EVALUATION OF EQUITY MUTUAL FUNDS PORTFOLIO PERFORMANCE IN INDONESIA USING SHARPE, TREYNOR AND JENSEN METHODS

  • Adinda Shafira Riandini University “Universitas Mercu Buna”, Jakarta
  • Asep Risman University “Universitas Mercu Buna”, Jakarta
DOI: https://doi.org/10.35678/2539-5645.3(34).2022.34-40
Keywords: equity, mutual funds, IHSG, portfolio performance, Sharpe ratio

Abstract

Besides investing in stocks, bonds, or gold, investors can also opt to invest in mutual funds. Mutual funds can be an alternative investment solution for beginner or risk-averse investor that doesn't have much knowledge in analyzing portfolio performance or know how to make a proper portfolio. There are four types of mutual funds, equity mutual funds, fixed income mutual funds, money market mutual funds, and balanced mutual funds. Equity mutual funds themselves are a type of mutual funds that invest at least 80% in stocks; therefore, the risk is quite higher than other types of mutual funds. The purpose of this study is to evaluate the performance of equity mutual funds available in Indonesia by using the Sharpe Index, Treynor Ratio, and Jensen Index from 2018 to 2020. The writer chooses to use the population of 7 equity mutual funds and Composite Stock Price Index of Indonesia data for the market return. Out of 7 chosen equity mutual funds, it can be concluded that Sucorinvest Equity was the best-performing equity fund during the study period.

Author Biographies

Adinda Shafira Riandini, University “Universitas Mercu Buna”, Jakarta

Researcher, Faculty of Economy and Business, University “Universitas Mercu Buna”, Jakarta, Indonesia

Research interests: banking and financing, international financial markets

Asep Risman, University “Universitas Mercu Buna”, Jakarta

Lecturer of  University “Universitas Mercu Buna”, Jakarta, Indonesia

Research interests: corporative finance, corporative management, behavioral finance, international and national business development

References

Al-Afeef, M. (2017). Capital asset pricing model, theory and practice: Evidence from USA (2009-2016). International Journal of Business and Management, 12(8): 182-192.

Baker, H.K., Filbeck, G. & Kiymaz, H. (2016). Mutual funds and exchange-traded funds. New York: Oxford University Press.

Chen, J. (2021). Inefficient portfolio. Available online: https://www.investopedia.com/terms/i/inefficient-portfolio.asp

Indonesian Stock Exchange (2021) Mutual funds. Available online: https://www..idx.co.id/en-us/products/mutual-funds/.

Napoletano, E. & Curry, B. (2021). What is investing? How can you start investing? Available online: https://www.forbes.com/advisor/investing/what-is-investing/

Pangestuti, I. R. D., Wahyudi, S. & Robiyanto (2017). Performance evaluation of equity mutual funds in Indonesia. Jurnal of Finance and Banking, 21(4): 527-542.

Partono, T., Yulianto, A., Vidayanto, H. & Yanto, W. (2019). The Analysis of optimal portfolio forming with single index model on Indonesian most trusted companies. International Research Journal of Finance and Economics, 163: 50-59.

Qur'anitasari, Nuzula, N. & Darmawan, A. (2019). Critical analysis of Sharpe, Treynor and Jensen methods in analyzing stock portfolio performance LQ-45 stock studies. Asia Pacific Management and Business Application, 8(2): 89-104.

Rahman, A. & Risman, A. (2021). Is behavior finance affected by income, learning finance and life style? The EUrASEANs: Journal on Global Socio-Economic Dynamics, 4(29): 29-40.

Reilly, F. K., Brown, K. C. & Leeds, S. J. (2019). Investment analysis and portfolio management. Singapore: Cengage Learning Asia.

Risman, A., Salim, U., Sumiati, S. & Indrawati, N.K. (2017). Commodity prices, exchange rates and investment on firm’s value mediated by business risk: A case from Indonesian stock exchange. European Research Studies Journal, 10(3A): 511-524.

Tlemsani, I., Alkhaldi, A., Aljeshi, B., Alluwaimi, I. & Alrayes, J. (2020). Analysis of the capital asset pricing model: Application to general electric performance. Theoretical Econ omics Letters, 10(5): 1103-1112.

Zakarias, V.A. & Tumewu, F. (2015). Evaluating portfolio performance of companies stock listed in LQ45 based on Sharpe, Treynor and Jensen method. Jurnal EMBA, 3(4): 55-64.
Published
2022-05-30
How to Cite
Riandini, A., & Risman, A. (2022). EVALUATION OF EQUITY MUTUAL FUNDS PORTFOLIO PERFORMANCE IN INDONESIA USING SHARPE, TREYNOR AND JENSEN METHODS. The EUrASEANs: Journal on Global Socio-Economic Dynamics, (3(34), 34-40. https://doi.org/10.35678/2539-5645.3(34).2022.34-40
Issue
No 3(34) (2022): The EUrASEANs: journal on global socio-economic dynamics
Section
Articles

Copyright

The EUrASEANs

International College Suan Sunandha
Rajabhat University, Bangkok, Thailand