Equity mutual funds in Indonesia have experienced a strong growth in term of values during the last decade. This strong growth raises a fundamental question whether the equity mutual funds perform well under some portfolio performance measure models. Recent literatures on the performance evaluation of Indonesian equity mutual funds are limited to small sample size and short research period. This paper aims to provide empirical assessment of Indonesian equity mutual funds using a large sample size and covering the period of 2001-2010. The performance of the funds is evaluated using the Sharpe ratio, Jensen’s alpha, Treynor-Mazuy model, and Henriksson-Merton model. This study finds that on average Indonesian equity mutual funds do not perform worse than the market portfolio and evidence of market timing ability by a small number of Indonesian equity funds.
Evaluating the Performance of Indonesian Equity Mutual Funds
ARIFIN, Jauhary
2011-01-01
Abstract
Equity mutual funds in Indonesia have experienced a strong growth in term of values during the last decade. This strong growth raises a fundamental question whether the equity mutual funds perform well under some portfolio performance measure models. Recent literatures on the performance evaluation of Indonesian equity mutual funds are limited to small sample size and short research period. This paper aims to provide empirical assessment of Indonesian equity mutual funds using a large sample size and covering the period of 2001-2010. The performance of the funds is evaluated using the Sharpe ratio, Jensen’s alpha, Treynor-Mazuy model, and Henriksson-Merton model. This study finds that on average Indonesian equity mutual funds do not perform worse than the market portfolio and evidence of market timing ability by a small number of Indonesian equity funds.
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