Aplication of Sharpe, Treynor, Jensen, Information Ratio, and DEA Super Efficiency Methods to Measuring Performance of Equity Mutual Funds in Indonesia For Periods 2004-2005  

Oleh:

Effendy ; Purwantoro, R. Nugroho ; Siswandi, Erwinta

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI
Dalam koleksi: Manajemen Usahawan Indonesia vol. XXXVI no. 09 (Sep. 2007), page 3-10.
Topik: Mutual fuds; Investment; Data Envelopment analysis

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: MM15.29 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Mutual funds products in Indonesia are growing as popular investment vehicle. The questions, is mutual funds (portfolio) return after deducing all related costs still high enough to compensate investment risk? This paper try to measure Indonesian equity mutual funds performance by applying 5 different methods which are Sharpe, Treynor, Jensen, Information Ratio, and DEA (Data Envelopment Analysis) Super Efficiency. Methods like Sharpe, Treynor, Jensen, and Information Ratio are common for measuring mutual funds perfoemance but DEA Siper Efficiency is relatively new. Application of DEA Super Efficiency as mutual funds performance measurement is modified from research by Wilkens et al. Generally Indonesian equity mutual funds performance in 2004 are better than 2005. In 2004, the best mutual funds based on all measurement methods are "Si Dana Saham" from PT. Batavia Prosperindo Aset Manajemen. And for 2005, the best mutual funds based on all measurent methods are "Platinum Saham" from PT. Platinum Assets Management.

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