Analisis kinerja portofolio dan peramalan harga reksadana etf (exchange traded fund) indonesia

Razzaq, Ichsanul (2018) Analisis kinerja portofolio dan peramalan harga reksadana etf (exchange traded fund) indonesia. Masters thesis, Institut Pertanian Bogor.

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Abstract

The growth of Indonesian ETF Mutual Fund is very significant when viewed from the total growth of its managed NAV funds. Recorded growth of the NAV’s value of ETF mutual fund from 2011 to 2016 is 286%. The significant growth of NAV value is not necessarily in line with the performance of the ETF mutual fund itself. Besides, the ETF mutual fund industry in Indonesia is still in the early stages of development that makes the information about the existence of this investment instrument and information about the performance of ETF mutual funds has not been widely known by the people of Indonesia with very minimal publication. This research aims to conduct a performance evaluation and price forecasting of ETF’s fund as an effort in obtaining information related to such investment instruments to help in making investment decisions. The sample of this research is Indonesian ETF mutual fund which has been actively traded at the stock exchange from February 2014 until July 2017 such as ETF IDX30 mutual funds, ETF JII mutual funds, ETF LQ45 mutual funds and Indonesia Consumer ETF mutual funds. This research uses a quantitative descriptive analysis method, which conducted research on case studies of performance and forecasting toward the price of ETF’s mutual fund, in order to be able to describe the overall performance of Indonesian ETF. This research uses two research method, risk-adjusted performance method (Sharpe ratio, Treynor ratio, Jensen's Alpha ratio) and box-jenkins forecasting method (ARIMA model). The analytical tool used in this research is E-views 9 with the ARIMA equation model. The results show that ETF mutual fund has good performance. It showed from the value of NAV that each ETF mutual fund has increased and the rate of return generated positive and tends to fluctuate. With the assessment of ETF mutual fund performance with risk-adjusted performance method, shows the overall calculation for each ETF mutual fund has superior performance when compared to the performance of each reference index. The results also showed that the ARIMA’s forecasting model (0,1,1) is the best model in doing price forecasting for mutual fund premier ETF IDX30, premier Shariah ETF JII, premier ETF LQ45 and ARIMA (MA(1)MA(4) for mutual funds ETF Indonesia premier Consumer. It is also supported by the accuracy analysis of the direction of the expected price movement of the ETF mutual fund price by 80%, which means that the process of forecasting the ETF's alleged recalculation price has been able to read well the movement of the actual price of the actual ETF mutual fund.

Item Type: Thesis (Masters)
Uncontrolled Keywords: ARIMA, Exchange Traded Fund, Forecasting, Mutual Funds, Return, Risk-adjusted Performance. ARIMA, Exchange Traded Fund, Peramalan, Reksadana, Return, Risk-adjusted Performance.
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 26 Dec 2018 08:09
Last Modified: 26 Dec 2018 08:09
URI: http://repository.sb.ipb.ac.id/id/eprint/3197

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