Manurung, A.H. (2008). Reksa Dana Investasiku. Penerbit Buku Kompas. Jakarta. Mardiasih, Dyah. (2012). “ Analisa Market Timing dan Stock Selection dan Pengaruh Harga Emas dan Harga Obligasi pada Excess Return Reksadana tahun 2006-2010”. Tesis Pascasarjana (tidak diterbitkan). Universitas Indonesia. Jakarta.

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Morrisson, Russel J. (1976). “Speculation: Its nature and Implications for Portofolio Management”. Financial Analysts Journal, Vol.32, pp.18-22. Panjaitan, Michael Vincentius. (2013). Analisis Kemampuan Stock Selection dan Market Timing Manajer Investasi pada Reksadana Saham di Indonesia. Partawidjaja,

Djumyati.

(2005).

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Saham

Berdasarkan Market Timing dan Stock Selection serta Faktor Ekonomi Makro yang Mempengaruhinya”. Tesis Pascasarjana (tidak diterbitkan). Universitas Indonesia. Jakarta. Pozen, R.C. (1998). “The Mutual Fund Business”. The Journal of Finance, Vol.54, pp.1185-1187 Pratomo, E.P dan Nugraha, U. (2009). Reksa Dana: Solusi Perencanaan Investasi Modern. PT. Gramedia Pustaka Utama. Jakarta Putri, Rachmadini. (2012). “Pengukuran Kemampuan Stock Selection dan Market Timing Reksa Dana Saham di Indonesia”. Tesis Pascasarjana (tidak diterbitkan). Universitas Indonesia. Jakarta. Rao, Umanaheswar S.P (2000). “Market Timing and Mutual Fund Performance”. American Business Review, Vol.18, pp.75 Reilly, Frank and Brown, Keith (2010). Investment Analysis Portofolio Management. Sehgal, S. dan Jhanwar, M. (2008). On Stock Selection Skills and Market Timing Abilities of Mutual Fund Managers in India. International Research Journal of Finance and Economics, Issue 15, pp. 307-317 Tandelilin, E. (2007). Analisis Investasi dan Manajemen Portofolio. BPFE. Yogyakarta. Treynor, Jack L dan Mazuy, Kay K. (1966). Can Mutual Funds Outguess the


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88

DAFTAR RIWAYAT HIDUP

Nama

: Sulfan, S.E

Tempat/Tanggal Lahir : Pemalang/09 Desember 1976 Jenis Kelamin

: Pria

Agama

: Islam

Alamat

: Perum. Sawah Baru E/1, Jl. Palem Puri, Sawah Baru, Ciputat, Tangerang Selatan

E-mail

: [email protected]

Riwayat Pekerjaan

: 1. PNS pada Sekretariat Komite Pengawas Perpajakan – Kementerian Keuangan RI (2012 s.d. Sekarang) 2. Dosen Tidak Tetap pada Politeknik Keuangan Negara-Sekolah Tinggi Akuntansi Negara (2012 s.d. Sekarang) 3. PNS pada Direktorat Jenderal Pajak (1996 s.d. 2011)

Pendidikan Formal

: 1. Lulus Sarjana Ekonomi pada STIE “Indonesia”, tahun 2004 2. Lulus Diploma 3 Perpajakan pada Sekolah Tinggi Akuntansi Negara, tahun 1997 3. Lulus SMAN 1 Pemalang, tahun 1994 4. Lulus SMPN 1 Moga Pemalang, tahun 1991 5. Lulus SDN 3 Moga Pemalang, tahun 1988

88 http://digilib.mercubuana.ac.id/

89

Lampiran 1 Hasil Uji Autokorelasi Data harian (Uji LM) No.

Nama Reksa Dana

1 Bahana Dana Prima 2 Dana Ekuitas Andalan

Obs*R-

Prob.

squared

Kesimpulan

24.5070 0.0000 Ada Autokorelasi 333.9953 0.0000 Ada Autokorelasi

3 Dana Ekuitas Prima

21.2466 0.0000 Ada Autokorelasi

4 Batavia Dana Saham


5 Batavia Dana Saham Op


6 BNI Berkembang 7 BNP Paribas Ekuitas 8 BNP Paribas Infra Plus

218.2396 0.0000 Ada Autokorelasi 83.3277 0.0000 Ada Autokorelasi 342.4640 0.0000 Ada Autokorelasi

9 BNP Paribas Pesona


10 BNP Paribas Solaris F


11 CIMB-Principal Eq Agg.

0.5231 0.7699 Tdk Ada Autokorelasi

12 Rencana Cerdas


13 Grow 2 Prosper


14 Danareksa Mawar


15 Emco Growth


16 Emco Mantap


17 FS IndoEquity Div YF


18 FS IndoEquity Sec Fund


19 FS IndoEquity VSF


20 Maybank GMT DE


21 Lautandhana Equity


22 Mandiri Investa Atraktif


23 Mandiri Investa UGM


24 Manulife Dana Saham


25 Manulife Saham Andalan


26 Millenium Equity



90

No.

