PENGARUH RETURN HISTORIS, ASSET UNDER MANAGEMENT, EXPENSE RATIO DAN UMUR REKSA DANA SAHAM TERHADAP KINERJA REKSA DANA SAHAM PERIODE 2019-2024 DENGAN UMUR REKSA DANA SEBAGAI MODERASI

Abstrak

Penelitian ini bertujuan untuk menganalisis pengaruh return historis, Asset Under Management (AUM), expense ratio, dan umur reksa dana terhadap kinerja reksa dana saham dengan umur reksa dana sebagai variabel moderasi. Penelitian ini dilatarbelakangi oleh pertumbuhan industri reksa dana saham di Indonesia yang belum diikuti dengan peningkatan kinerja yang konsisten, sehingga diperlukan kajian mengenai faktor-faktor yang memengaruhi kemampuan reksa dana dalam menghasilkan abnormal return. Penelitian ini menggunakan pendekatan kuantitatif dengan data sekunder yang diperoleh dari fund fact sheet bulanan reksa dana saham periode 2019–2024. Sampel penelitian dipilih menggunakan teknik purposive sampling, sehingga diperoleh 32 reksa dana saham dengan total 2.304 observasi. Analisis data dilakukan menggunakan regresi data panel dengan Fixed Effect Model (FEM) serta Moderated Regression Analysis (MRA) untuk menguji peran umur reksa dana sebagai variabel moderasi. Hasil penelitian menunjukkan bahwa return historis berpengaruh positif dan signifikan terhadap kinerja reksa dana saham yang diukur menggunakan Jensen's Alpha, sedangkan AUM, expense ratio, dan umur reksa dana tidak berpengaruh signifikan. Hasil pengujian moderasi menunjukkan bahwa umur reksa dana tidak mampu memoderasi pengaruh return historis dan expense ratio terhadap kinerja reksa dana saham, tetapi mampu memoderasi pengaruh AUM terhadap kinerja dengan arah negatif. Temuan ini mengindikasikan bahwa return historis merupakan faktor utama yang memengaruhi kinerja reksa dana saham, sedangkan peningkatan dana kelolaan pada reksa dana yang memiliki umur lebih matang belum tentu meningkatkan kemampuan reksa dana dalam menghasilkan abnormal return.

This study aims to examine the effects of historical return, Assets Under Management (AUM), expense ratio, and fund age on the performance of equity mutual funds, with fund age serving as a moderating variable. This study is motivated by the growth of the equity mutual fund industry in Indonesia, which has not been accompanied by consistent improvements in fund performance. Therefore, it is necessary to investigate the factors that influence the ability of equity mutual funds to generate abnormal returns. This study employed a quantitative approach using secondary data obtained from the monthly fund fact sheets of equity mutual funds for the 2019–2024 period. The sample was selected using a purposive sampling technique, resulting in 32 equity mutual funds with a total of 2,304 observations. The data were analyzed using panel data regression with the Fixed Effect Model (FEM) and Moderated Regression Analysis (MRA) to examine the moderating role of fund age. The results indicate that historical return has a positive and significant effect on equity mutual fund performance, as measured by Jensen's Alpha, while Assets Under Management (AUM), expense ratio, and fund age have no significant effect. Furthermore, the moderation analysis reveals that fund age does not moderate the effects of historical return and expense ratio on equity mutual fund performance but significantly moderates the relationship between Assets Under Management (AUM) and equity mutual fund performance in a negative direction. These findings suggest that historical return is the primary determinant of equity mutual fund performance, whereas an increase in assets under management among more mature mutual funds does not necessarily enhance their ability to generate abnormal returns.