Institusion
STIE Indonesia Banking School
Author
Kristianingrum, Felicia Diah
Subject
HD28 Management. Industrial Management
Datestamp
2024-07-17 01:15:31
Abstract :
The purpose of this research is : 1.) to understand the daily performance of
Indonesian stock mutual funds during 2005 - 2007, and 2.) to understand stock
mutual funds by which one of them has the highest and lowest performance. This
research only focuses on Indonesian stock mutual funds and only conventional stock mutual funds (Syariah 's are not allowed), still active until 2007 and listed at
Bapepam, for comparison stock mutual funds, this research uses JKSE during
2005-2007.
The risk-adjusted performance method that used in this research are I) Sharpe
Ratio, 2) Treynor Ratio, 3) Jensen's Alpha, and 4) M 2 The research method is
hyphothesis method with t-lest to test the validity of the results using four
methods.
The results of this research imply that there are performances of stock mutual
funds above JKSE, performances of stock mutual fonds under JKSE, and there are
stock mutual funds not listed in two previous groups. The results can help
investors in choosing stock mutual funds by investors' preferences.
Keywords : Stock mutual funds, JKSE, Sharpe Ratio, Treynor Ratio, Jensen 's
Alpha, M2