Nama Reksa Dana

27 MNC Dana Ekuitas 28 NISP Indeks Saham P.

Obs*Rsquared

Prob.

Kesimpulan

1.1036 0.5759 Tdk Ada Autokorelasi 336.5358 0.0000 Ada Autokorelasi

29 Panin Dana Maksima


30 Panin Dana Prima


31 Dana Pratama Ekuitas


32 Pratama Saham


33 Schroder Dana Istimewa 34 Schroder Dana Prestasi

337.8393 0.0000 Ada Autokorelasi 4.4131 0.1101 Tdk Ada Autokorelasi

35 Schroder Dana Prestasi P


36 Schroder Indo Equity F


37 Trim Kapital


38 Trim Kapital Plus


Sumber: data diolah


91

Lampiran 2 Penambahan Unsur Times Series pada Data Harian No.

Nama Reksa Dana

Unsur Time Series

1

Bahana Dana Prima

AR(1)

2

Dana Ekuitas Andalan

AR(1) AR(2) AR(3) AR(4) AR(5)

3

Dana Ekuitas Prima

AR(1)

4

Batavia Dana Saham

AR(1)

5

Batavia Dana Saham Op

AR(1) AR(2) AR(3)

6

BNI Berkembang

AR(1) AR(2) AR(3) AR(4) AR(5)

7

BNP Paribas Ekuitas

AR(1) AR(2)

8

BNP Paribas Infra Plus

AR(1) AR(2) AR(3) AR(4) AR(5)

9

BNP Paribas Pesona

AR(1) AR(2)

10

BNP Paribas Solaris F

AR(1) AR(2) AR(3)

12

Rencana Cerdas

AR(1) AR(2)

13

Grow 2 Prosper

AR(1)

15

Emco Growth

AR(1) AR(2)

16

Emco Mantap

AR(1) AR(2)

17

FS IndoEquity Div YF

AR(1)

18

FS IndoEquity Sec Fund

AR(1)

19

FS IndoEquity VSF

AR(1)

20

Maybank GMT DE

AR(1) AR(2)

21

Lautandhana Equity

AR(1) AR(2) AR(3)

22

Mandiri Investa Atraktif

AR(1) AR(2) AR(3)

23

Mandiri Investa UGM

AR(1)

24

Manulife Dana Saham

AR(1)

25

Manulife Saham Andalan

AR(1) AR(2)

26

Millenium Equity

AR(1)

28

NISP Indeks Saham P.

AR(1) AR(2) AR(3) AR(4)

30

Panin Dana Prima

AR(1) AR(2) AR(3)

31

Dana Pratama Ekuitas

AR(1)

33

Schroder Dana Istimewa

AR(1) AR(2) AR(3) AR(4) AR(5) AR(6)


92

No.

Nama Reksa Dana

Unsur Time Series

35

Schroder Dana Prestasi Plus

36

Schroder Indo Equity Fund

AR(1)

37

Trim Kapital

AR(1) AR(2) AR(3)

38

Trim Kapital Plus

AR(1) AR(2) AR(3)

AR(1) AR(2) AR(3) AR(4) AR(5) AR(6) AR (7)

Sumber: data diolah


93

Lampiran 3 Hasil Uji Autokorelasi Setelah Penambahan Unsur Time Series Pada Data Harian (Uji LM)

No.

Nama Reksa Dana

Obs*Rsquared

Prob.

Kesimpulan

1 Bahana Dana Prima

2.8299

0.2429 Tdk Ada Autokorelasi

2 Dana Ekuitas Andalan

4.5373



2.8696



2.7492



1.9624


6 BNI Berkembang

0.3158


7 BNP Paribas Ekuitas

5.3027


8 BNP Paribas Infra Plus

4.9862



1.8438



4.5896


12 Rencana Cerdas

2.1207


13 Grow 2 Prosper

1.4981


15 Emco Growth

3.6816


16 Emco Mantap

2.7878



5.8115



3.3244



2.9639


20 Maybank GMT DE

2.7878



5.0202



3.8608



1.8767



2.2035



4.0571


26 Millenium Equity

0.6084


28 NISP Indeks Saham P.

5.2342



94

No.

