Analisis Kinerja Reksa Dana Saham Berdasarkan Indeks Sharpe Dan Pengaruh Faktor Makroekonomi Terhadap Kinerja Reksa Dana Saham Di Pasar Modal

Sawerigading, Muhammad Irvan Athillah (2026) Analisis Kinerja Reksa Dana Saham Berdasarkan Indeks Sharpe Dan Pengaruh Faktor Makroekonomi Terhadap Kinerja Reksa Dana Saham Di Pasar Modal. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Pertumbuhan jumlah investor di pasar modal Indonesia meningkatkan kebutuhan evaluasi kinerja investasi yang objektif dan berbasis risiko. Reksa Dana Saham sebagai instrumen dengan volatilitas relatif tinggi sering dinilai hanya berdasarkan kinerja historis tanpa mempertimbangkan penyesuaian risiko serta pengaruh Variabel Makroekonomi. Ketidakjelasan hubungan antara kondisi makroekonomi dan kinerja risk-adjusted mendorong perlunya analisis empiris menggunakan pendekatan Analisis Time Series. Penelitian ini bertujuan mengevaluasi kinerja Reksa Dana Saham menggunakan Indeks Sharpe serta menganalisis pengaruh inflasi dan nilai tukar melalui model Fungsi Transfer. Sampel penelitian terdiri atas lima Reksa Dana Saham dengan Asset Under Management (AUM) terbesar di Indonesia menggunakan data bulanan periode 2020–2024 yang mencakup nilai aktiva bersih, suku bunga bebas risiko, inflasi, dan nilai tukar rupiah terhadap USD. Analisis dilakukan melalui perhitungan Indeks Sharpe dan pemodelan Fungsi Transfer dengan inflasi dan nilai tukar sebagai variabel input serta Indeks Sharpe sebagai variabel output, dengan tahapan uji stasioneritas Augmented Dickey–Fuller (ADF), pemodelan ARIMA, pre-whitening, analisis cross-correlation function (CCF), dan uji diagnostik residual. Hasil penelitian menunjukkan bahwa kinerja reksa dana saham berbasis risiko berfluktuasi sepanjang periode pengamatan dan secara umum belum mampu menghasilkan excess return yang konsisten terhadap risiko yang ditanggung. Pemodelan Fungsi Transfer mengindikasikan adanya hubungan dinamis variabel makroekonomi terhadap Indeks Sharpe melalui parameter yang signifikan, namun model belum sepenuhnya memenuhi asumsi white noise sehingga interpretasi pengaruh tersebut perlu dilakukan secara hati-hati.
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The growth of investors in the Indonesian capital market increases the need for objective and risk-based investment performance evaluation. Equity mutual funds, characterized by relatively high volatility, are often assessed solely based on historical returns without considering risk adjustment or the influence of macroeconomic variables. The unclear relationship between macroeconomic conditions and risk-adjusted performance motivates empirical analysis using a Time Series approach. This study aims to evaluate equity mutual fund performance using the Sharpe Index and to examine the effects of inflation and exchange rates through a Transfer Function model. The sample consists of five equity mutual funds with the largest Assets Under Management (AUM) in Indonesia using monthly data from 2020–2024, including net asset values, risk-free rates, inflation, and the IDR/USD exchange rate. Analysis was conducted through Sharpe Index calculation and Transfer Function modeling with inflation and exchange rate as input variables and the Sharpe Index as the output variable, involving Augmented Dickey–Fuller (ADF) stationarity testing, ARIMA modeling, pre-whitening, cross-correlation function analysis (CCF), and residual diagnostics. Results indicate that risk-adjusted performance fluctuated throughout the observation period and generally failed to produce consistent excess returns relative to risk. The Transfer Function model reveals dynamic relationships between macroeconomic variables and the Sharpe Index through significant parameters; however, the model residuals did not fully satisfy the white noise assumption, requiring cautious interpretation.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Analisis Time Series, Fungsi Transfer, Indeks Sharpe, Reksa Dana Saham, Variabel Makroekonomi, Equity Mutual Funds, Macroeconomic Variables, Sharpe Rasio, Time Series Analysis, Transfer Function Model
Subjects:	H Social Sciences > HG Finance > HG4529 Investment analysis Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry)
Divisions:	Faculty of Vocational > 49501-Business Statistics
Depositing User:	Muhammad Irvan Athillah Sawerigading
Date Deposited:	23 Feb 2026 03:02
Last Modified:	23 Feb 2026 03:02
URI:	http://repository.its.ac.id/id/eprint/132465

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