Mutual performance assessment model: Comparative analysis

Bazfa Azzah Zhorifah(1), Dwipraptono Agus Harjito(2*)
(1) Department of Management, Faculty of Economics, Universitas Islam Indonesia, Yogyakarta
(2) Department of Management, Faculty of Economics, Universitas Islam Indonesia, Yogyakarta
(*) Corresponding Author

Abstract

This study aims to determine the comparison of mutual funds performance between stock mutual funds, fixed income mutual funds and mixed mutual funds in 2015-2017 using the Jensen, Sharpe, Treynor and Black models. Using purposive sampling method, this study used a sample of 30 mutual funds consisting of 10 equity funds, 10 fixed income mutual funds, and 10 mixed mutual funds during 2015-2017. The data analysis used to test the hypothesis was the One Way ANOVA test and the Kruskal-Wallis test. The results showed that there was no difference in performance between stock mutual funds, fixed income mutual funds, and mixed mutual funds in 2015-2017 which were analyzed using the Jensen, Sharpe, and Treynor models, there was a difference in performance between stock mutual funds, fixed income mutual funds, and mixed mutual funds in 2015. -2017 were analyzed using the Treynor and Black models.

Keywords


Mutual funds performance; equity mutual funds; fixed income mutual funds; and mixed mutual funds

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