Reksa dana: solusi perencanaan investasi di era modern. Working Paper Economic Research Department Reserve Bank of Australia. The efficient market hypothesis: A survey. Portfolio Selection: Efficient Diversification of Investments. Refinements to the sharpe ratio-evidence from malaysian equity funds. Risk-adjusted performance measures: a case study. Investment Performance Measurement Feature Articles, 1, 1-4. The sharpe ratio and the information ratio. Investment Performance Measurement Feature Articles, (1). Measures of risk-adjusted return: let’s not forget Treynor and Jensen. Performance hypothesis testing with the Sharpe and Treynor measures. The performance of mutual funds in the period 1945–1964. Handbook of Quantitative Finance and Risk Management, 267-281. Portfolio theory, CAPM, and performance measures. Working Paper.įerruz, L., Gómez-Bezares, F., & Vargas, M. Implications of sharpe ratio as a performance measure in multi-period settings. Journal of the Academy of Business and Economics, 30, 101-124.Ĭvitanic, J., Lazrak, A., & Wang, T. The performance of faith and ethical investment products: An empirical investigation of the last decade. Jurnal Dinamika Manajemen, 1(4).īednarek, Z., Patel, P., & Ramezani, C. Analisis perbandingan kinerja portofolio saham dengan metode Sharpe, Treynor, dan Jensen (Studi kasus indeks LQ 45 di Bursa Efek Indonesia periode 2008–2012). It was further found that most equity mutual fund studied have been well diversified.Īrisonda, E. In general, it was concluded that the SAM Indonesian Equity was the best-performing equity fund during the study period. This study aims to evaluate the performance of 42 equity mutual funds available in Indonesia by employing Sharpe Index, Treynor Ratio, Jensen Index, Adjusted Sharpe Index (ASI), Adjusted Jensen Index (AJI), and Sortino Ratio because most previous researches in Indonesian setting disregards ASI and AJI. This study was conducted by using all of those performance measurements as most research in Indonesia was conducted by using limited performance measurements (focusing on Sharpe Index, Treynor Ratio, and Jensen Index). As a stock portfolio, equity mutual funds can measure with portfolio measurement methods such as Sharpe Index, Treynor Ratio, Jensen Index, Adjusted Sharpe Index, Adjusted Jensen Index, and Sortino Ratio. For its different characteristic, the measurement for equity funds performance did not be same with other types of mutual funds.
Equity mutual fund a type of mutual funds that most part of the investment consists of stocks in the capital market so the risk rate was higher than the other types of mutual funds.
One type of mutual fund that attracts many investors was the equity mutual funds. Mutual funds considered an investment alternative for investors.
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