Performance Of Equity Mutual Funds According To Sharpe, Treynor And Jensen Methods Periode 2013-2015

Catur Fatchu Ukhriyawati

Abstract


Abstract. This study aims to determine the performance of the Fund shares based Risk-Adjusted Return by Sharpe, Treynor, Jensen and compare the performance of the Fund shares with the benchmark performance in the study period. Benchmark performance in this study using Composite Stock Price Index. The sampling technique used purposive sampling techniques and obtained 15 Product Mutual Fund shares as the study sample. The variable in this study is the return of Mutual Fund shares, the market return and risk-free profit. Methods of data analysis using the method of Sharpe, Treynor, Jensen. The results showed for the method of Sharpe in 2013, there were 7 Mutual funds that had positive performance and 11 performing equity funds outperform the benchmark. In 2014 all equity fund has a positive performance and outperform the benchmark. In 2015 there were equity fund has a positive performance and a 6-performing equity funds outperform the benchmark. For the method of Treynor, in 2013 there were 2 Equity funds with positive performance and 11 performing equity funds outperform. In 2014 there were 14 equity fund with a positive performance and 14 performing mutual funds outperform. In 2015 there are no equity fund with a positive performance and there are 6-performing equity funds outperform. For the method of Jensen, in 2013 there were 9 Equity funds with positive performance and 9-performing equity funds outperform. In 2014, there were 7 Equity funds with positive performance and 7-performing mutual funds outperform. In 2015 there were 2 Equity funds with positive performance and second-performing equity funds outperform.


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