Mutual Funds & Portfolio Performance Evaluation Lukas Setia Atmaja
Definisi Reksa dana : Wadah untuk menghimpun dana dari pemodal untuk diinvestasikan dalam portofolio efek oleh manajer investasi. (UU PM 8/95)
Manfaat: •
Broad Diversification
•
Professional Management
•
Liquidity
•
Convenience
Kerugian: •Depersonalized •Remarkable costs •Losing control over the realization of capital gains •Uneasy to choose good mutual funds
Bentuk Reksa Dana •Perseroan Terbatas •Kontrak Investasi Kolektif (KIK) (Ps. 18, UU PM 8/95)
•Reksa dana berbentuk PT dapat terbuka atau tertutup •Reksa dana berbentuk KIK hanya dapat terbuka
Reksa Dana Tertutup (Close End Fund): -Jumlah saham yang diterbitkan terbatas - Tidak membeli kembali saham-sahamnya - Dicatatkan di Bursa Efek - NAB dihitung sekali seminggu - Contoh: ETF (R-LQ45F dan R-ABFII)
Informasi Utama Premier ETF LQ-45 Jenis Instrumen
Reksa Dana Yang Unit Penyertaannya Diperdagangkan di Bursa Efek (Exchange Traded Fund). Indeks Acuan LQ-45 Tanggal Pencatatan 18 Desember 2007 Bursa Perdagangan Bursa Efek Indonesia Ukuran Lot Perdagangan 500 Unit Penyertaan Pembagian Dividen Per semester, apabila ada Pembelian dan Penjualan Kembali kepada Pembelian—pemodal membeli Unit Penyertaan Manajer Investasi dalam satuan Unit Kreasi secara in-kind dengan menyerahkan saham-saham indeks dan komponen tunai melalui Dealer Partisipan. Penjualan kembali—pemodal menjual kembali Unit Penyertaan dalam satuan Unit Kreasi dan menerima pembayaran secara in-kind berupa saham-saham indeks dan komponen tunai melalui Dealer Partisipan. Unit Kreasi Harga Unit Penyertaan Dealer Partisipan Manajer Investasi Bank Kustodian Lembaga Penyimpanan
10.000.000 Unit Penyertaan. tingkat harga Indeks LQ-45. PT Indo Premier Securities PT Sinarmas Sekuritas PT Indo Premier Securities Citibank, N.A., Indonesia PT Kustodian Sentral Efek Indonesia (KSEI).
No. ETF R-ABFII (Index Obligasi Negara - SUN) 1
Diversifikasi – investasi tiap unit ETF R-ABFII seketika memberikan potensi keuntungan dan penyebaran risiko merata di pasar obligasi Surat Utang Negara di Indonesia.
2
Transparansi – satu-satunya reksa dana yang memiliki tata kelola (GCG) dalam pengawasan BAPEPAM-LK, Bursa Efek Indonesia, serta Komite Supervisi yang independen & kredibel
3 4
Kemudahan Bertransaksi – dapat dibeli melalui pialang / broker saham anda Likuiditas & Real-Time Price – ditransaksikan sepanjang jam perdagangan bursa (BEI)
5
Investasi Terjangkau – minimum investasi 500 unit penyertaan
6
Ekonomis – biaya paling rendah
Fitur
ETF
Reksa Dana Open-End
Perdagangan
Diperdagangkan di bursa sepanjang jam operasi perdagangan bursa.
Diperdagangkan melalui Manajer Investasi dan Agen Distribusi (Bank).
Investasi Minimum
Tidak ada
Bervariasi (tergantung KIK reksadana).
Harga
Harga ETF indeks obligasi mengikuti trend indeks obligasi di mana premium / discount dari bid / offer ETF tersebut disesuaikan dengan pesanan pasar selama jam operasi bursa.
Harga reksadana ditentukan melalui NAB (Nilai Aset Bersih) dari reksadana tersebut yang dihitung oleh Bank Kustodian.
Pengumuman Harga
Secara real time diumumkan di bursa terusmenerus sepanjang jam operasi perdagangan bursa.
Diumumkan satu kali setiap hari, pada akhir hari, oleh Bank Kustodian.
Market Making
Pada umumnya ETF memiliki market maker (Liquidity Provider)
Tidak ada
Efek Derivatif
ETF dimungkinkan untuk memiliki derivatif berupa opsi atau futures atas underlying index Tidak ada atau ETF tersebut.
