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EQUITY MUTUAL FUND PERFORMANCE:THE CASE OF INDONESIA |
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| รหัสดีโอไอ | |
| Creator | Wahyu Widodo |
| Title | EQUITY MUTUAL FUND PERFORMANCE:THE CASE OF INDONESIA |
| Contributor | Robiyanto Robiyanto |
| Publisher | University of the Thai Chamber of Commerce |
| Publication Year | 2561 |
| Journal Title | UTCC International Journal of Business and Economics |
| Journal Vol. | 10 |
| Journal No. | 3 |
| Page no. | 19-36 |
| Keyword | Equity Mutual Fund, Sharpe Index, Treynor Ratio, Jensen Alpha, Information Ratio |
| URL Website | http://ijbejournal.com/ |
| Website title | ijbejournal |
| ISSN | 1906-5582 (paper) |
| Abstract | The research was conducted by involving 59 equity mutual funds circulating in Indonesia with Rupiah denomination from 2012 until 2016. Performance measurement is done by Treynor Ratio, Sharpe Index, Jensen Alpha, Adjusted Sharpe Index, Adjusted Jensen Index, and Information Ratio. The population of this research is Equity Mutual Funds registered in the Financial Services Authority (FSA or OJK in Bahasa). Equity Mutual Fund is chosen as the object of research because in Indonesia equity mutual fund is the most popular mutual fund. The data used in this study are, (1) monthly net asset value of equity funds from December 2011 to December 2013. NAV data of mutual funds are obtained from Bloomberg through www.portalreksadana.com. (2) Monthly data of Composite Stock Price Index (CSPI) obtained from website www.idx.co.id from December 2011 to December 2013. (3) Data of Reference Rate of Bank Indonesia and Bank Indonesia 7 Days Repo Rate from January 2012 until December 2016. Overall RHB Alpha Sector Rotation, SAM Indonesian Equity Fund, Simas Dana Saham, Schroder Dana Prestasi, Lautandhana Equity Progressive - quity Progressive, Pratama Equity, and Pratama Saham are equity mutual funds that always consistently give positive results when measured by several models used. |
