A Comparative Study of Mutual Fund Portfolio Performance in Indonesia

D. Aprillia, C. Wijaya, Fibria Indriati
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引用次数: 4

Abstract

A Mutual fund is one of the instruments in the capital markets that have an important role for investors. Through mutual funds, investors can invest their capital to get the returns with the risks that fit into each investor criteria. Asset under Management (AUM) is one of the indicator for investors in choosing a mutual fund. The more capital is deposited by the investor into a mutual fund, the greater the managed fund. This study aims to analyze how the performance of the portfolio held by equity mutual funds with the largest of Asset under Management when the stock market condition tends to be bearish. This research was conducted through three measurements, a comparison of the performance of the mutual funds returns with a market return, mutual fund diversification using coefficient determination and mutual fund performance measurement using risk-adjusted return, which are Sharpe Ratio, Treynor Ratio and Jensen’s Alpha. The results showed that the use of the entire measurement, mutual funds performance with the largest AUM outperform the market, but different results obtained for diversification measurement and Jensen’s Alpha.
印度尼西亚共同基金投资组合绩效比较研究
共同基金是资本市场上对投资者起着重要作用的工具之一。通过共同基金,投资者可以投资他们的资本,以获得符合每个投资者标准的风险回报。资产管理规模(AUM)是投资者选择共同基金的指标之一。投资者存入共同基金的资金越多,所管理的基金规模就越大。本研究旨在分析资产管理规模最大的股票型共同基金所持有的投资组合在股市趋于看跌时的表现。本研究通过夏普比率(Sharpe Ratio)、特雷诺比率(Treynor Ratio)和詹森Alpha (Jensen’s Alpha)三种测量方法进行,分别是对共同基金收益与市场收益的绩效比较、采用系数确定的共同基金多元化以及采用风险调整收益的共同基金绩效衡量。结果表明,采用整体度量时,拥有最大资产管理规模的共同基金绩效优于市场,但采用分散化度量和Jensen’s Alpha得到的结果不同。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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