Reksa Dana Terbuka (Open End Fund): -Dapat menjual saham (UP = unit penyertaan) terus menerus
-Pemodal dapat menjual kembali UP kepada manajer investasi -Tidak dicatatkan di Bursa Efek
-NAB dihitung setiap hari dan dipublikasikan
JENIS REKSA DANA DI INDONESIA a. Reksa Dana Pasar Uang (money market funds) Investasi pada efek bersifat hutang dengan jatuh tempo < 1 tahun b. Reksa Dana Pendapatan Tetap (fixed income funds)
Investasi minimal 80% pada efek hutang c. Reksa Dana Saham (equity funds) Investasi minimal 80% pada efek ekuitas
d. Reksa Dana Campuran (discretionary funfds) Investasi pada efek hutang dan ekuitas dengan perbandingan tidak spt pada b dan c
NAB (Nilai Aktiva Bersih) NAV (Net Asset Value) NAB = Nilai aktiva – Total Kewajiban NAB/unit = NAB / jumlah UP beredar -Untuk open end funds, NAB adalah harga -Untuk close end funds, NAB adalah indikasi harga
Contoh: Pada pendirian Reksa Dana BABON, ada sponsor sebanyak Rp 300 milyar. Bambang, manajer investasi, mengalokasikan dana tersebut pada obligasi sejumlah Rp 100 mlyar dengan bunga 20% per tahun, deposito sebesar Rp 100 milyar dengan rata-rata bunga 15% per tahun. Sisanya, Rp 50 milyar dibelikan saham PT. Telkom (TLKM) dengan harga Rp 5000,-/saham dan Rp 50 milyar diinvestasikan pada saham PT. Unilever (UNLV) dengan harga Rp 25.000,-/saham.
Bambang mengenakan biaya biaya pengelolaan dana (management fee) sebesar 1% per tahun dan biaya untuk bank kustodian sebesar 0,25% per tahun. Hitung NAB pada hari berikutnya jika harga saham TLKM naik menjadi RP 5.500,- dan UNLV menjadi Rp 30.000,-.
•Jumlah UP = RP 300 milyar / Rp 1.000,- = 300 juta UP
•Return obligasi = 20%/365 = 0,00054795 (tidak kena pajak) •Return deposto = (15%/365)x 0,8 = 0,00041096 (pajak final 20%) •Management fee (MF)= 1%/365 = 0,0000274 •Bank Kustodian fee (BKF)= 0,25%/365 = 0,0000068 •MF + BKF = 0,0000342
•Saham TLKM = Rp 100 milyar / Rp 5.000,- = 10 juta lembar •Saham UNLV = Rp 50 milyar / Rp 25,000,- = 2 juta lembar
•Obligasi = 100.054.794.520 •Deposito = 100.032.877.000
•Saham TLKM = 10 juta x 5.500 = 55.000.000.000 •Saham UNLV = 2 juta x 30.000 = 60.000.000.000 •Total Aktiva = 315.087.671.520
•Biaya-biaya = Total aktiva x 0,0000342 = 10.262.998 •NAB = total aktiva – biaya = 315.077.408.522 •NAB/UP = NAB/300 juta = Rp 1.050,25,-
Catatan: Biaya-biaya dibayar pada akhir bulan shg dianggap sbg kewajiban (hutang)
Biaya Biaya Reksa Dana •Front End Load Commission or sales charges when you buy the shares •Back End Load “Exit” fee when you sell your shares •Operating Expenses Costs incurred by mutual fund in operating the portfolio: administrative expense, management fee
•Impact of costs on Investment Performance: See Table 4.2
Kinerja Reksa Dana “Passively managed (indexed) equity fund outperformed the typical actively managed fund” (Figure 4.3) •One might argue that: “There are good managers and bad managers”
•Goetzmann and Ibbotson (1994) “At least part of a fund’s performance is a function of skill as opposed to luck”
•Malkiel (1995), See table 4.3 “In the 1970s, initial year performance predicts subsequent year performance, but in 1980s the pattern of persistence in performance disappears”
How To Select An Equity Mutual Fund? John C. Bogle*, “Bogle on Mutual Funds” *John C. Bogle is the founder of Vanguard Group of Investment Company. Assets of Vanguard Funds totaled $112 billion on may 31, 1993.
• Classification of Equity/Common stock funds: 1. Growth funds 2. Value funds 3. Equity Income funds 4. Broad-based specialty funds 5. Concentrated specialty funds
•Invest principally in broadly based mainstream funds (growth and value); diversification is usually widest in these funds. If current income is a major requirement, give special consideration to equity income funds. •Select funds by comparing their investment characteristics. Comparing like with like is critical. •Give important consideration to the technical factors of Beta and Gross yield. Also consider the age and size of a fund, its portfolio turnover and, to the tenure of its portfolio manager. •Consider carefully the cost of acquiring and holding the fund’s shares. •Focus primarily on a fund’s returns for the previous ten years or, for a newer fund, its life time. Note year to year variations in returns relative to competitors.