Nama Reksa Dana

Obs*Rsquared

Prob.

Kesimpulan

30 Panin Dana Prima

2.0230



0.2780


33 Schroder Dana Istimewa

4.6123


35 Schroder Dana Prestasi Plus

4.7884


36 Schroder Indo Equity Fund

0.6867


37 Trim Kapital

4.6688



2.4759


Sumber: data diolah


95

Lampiran 4 Hasil Uji Autokorelasi Data Bulanan (Uji LM) No.

Nama Reksa Dana

Obs*Rsquared

Prob.

Kesimpulan

1 Bahana Dana Prima










6 BNI Berkembang












12 Rencana Cerdas


13 Grow 2 Prosper


14 Danareksa Mawar


15 Emco Growth


16 Emco Mantap








20 Maybank GMT DE












26 Millenium Equity



96

No.

Nama Reksa Dana

Obs*Rsquared

Prob.

Kesimpulan

27 MNC Dana Ekuitas






30 Panin Dana Prima




32 Pratama Saham




34 Schroder Dana Prestasi






37 Trim Kapital




Sumber: data diolah


97

Lampiran 5 Nilai Koefisien α Model Treynor-Mazuy (Data Harian dan Bulanan) No.

Nama Reksa Dana

Data Harian

Data Bulanan

α

α

Prob.

Prob.

1 Bahana Dana Prima

-0.00020

0.0082 -0.00119

0.5648


-0.00018

0.0649 -0.00092

0.6141


-0.00006

0.5214

0.00131

0.6046


-0.00014

0.0870 -0.00018

0.9303

0.00002

0.7838

0.00323

0.1031

6 BNI Berkembang

-0.00007

0.6520

0.00150

0.6683


-0.00013

0.0126 -0.00038

0.7529

0.00003

0.8396

0.00037

0.8353


-0.00011

0.0160

0.00014

0.9031


0.00009

0.4364

0.00152

0.5711




-0.00022

0.0126 -0.00079

0.7540

12 Rencana Cerdas

-0.00003

0.7494 -0.00099

0.7049

13 Grow 2 Prosper

0.00029

0.1230 -0.00279

0.5528

-0.00029

0.0014 -0.00321

0.0948

15 Emco Growth

0.00008

0.7434 -0.00320

0.5568

16 Emco Mantap

0.00019

0.4408

0.00066

0.9075


-0.00019

0.0038

0.00017

0.9189


-0.00027

0.0000 -0.00043

0.7737


-0.00030

0.0000 -0.00172

0.3421

20 Maybank GMT DE

0.00001

0.8845 -0.00238

0.3366


-0.00015

0.2501 -0.00116

0.6497


-0.00021

0.0031 -0.00127

0.5476


-0.00012

0.3948 -0.00151

0.6141


-0.00012

0.0581 -0.00161

0.2733

14 Danareksa Mawar


1.06908

0.0000

0.00032

0.8403

26 Millenium Equity

0.00040

0.1175

0.00360

0.5836


98

No.

Nama Reksa Dana

27 MNC Dana Ekuitas

Data Harian

Data Bulanan

α

α

0.00023

Prob. 0.1917

Prob.

0.00520

0.1762

0.0022 -0.00229

0.2110


-0.00028


0.00038

0.0058

0.00561

0.1425

30 Panin Dana Prima

0.00009

0.4481

0.00418

0.2248


0.00001

0.9259

0.00203

0.6047

32 Pratama Saham

0.00004

0.7872

0.00221

0.6102


-0.00001

0.9259

0.00094

0.7030


0.00002

0.7893

0.00243

0.2428


-0.00021

0.0113 -0.00127

0.3726


-0.00008

0.2377

0.00129

0.5269

37 Trim Kapital

0.00005

0.7623

0.00343

0.2591


0.00017

0.3196

0.00573

0.1231

Sumber: data diolah


99

Lampiran 6 Nilai Koefisien φ Model Treynor-Mazuy (Data Harian dan Bulanan) No.

Nama Reksa Dana

Data Harian Prob.

φ

Data Bulanan φ

Prob.