•There is a simpler way: owning the entire market (index fund)
Tips To Pick The Right Funds (Jonathan Clements)
•Go long Looking for managers with long and venerable track record
•Invest in style Looking for consistency in performance
•Think small Be prepared to compromise by buying smaller funds with shorter track record and don’t ignore new offering
•Pinch Pennies Pay careful attention to cost
•Growth funds Seek long tem capital appreciation
•Value funds Seek a combination of growth and income
•Equity Income funds Seek to provide a major portion of total return through income
•Broad-based specialty funds Focus on the major market sub-sectors, such as aggressive growth stocks, small company stocks, global stocks.
•Concentrated specialty funds Invest in stocks of a single industry, such as health care, public utilities or gold mines.
Peter Lynch managed the Fidelity Magellan Fund from 1977 to 1990, during which time the fund's assets grew from $20 million to $14 billion. More importantly, Lynch reportedly beat the S&P 500 Index benchmark in 11 of those 13 years, achieving an annual average return of 29%.
ST. AGNES PORTFOLIO MIRACLE Company
1990-91 Performance (%)
Wal-Mart
164.7
Nike
178.5
Walt Disney
3.4
Limited
68.8
L.A Gear Pentech Gap Pepsico Food Lion Topps Savannah Foods IBM NYNEX
- 64.3 53.1 320.3 63.8 146.9 55.7 - 38.5 3.6 - 0.22
Mobil
19.1
Total Return for Portfolio
69.6
S&P 500
26.08
Reason 100 shares of Disney : “Every kid can explain this one” 100 shares of Kellog : “They liked the product” 300 shares of Topps: “Who doesn’t trade baseball cards?” 200 shares of McDonald’s: “People have to eat” 100 shares of Wal-Mart: “A Remarkable growth spurt” 100 shares of Savannah Foods: “They got it from Investor’s daily” 5000 shares of Jiffy Lube: “Cheap at the time” 600 shares of Hasbro: “It’s a toy company, isn’t it?”
1000 shares of Tyco Toys: “Ditto” 100 shares of IBM: “Premature adulthood” 600 shares of National Pizza: “Nobody can turn down a pizza”
1000 shares of Bank of New England: “How low could it go?”
The ST. AGNES CHORUS A good company usually increases its dividend every year.
You can lose money in very short time, but you it takes a long time to make money. The stock market really isn’t a gamble, as long as you pick good companies that you think do well, and not just because of the stock price. You can make a lot of money from the stock market, but then again you can also lose money, as we proved.
You have to research company before you put your money into it. When you invest in the stock market you should always diversify
You should invest in several stocks because of every five you pick one will be very great, one will be really bad, and there will be OK. Never fall in love with a stock; always have an open mind. You shouldn’t just pick a stock-you should do your homework. Buying stocks in utility companies is good because it gives you a higher dividend, but you’ll make money in growth stocks.
Just because a stock goes down doesn’t mean it can’t go lower. Over the long term, it’s better to buy stocks in small companies.
You should not buy a stock because it’s cheap but because you know a lot about it. (Peter Lynch: “Beating the Street”)
What is Required of a Portfolio Manager? 1.The ability to derive above-average returns for a given risk class Superior risk-adjusted returns can be derived from either – superior timing or – superior security selection 2. The ability to diversify the portfolio completely to eliminate unsystematic risk relative to the portfolio’s benchmark
Early Performance Measures Techniques • Portfolio evaluation before 1960 – rate of return within risk classes • Peer group comparisons – no explicit adjustment for risk – difficult to form comparable peer group
Treynor ‘s Composite Performance Measure T
Ri
RFR i
• The numerator is the risk premium • The denominator is a measure of risk • The expression is the risk premium return per unit of risk • Risk averse investors prefer to maximize this value • This assumes a completely diversified portfolio leaving systematic risk as the relevant risk
Sharpe Portfolio Performance Measure • Risk premium earned per unit of risk
Si
Ri
RFR i
Treynor versus Sharpe Measure • Sharpe uses standard deviation of returns as the measure of risk • Treynor measure uses beta (systematic risk) • Sharpe therefore evaluates the portfolio manager on the basis of both rate of return performance and diversification • The methods agree on rankings of completely diversified portfolios • Produce relative not absolute rankings of performance
Jensen Portfolio Performance Measure • Also based on CAPM • Expected return on any security or portfolio is
E Rj
RFR
j
E Rm
RFR