1 Bahana Dana Prima

0.17264

0.6983

-1.3284

0.0270


0.36483

0.3414

-1.2595

0.0184


-0.22944

0.6038

-1.8400

0.0132


0.32902

0.2828

-0.8926

0.1219


-0.06112

0.8701

-1.5804

0.0062

6 BNI Berkembang

-1.21946

0.0238

-3.5697

0.0002

0.13506

0.4975

-0.9445

0.0082

-0.31889

0.3124

-1.1481

0.0273


0.22098

0.2343

-0.9454

0.0060


-0.93188

0.0506

-1.3885

0.0746

0.07111

0.8154

-1.8438

0.0126

12 Rencana Cerdas

-0.39068

0.4659

-0.7087

0.3422

13 Grow 2 Prosper

-2.20736

0.0131

0.5353

0.6895

1.20096

0.0093

0.4711

0.3861

15 Emco Growth

-1.38058

0.1379

-1.0277

0.5086

16 Emco Mantap

-0.74308

0.5058

-0.5045

0.8274


0.60950

0.1164

-1.0286

0.0334


0.92953

0.0069

-0.9429

0.0292


0.78004

0.0216

-0.9093

0.0809

20 Maybank GMT DE

-0.68376

0.0765

-0.2108

0.7648


-0.40936

0.3645

-2.1761

0.0039


-0.06684

0.8810

-1.7197

0.0059


-0.94874

0.3296

-2.0732

0.0177


-0.09644

0.7951

-0.5004

0.2331


-0.26899

0.0086

-1.5341

0.0039

26 Millenium Equity

-1.48155

0.1954

0.0913

0.9611

7 BNP Paribas Ekuitas 8 BNP Paribas Infra Plus


14 Danareksa Mawar


100

No.

Nama Reksa Dana

27 MNC Dana Ekuitas

Data Harian φ

Prob.

Data Bulanan φ

Prob.

-0.34476

0.7358

-0.8847

0.4185


0.73229

0.0010

-0.9200

0.0807


-0.50730

0.4763

-0.0180

0.9868

0.31376

0.6254

-0.8755

0.3721


-0.43849

0.4226

-1.8039

0.1107

32 Pratama Saham

-0.55130

0.3817

-1.7843

0.1528


0.36272

0.4294

-0.7929

0.2630


-0.05549

0.8078

-0.9603

0.1078


0.81498

0.0148

-0.7694

0.0615


0.34226

0.3057

-0.8088

0.0569

37 Trim Kapital

-0.18056

0.7415

-2.0190

0.0223


-1.08121

0.0613

-3.3685

0.0021

30 Panin Dana Prima

Sumber: data diolah


101

Lampiran 7 Hasil Uji One-Sample Kolmogorov-Smirnov Hasil Stock Selection Data Harian dan Bulanan Hasil Stock Selection Harian 38 .0281003 .17343334 .537 .537 -.435 3.311 .000

N Normal Parametersa,b Most Extreme Differences

Mean Std. Deviation Absolute Positive Negative

Kolmogorov-Smirnov Z Asymp. Sig. (2-tailed) a. Test distribution is Normal. b. Calculated from data.

Hasil Stock Selection Bulanan 38 .00048895 .002411768 .099 .099 -.063 .608 .854

Tabel 5.4 Hasil Uji Mann-Whitney Test Hasil Stock Selection Data Harian dan Bulanan Test Statisticsa

Mann-Whitney U Wilcoxon W Z Asymp. Sig. (2-tailed) a. Grouping Variable: Jenis_Data

Hasil_Stock_Se lection 710.000 1451.000 -.125 .901


102

Lampiran 8 Hasil Uji One-Sample Kolmogorov-Smirnov Hasil Market Timing Data Harian dan Bulanan Hasil Market Hasil Market Timing Timing Harian Bulanan 38 38 -.18993684 -1.15748684 .729615017 .855673361 .077 .139 .066 .116 -.077 -.139 .476 .856 .977 .457

N Normal Parametersa,b Most Extreme Differences

Mean Std. Deviation Absolute Positive Negative

Kolmogorov-Smirnov Z Asymp. Sig. (2-tailed) a. Test distribution is Normal. b. Calculated from data.

Tabel Hasil Uji Mann-Whitney Test Hasil Market Timing Data Harian dan Bulanan Test Statisticsa

Mann-Whitney U Wilcoxon W Z Asymp. Sig. (2-tailed) a. Grouping Variable: Jenis_Data


Hasil_Market _Timing 270.000 1011.000 -4.696 .000

DAFTAR PUSTAKA. Ambachtsheer, Keith. (1972). Portofolio Theory and Security Analysis. Financial Analysts Journal, Vol.28, pp.53-57

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